Restricting-the-number-of-Buy-at-Limit-signals

It's still the recommended way, I'm not sure why that warning was added, I'll have to ask Cone.

Well look, if you want to restrict opportunities it's recommended. "Most" stop/limit strategies wouldn't do that.

Thanks for the clarification guys, I will use "Max Entry Signals=1" for the time being.

As a pretty novice trader, I feel like I may be missing something obvious (or misunderstanding). Wouldn't this be the most common use case for the majority of traders/strategies? If you want your strategy to operate on a dataset of at least 100 symbols, the options appear to be one of the following:
1) Use a "Buy at Market" entry
2) Use at most 1% of equity for the limit buy
3) Limit the number of concurrently active "Buy at Limit" orders

The first 2 options obviously have large disadvantages, so I went with 3.

QUOTE:

Well look, if you want to restrict opportunities it's recommended. "Most" stop/limit strategies wouldn't do that.

The only limitation is given by your solution! This is another time you ignore this issue. Imo you don't even understand why you introduced the restriction. You still think that there are some unpleasant order cancellations at the broker. Maybe also just that some traders don't know what they are doing. The reason is...

The restriction of "Limited Orders" can be seen as a recommendation if you want to see what impact such a restriction has. This is the ONLY point.

If a broker cancels orders because of the cash limit, the solution is not to send them all at once. That is kindergarten. Just send limit orders when they are triggered. This kind of measurement would then be redundant.

Unfortunately, I do not see why you are persistently silent on this issue.
https://www.wealth-lab.com/Discussion/Quotes-Triggers-for-Intraday-Trading-8629

I trade the Nasdaq 100 and also have strategies tested that simly calculate limits on each cycle for the stocks. With some other restrictions there still can be many "potential" orders triggered if additionally the limit will be hit. That can not happen if you make a preselection, just think about it why, you will figure it out by yourself!

Using market orders instead to "simulate" the limit orders is too hard and would require a very low timeframe with other risks. It simply does not provide the same performance for these kind of strategies.

Oh my gosh, hopeless...

QUOTE:
If you want your strategy to operate on a dataset of at least 100 symbols, the options appear to be one of the following:

No, these are not the only options. I feel another article coming on...

Let's use a common dip buyer example to illustrate. The strategy will be "Buy at the Last Close * 0.92" and Sell the next day at market.

Assume you're trading the Nasdaq 100 and you really do only want 1 order to fill. That's fine. Set your Starting Capital to the allocation you want to use, say $10K which is equal to the account cash size, and sizing to 100% of equity.

The strategy will generate 100 limit orders. If you're trading at IB, you'll be able to place all 100 orders with IB. If you have a cash account (margin 1:1), only one order will be allowed to fill and all the others will error out because of insufficient buying power. (I've never really tried this, so I'm not certain of the possibility of overfill in this case.)

However, if you have a margin account, depending on your buying power, you might be able to put on many positions on margin. If you place all 100 orders, there's a good chance more than 1 will fill.

To manage this, instead of placing all of the orders with the broker (most won't allow it anyway), you send the orders to the Quotes tool, select Auto-Place (or Stage), and turn on streaming. When market price approaches the limit price, the order is triggered and sent to the broker.

If you only want 1 order to fill, you can turn off streaming after the first fill, or automatically using Preferences > Trading > Trading Thresholds.

Now the reason it's "more common" to consider all 100 orders instead of just picking 1, is because you do not know which of the 100 will ever reach the limit price. You need to monitor them all. That said, "a strategy" could be for example, "only place the top 1
or 10 orders with the lowest RSI".

Does it make sense?

For more info and a video that pretty much shows what I explained see this article in our Blog section: https://www.wealth-lab.com/blog/interactive-brokers-auto-trade

QUOTE:

To manage this, instead of placing all of the orders with the broker (most won't allow it anyway), you send the orders to the Quotes tool, select Auto-Place (or Stage), and turn on streaming. When market price approaches the limit price, the order is triggered and sent to the broker.

This way is absolute ok for strategies working with a time scale of 30+ minutes and if you have the time to sit at the computer and beeing a click ape. IThis process can be automated and should for time scales below 30 minutes, finally for automated intraday trading.

QUOTE:

Now the reason it's "more common" to consider all 100 orders instead of just picking 1, is because you do not know which of the 100 will ever reach the limit price. You need to monitor them all. That said, "a strategy" could be for example, "only place the top 1
or 10 orders with the lowest RSI".

You still don't understand it. The point is that the result of the "condition filter" will be 10 out of 100 orders for example. Theses 10 orders fullfilled the conditions which makes them candidates for a good trade. Now if the buying power does not allow to place these 10 orders at the same time (but let's say 5) you can make a preselection with further conditions (like you suggest the lowest RSI as example).

Now what happens with a preselection (additional condition filter) is, that these "removed" orders will 100% not be triggered. You simply remove the chance to enter a good trade from 10 to 5. This fact will not change dependent on what a "second/addtitional" condition filter does (RSI, random or whatever conditions you choose).

The worst scenario for the trader would be when the removed ones would be triggered and the rest is sitting and blocking slots.

The biggest crap about it is that this problem is actually not a problem and only fails because of a technical implementation.

You don't have to pre-select (and thus influence trading efficiency) if you just place the orders when they reach the limit. In this case, the cash amount is sufficient for all, in the example 10 limit orders. You increase the chance of triggering 5 orders by a factor of two. It's really rudimentary.

So you say that "I" still don't understand, and then go on to make precisely the case I made. 🤷

Well, maybe I misunderstood your conclusion then.

If we agree on the content, then the QT tool is currently only a sensible solution for EOD trading. There is no adequate (good) solution for intraday trading and no solution for auto-trading. And the function of hard limiting the entry signals or expanding the conditions in the strategy is not a solution (from trading perspective)

If more signals are generated than there is buying power available the decesive factor is the trigger of the limit price (not more not less) The Limit Price is the condition., which will decide what trade will be placed.

And the solution keeps to be placing signals when they are triggered. But for intraday trading this ape job (moving signals to the QTT) needs to be done by a machine every X Minutes because the limits do change.

I still think there are many differences between what we write. Take some time to read it, as you would expect your clients to do.

QUOTE:

... That said, "a strategy" could be for example, "only place the top 1
or 10 orders with the lowest RSI".

Does it make sense?

No!

You change the original strategy conditions with the goal to reduce the count of orders. That is absolute nonsense as explained a dozens of times. It is a wrong action with the wrong goal and negative impact on the result. It cannot make less sense.

It doesn't matter what type of indicator you use or if it is random. You simply don't see the difference between the maths behind a preselection on the candidates and giving all candidates the same chance to be picked. The limit price and the trigger is already distinguishing between the orders. Done right, nothing more is to do.

It is simply a matter of how limit orders are effectively handled in the software and that is can have a huge impact on the trading performance. As I said, you don't understand it yet. Especially when the context of intraday (short time periods) and auto-trading comes into play.

Just play around with your Knife Juggler strategy and someday you will know what the people are talking of.

Again, you've taken that totally out of context and proving the case I began with.

"That said" is an idiomatic expression used to introduce a point that contrasts with what was just said - https://idioms.thefreedictionary.com/that+said/

"a strategy" could be
- this is the contrasting example, a "possibility" - because the starter thread was asking about Restricting the number of "Buy at Limit" signals.

Sorry for the noise!

I misread Post #3. The starter wants to reduce the limit orders on purpose (i think that's your point)

I would appreciate a feedback on my original post on this subject i tried to make my points here.