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Combo orders

Posted By tickbytick 7 Years Ago
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Posted Wednesday December 08 2010
Rightedge is great for automating strategies with single contract orders, but it's not so good to trade spreads etc.

Currently, trading a combo involves submitting independent orders for each leg, which exposes the trader to execution risk and is awkward for placing limit orders since all the pending orders have to be reconsidered on every tick.

I don't know if this is the optimum way to handle it, but I would envision within Symbol Information a new Asset Type of "combo" with fields for component contracts , ratios and a flag to indicate whether this is sent to the broker as a 'combo' or sent as individual components.

thanks

Robert

Posted Thursday December 09 2010
Robert,
Your assessment is fair. There are a number of manual pieces to pull this off, as you've noted. I'll make a note of your suggestion. When we have design discussions about this feature, we can reference this thread.

tickbytick (12/8/2010)
Rightedge is great for automating strategies with single contract orders, but it's not so good to trade spreads etc.

Currently, trading a combo involves submitting independent orders for each leg, which exposes the trader to execution risk and is awkward for placing limit orders since all the pending orders have to be reconsidered on every tick.

I don't know if this is the optimum way to handle it, but I would envision within Symbol Information a new Asset Type of "combo" with fields for component contracts , ratios and a flag to indicate whether this is sent to the broker as a 'combo' or sent as individual components.

thanks

Robert

Posted Tuesday September 10 2013
Is getting Combos to work in RE on the radar? If so, how far off is it?

This would require the Bag / Combo type in KRS.ATS.IBNet to be handled but also negative order prices.

Are there many users requesting this functionality?

Thanks


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