Using daily data, I am trying to get the same trade price from an opening market order and a limit order (which peeks the opening price from the previous bar). I wasn't sure if trading preferences like MOO affect only live or broker (incl. dummy?) trading or backtest executions as well.
In backtesting, I appear to be experiencing slippage with my buy-at-market trades at the open, but no slippage when I peek the limit. I would like to avoid peeking, if possible.
In backtesting, I appear to be experiencing slippage with my buy-at-market trades at the open, but no slippage when I peek the limit. I would like to avoid peeking, if possible.
Rename
The MOO preference sends a market order to the broker as MOO - but the orders needs to be submitted up to 10 minutes before the open. See the Help (F1) for more info about that. The MOO Preference is just to configure the order properly for the broker.
Re: Limit order -
If you're applying the slippage in Preferences, of course this will always create simulated slippage for market orders. Limit order slippage works differently (explained in the Help).
Finally, just to be clear, only Wealth-Data has primary market opening prices. MOO orders will execute at the Wealth-Data Open price, no slippage. All other EOD Provider data Opening prices are whatever the first full-lot trade is on any exchange.
Re: Limit order -
If you're applying the slippage in Preferences, of course this will always create simulated slippage for market orders. Limit order slippage works differently (explained in the Help).
Finally, just to be clear, only Wealth-Data has primary market opening prices. MOO orders will execute at the Wealth-Data Open price, no slippage. All other EOD Provider data Opening prices are whatever the first full-lot trade is on any exchange.
QUOTE:
If you're applying the slippage in Preferences, of course this will always create simulated slippage for market orders.
@Cone thanks so much. It was the Slippage preference (Adjust Entry/Exit Prices) that I had to uncheck to get an Open price at the Open.
QUOTE:
The MOO preference sends a market order to the broker as MOO - but the orders needs to be submitted up to 10 minutes before the open.
How do I insure that the Broker (IBKR) receives the order 10 minutes before open? By running the strategy that places a next day order the day before? Or running strategy in the morning before the market opens, either in SM or standalone?
You can run it at night, at 3am, at 09:15, or at any time in between. It makes no difference as long as you get the data updated.
Then you just have to Place the market orders with the MOO Preference enabled at least 10 minutes (NYSE) or 5 minutes (NASDAQ) before the open. That's clear, right?
Then you just have to Place the market orders with the MOO Preference enabled at least 10 minutes (NYSE) or 5 minutes (NASDAQ) before the open. That's clear, right?
I am planning to use Auto Place to IBKR so my expectation is that will happen automatically as long as WL is connected to broker at the open. I'm not expecting there would be anything I would have to "place" except to make sure the program runs and WL8 is fully connected to IBKR. (Assume the strategy is in the SM and scheduled to run at 9:15 ET.)
I didn't sufficiently explain the anticipated setup in my question. In the back of my mind, I was wondering how and when WL8 can connect with IBKR and is capable of placing a market order on open. Is that any time after market close or just for a limited time window before open?
I didn't sufficiently explain the anticipated setup in my question. In the back of my mind, I was wondering how and when WL8 can connect with IBKR and is capable of placing a market order on open. Is that any time after market close or just for a limited time window before open?
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