Re: Relative Orders

First is a question - how is the limit on ‘Relative 0.01 peg + Limit’ currently calculated?

This is not as important as a ‘limit’ cap (either dynamic or based on previous day close) on VWAP orders… but, when you get to it -

Please allow negative offsets on:
“Relative 0.01 peg” order types.

This will allow us to stay under (not over) the best existing bid on a buy and over (not under) the best existing ask on a sell - for larger orders, I believe this will be useful and will still find fills frequently.

Ideally would like an option to automatically have the prices track up and down at the ‘middle’ of the bid-ask spread -and/or to dynamically vary the limit cap in this way - for example pegging limit to VWAP price or trailing close plus or minus some %.

I also have a question on using ‘Trade’ with hedges. Can the algo’s be written so that the hedge amount will adjust automatically as positions are bought? Right now, unless I’m mistaken, it seems to seek to buy the whole hedge, but sometimes the underlying positions aren’t bought, so the relative hedge can end up way out of whack.

Trade allows you to create custom order types. I tried creating a relative order with a negative offset and it allowed the negative offset even though the description says the minimum is 0.00. The limit in the Relative 0.01 peg + Limit is the previous days close. You may want to create a custom order type for VWAP with the Attempt to never take liquidity set to Yes. This may result in better prices since it will not submit orders at the best bid or ask.

Bump.

How is the limit in ‘relative limit’ and ‘limit’ trade orders calculated - it looks like it’s previous day’s close? On advanced custom orders, can this field be user specified - can we use formula’s - like the average of the last XX day’s hi-low range, or simple % offset?

Best,
Tom

Anything with limit we use the previous day close as a default. Until we have real time prices or even 15 min delayed, that’s the best we can do.

Marco,

You don’t need real time prices to change the default to ‘user specified.’ So, we can set the default limit to previous close ± X%. That’s very easy and will allow us to automatically generate these prices - i.e. previous day’s close +.5% (for buys), -.5% for sells. Just give me a field to put in my numbers. It will save me some excel work and/or mental math every monday.

Thanks.
Tom