I’d like to make a few suggestions.
My system is a long-term mechanical futures trading system. The portfolio consists of 30 financial and commodity markets and the average trade duration is about two to three months.
This means that positions have to be rolled frequently. Instead of having to do the two legs separately when rolling, I’d like to be able to place spread orders. It’s less risky and time-consuming. Another advantage is that C2 is then going to be able to calculate the average trade length more accurately (currently C2 states that the average trade length of my system is approximately one month, while in reality it is more like two to three months).
Another order type I’d like to see is Market on Open (MOO). I have been personally trading my own system over the last several years and I always work with MOO orders when possible (most commodity markets). This is not only very convenient for myself and for subscribers, since one can place such orders in the evening or before the markets open, but this allows also for easy calculation of the slippage and application of the correct slippage estimate in historical backtesting.
wouldn’t a market order placed prior to the open, functionally be the same as a MOO ??
In theory it should be the same (and this is exactly what I have been doing all the time), but in practive it isn’t always.
When I place a market order in certain pit-traded commodity contracts well before trading starts, it gets filled immediately, sometimes at the closing price of the previous day or sometimes at some random price …
Tommy:
You wrote: When I place a market order in certain pit-traded commodity contracts well before trading starts, it gets filled immediately, sometimes at the closing price of the previous day or sometimes at some random price
From C2’s persepctive, that really is not acceptable. If you notice this, you must tell me so I can correct it. I know of no systemic problem such as the one you describe here.
Spread orders are difficult to simulate for lots of software-related reasons. They are also difficult to implement in terms of AutoTrading, since every broker and trading platform may handle them differently (or not at all). So I must be candid and tell you that - while rolling futures contracts is a hassle - I can’t anticipate handling them on C2 via spread orders.
Perhaps, though, I can implement some kind of automated rollover system? Something where C2 will automatically roll your positions as expiration approaches, by issuing simultaneous market buy and sell orders? I will see about this.
MK
Matthew,
Next time I notice the above problem with a market order, I’ll inform you right away.
I understand that it isn’t straightforward to implement spread orders. I’m however not a big fan of an automated roll-over procedure, since I prefer to keep in control of the exact timing of roll-overs. My mechanical futures trading program has a specific algorithm for roll-over order generation. Once generated, these orders are immediately placed for my own account with my broker and should similarly be placed immediately with C2.
OK, but I think we’re talking about separate issues. Tommy was saying that he has had an experience in which he entered (during market-closed hours) an order to buy a futures contract at market, and then the order executed the next day at price which was actually the previous day’s closing price. This is very bad, and something which I have written a lot of software to prevent and overcome. So that’s why I said to Tommy he should report such incidents to me, so I can make sure these incidents do not occur.
In your case, I think you are talking about cases where you enter a stock order, and receive a fill price that is “valid” (in the sense that a trade actually takes place at that price and time), but which is really not obtainable by retail traders, since the fill took place on an ECN and may have been a block order or some other unusual circumstance. This is rather harder to screen out in an automated fashion – that’s really the responsibility of my data providers – but I’m very happy to correct these bad fills on a case-by-case manual basis (and I do so, quite often). Just report the bad fill via the trouble ticket and I can generally correct the prices very quickly.
Matthew
