Keeping Limit order amounts after entry
Posted: Jan 28 2020
Hi everyone,
I have a strategy which identifies a range-bound market and then sells the top of the range and buys at the bottom of the range. The strategy utilizes limit orders. So, for example, the market keeps bouncing from 500 to 510 and then back. After selling at 510, I anticipate that the market will go down to 500 where I will buy, and then back to 510, where I will sell again.
In order to get into the limit order queue as early as possible, I'm trying to enter a limit sell order for 510 while I'm still in the previous short. So say I sold at 510 and the market goes down to 508, I then enter another sell limit at 510
The problem is, when I enter my long at 500, the sell limit at 510 changes from 1 contract to 2 contracts (in order to get me net short 1), and I lose my place in the queue. Can anyone think of a way that I can get around this?
using
doesn't help, because once I go long, that 2 contract order will just be changed to 3 contracts, and I lose my place in the queue again..
Thanks in advance!
I have a strategy which identifies a range-bound market and then sells the top of the range and buys at the bottom of the range. The strategy utilizes limit orders. So, for example, the market keeps bouncing from 500 to 510 and then back. After selling at 510, I anticipate that the market will go down to 500 where I will buy, and then back to 510, where I will sell again.
In order to get into the limit order queue as early as possible, I'm trying to enter a limit sell order for 510 while I'm still in the previous short. So say I sold at 510 and the market goes down to 508, I then enter another sell limit at 510
Code: Select all
if MarketPosition_at_Broker = -1 then sellshort ("s1") 1 contract next bar at 510 limit
using
Code: Select all
if MarketPosition_at_Broker = -1 then sellshort ("s1") 2 contracts next bar at 510 limit
Thanks in advance!