I think this is a very interesting discussion, which actually also
brings up again a few points, that have been brought up earlier in
various contexts.
So, I would like to add a few thoughts on it. (which go into the same
direction is what Shaggs was writing).
First, I think some issues are actually intermingled a bit.
1) Stability of JBT. It is certain that JBT is highly stable under
normal
operation conditions. I am no exactly sure what brings JBT to a
stall, if a order
is rejected due to too small account size, but I am worried that
this might
hint to a deeper problem that JBT is not stable if unusual or
unexpected
results come from from IB (or the expected and the real IB
behavior fall apart).
It is certain that ES (and other futures) are highly risky and
should only be
traded if one can afford an adequate account size. On the other
hand
a significant loss can also be due to a bad strategy in a highly
volatile market
(think like last week) . If this leads to a malfunction for further
trades this
can be considered an issue. However, I am even more concerned,
because
it could point to a deeper issue in terms of JBT stability with
unexpected IB behavior.
2) Stop Loss: Here I think we need to differentiate two points:
Stop Loss as a part of a strategy / Stop loss as a server side
endurance component.
a) Stop Loss as part of a strategy:
this comes up every now and then. However, this is just a very
simplistic
strategy element, very unlikely to produce a positive outcome,
just as enter the trade if the asset moves by more than X point would
be a good way of entering a market. If someone wants s.th. like this,
I would hardly see a reason to use IB-Stop losses for this.
b) Stop loss as server-side ensurance.
On the other hand there are issues like connection drops, hardware
failures, etc.
that may hinder under rare circumstances that JBT places a
necessary signal correctly. In this case, it would actually be nice if
the strategy would be executed on IB computers, then these problems
would not arise, however, as this feature is not available, the
second best would be to have a stop loss running on the servers as
an ensurance medium.
Such a stop loss should be placed far enough that the strategy can be
expected to generate a regular exit before hitting this. On the other
hand, if the prices change, these stop loss might actually need to be
moved in order to ensure that the regular strategy exit occurs prior
to hitting stop loss..
In this case a server-side stop loss would only be executed if a major
client/connection side failure occurs.
So what should happen in case of the sketched extreme situations in
the discussions.
A trade is started by an "entry" and an "exit" (in my understanding).
This is not so easy to map onto JBT, because sets positions and
setting the same
position multiple times does not have an effect. Thus, the first
settting of a position value can be regarded as the entry and exit
signal.
If a trade has been closed in between by a stop loss (e.g., due to
connectivity interrupt), a trade should be regarded as closed.
For the question what happens for "position was closed by stop loss
and buy is given": this depends on whether the buy belongs to the same
trade or a different one, i.e., only a buy signal should be executed
where there was a different position size in between during the time
after resuming connectivity.
In this way: trades can be closed through stop loss and apart for the
stop loss trade all other trades (sequence from entry to exit) all
other trades would be executed as intended (i.e., like they would also
be executed with full connectivity).
On Mar 22, 7:05 pm, ShaggsTheStud <[email protected]> wrote:
> I would think you want at least $10k in margin per contract, but that is
> just me.
>
> Back to the subject at hand, I think a stoploss order with some huge amount
> of gap would be nice. My thoughts:
>
> 1) Use the combined/one-triggers-other order to setup a stop loss once the
> market order fills. This will stop loss will trigger if you happen to reside
> in washington DC and russia nukes it, and your connection happens to drop
> while the exchange is crashing. Maybe your nearest of kin can use the
> money?
> 2) Perhaps also include a market order to close position at a certain time
> in the near future.. say 15 minutes - in case you lose connection for a long
> time and you just can't do anything to remedy the situation (or you are away
> from the trading platform, etc).
> 3) Have the backend of JBT continually update the the stoploss and
> market-at-time type order so that they reflect the fact that JBT knows the
> latest price, and it has an active connection at the moment. Maybe update
> the timed order once a minute, and the stoploss order at some smart
> combination of time/price movement to keep the order update rate low?
> 4) When the position is closed, all residual orders are closed.
>
> This would produce a robust system where there is no interference with the
> strategy unless the connection is dropped, or the price drops insanely fast
> (which could happen as an exchange error, for instance).
>
> If you wanted to implement a trailing strop for your strategy, that would be
> written at the strategy level.
>
>
>
>
>
>
>
> On Tue, Mar 22, 2011 at 6:28 AM, nonlinear <[email protected]> wrote:
>
> > Sometimes can be tricky to accurately forecast your position size,
> >> especially with small accounts. So I think it's very important to handle
> >> rejections without affecting other strategies.
>
> > The ES intraday initial margin is $2813. If you are trading 4 strategies
> > which can be either long or short at any time, you should have 2813 * 4 =
> > $11,252 in your account, plus the buffer to avoid the margin call in case
> > the market goes against your positions.
>
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