- ago
I'm wondering whether its possible to build a multi-step limit order with the goal of bidding lower, then incrementally bidding higher in order to get a good fill (without just doing a market order and often times getting really unfavorable fills).

It would ideally go something like this:
1) Enter limit order at X% below last bar close
...wait 3 seconds...
if not filled:
2) Enter limit order at 0% above last bar close
...wait 3 seconds...
if not filled:
3) Enter limit order at .1% above last bar close
...wait 3 seconds...
if not filled:
4) Enter market order (as backup, to ensure it ultimately gets filled)

Here's the closest thing I've come up with, but I bet this would end up just opening many positions, which I don't want:



Any suggestions on how to get closest to a multi-step limit order to achieve best fill?

Thanks!
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Cone8
 ( 28.25% )
- ago
#1
WealthLab places orders at the end of complete bars.

The kind of logic you described is possible using a 3-second bar chart, but you're not going to be able to create that logic with the blocks... it will require a lot of fine-tuning with a custom C# coded strategy.
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- ago
#2
A good candidate for our concierge support: https://www.wealth-lab.com/Support/Concierge
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- ago
#3
Sounds interesting. I'll reach out and get a quote.

Question: Sounds like I'll need access to 3-second bars/chart but when I try choosing, "custom" and dial in 3 second bars, I get an error of sorts saying that 3 second bars aren't available so is it even possible to view 3-second bars in this platform?

(I already pay for "level 2" futures data plan from Interactive Brokers which is supposed to be the fastest).

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Cone8
 ( 28.25% )
- ago
#4
Yes, the platform can even do ticks. But look, IB is a terrible data provider if you need a lot of data - which will be the case if you start looking at anything under 30 minute bars.

Bottom line -
Forget about the 3 second strategy with IB's data. It's not going work. If you want to do it, you'll need a true data provider - IQFeed. I won't even look at it any other way.
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Glitch8
 ( 12.08% )
- ago
#5
I received your email and am thinking about some ways to handle this, will get back to you when I have some ideas fleshed out!
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