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Trailing stop limit orders

Posted By xzajic2 7 Years Ago
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Posted Wednesday September 01 2010
Is it possible to create trailing stop limit order and send it to broker? My broker is IB and I'm using RE to run live system.
TRAILING STOP orders (http://www.interactivebrokers.com/en/trading/orders/trailingStops.php) are working properly with code like this
PositionManager.SetTrailingStop(pos.ID, 0.01, TargetPriceType.RelativePrice)
but I want to submit TRAILING STOP LIMIT orders (http://www.interactivebrokers.com/en/trading/orders/trailingStopLimit.php)
Is there a way to do this via RE? If yes, could you provide a simple example?
I love limit orders, because market orders often produces very different paper vs live results Smile
Posted Wednesday September 01 2010
This is not currently supported. You could modify the IB plugin to submit these orders to IB, but they wouldn't work as trailing stop limit orders when using the paper broker in backtesting.
Posted Thursday September 02 2010
oops ;-( Should be cool to have this feature in RE...
phg
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Posted Thursday September 02 2010
I would like to add my support to the idea of supporting trailing stop limit orders for IB. Further, for my purposes it would be quite alright to ignore the limit when backtesting. On balance, it is far more useful to have the ability in live running than to worry about the difference in backtesting. In general, 'graceful reversion' of complex order types to simpler types when backtesting would be a desirable option.

-Pete

See also Yahoo group about applying RE.

Posted Monday September 06 2010
Exactly. In papertesting, TRAILING STOP (MARKET) is enough. In live mode, TAILING STOP LIMIT should be very useful.


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