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Posted 9/1/2010 06:07:58 Post #12150
xzajic2
 

Junior MemberJunior MemberJunior MemberJunior MemberJunior MemberJunior MemberJunior MemberJunior Member
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
Posted 9/1/2010 12:47:45 Post #12153
billb
 

Lead DeveloperLead DeveloperLead DeveloperLead DeveloperLead DeveloperLead DeveloperLead DeveloperLead Developer
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 9/2/2010 06:20:25 Post #12158
xzajic2
 

Junior MemberJunior MemberJunior MemberJunior MemberJunior MemberJunior MemberJunior MemberJunior Member
oops ;-( Should be cool to have this feature in RE...
Posted 9/2/2010 07:05:30 Post #12159
phg
 

Supreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme Being
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 rightedge-ats Yahoo group )

Posted 9/6/2010 13:18:54 Post #12189
xzajic2
 

Junior MemberJunior MemberJunior MemberJunior MemberJunior MemberJunior MemberJunior MemberJunior Member
Exactly. In papertesting, TRAILING STOP (MARKET) is enough. In live mode, TAILING STOP LIMIT should be very useful.
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