- ago
Imagine the following scenario:

You run a trading systems that works on a daily base and use limit orders to enter the market and stopp loss and limits as exits. You do not want to have more than 5 open positions the same time.

With the already existing threshold 'number of entry orders exeeds 5' you encounter the following problem:

Day 1: No open positions, 3 buy limits are triggered => 3 filled entry orders / Threshold not hit
Day 2: 3 open positions, 6 buy limits are triggered => 5 filled entry orders / Threshold hit

So in that case you would end up with 8 positions (3 + 5) assuming you have enough buying power (you do not fully want use).

As limit order based systems tend to "flow" once you started them (you never know how many exit orders are hit that provide equity for new entry orders in a session) it would be handy to have a trading threshold related to number of open positions.

WealthSignals already seems to use such a mechanism.
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Cone7
- ago
#1
Day 2 - change the threshold to 2 so that you only get 2 more fills.

Couldn't you accomplish this just by changing the threshold each day?
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- ago
#2
Yes that would be possible but it is not so practical in terms of automated trading.

My goal ist to place the signals automatically each day with the strategy monitor and avoid manual steps involved.

In addition: What if I hold e. g. five positions? I do not know how many exit limits are hit the next day.

Would it be hard to implement?
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