Demo Execution Strategies

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mpxtreme
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Demo Execution Strategies

Post by mpxtreme » Mon Nov 05, 2018 5:46 pm

Suggesting initial enhancements to the BM Execution strategies.

Escape : add a condition where the user can have a minimum required volume quantity to be resting on the intended trade order side.
Example...if attempting to execute a buy limit order using X % and then "also" required the best bid level(s) to have a minimum of X volume resting.

Execute : add a condition where the user can also specify " and the opposite side drops below X volume".
In the case of a buy limit order..this will allow a user to chase/pay up a tick as the liquidity is about to dry up on the offer.

Serg
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Re: Demo Execution Strategies

Post by Serg » Sat Nov 10, 2018 12:04 am

mpxtreme wrote:
Mon Nov 05, 2018 5:46 pm
Execute : add a condition where the user can also specify " and the opposite side drops below X volume".
In the case of a buy limit order..this will allow a user to chase/pay up a tick as the liquidity is about to dry up on the offer.
This sounds clear. In other words, you wish the order to be executed entirely at the best price (given the latency of course).
mpxtreme wrote:
Mon Nov 05, 2018 5:46 pm
Escape : add a condition where the user can have a minimum required volume quantity to be resting on the intended trade order side.
Example...if attempting to execute a buy limit order using X % and then "also" required the best bid level(s) to have a minimum of X volume resting.
Can you please clarify this? We are planning to move those demo strategies to outside the simplified API and we can relatively easy apply these changes then.

mpxtreme
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Re: Demo Execution Strategies

Post by mpxtreme » Sat Nov 10, 2018 3:59 pm

Hi Serg,

I will clarify with more detail...

Execute: a buy limit order...the user requires a certain % on the buy side as the settings currently allow...add the ability for the user to specify that the volume on the opposite side must also be less than X...for CL(crude) as an example one might want the bid side to be 200% > the offer but only execute if the offer is also < 40 contracts.

Escape: in a buy limit example, this will prevent an order sitting there when the 200% is true but not when bid 1 vs offer 10...the bid would need to have >= 40. In order words when buying in front of liquidity you want it to remain a certain size instead of just a %.

***One additional change to what was mentioned above...allow > or < for the minimum size requirement.
Some strategies require a minimum size to be available especially when using a percentage of available liquidity algo, as to not
signal the potential of hidden size behind the order by avoiding sweeping an entire level.

tocflow
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Re: Demo Execution Strategies

Post by tocflow » Tue Nov 27, 2018 11:10 pm

Hi Serg,

I was just wondering if you think that these additions that mpxtreme has proposed to "Escape" and "Execute" might be implemented in the next few months? I had similar ideas to mpxtreme for additional criteria I wanted to add and having this minimum required relative volume would be a big benefit for testing and learning more from.

Thanks for your help

Serg
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Re: Demo Execution Strategies

Post by Serg » Thu Nov 29, 2018 10:11 pm

Hi, I apologize for long delays. Yes, all these things are pretty easy to do, some of them literally require just few lines of code and then testing. I think that after we complete the development of API things will go much faster, plus independent developers may contribute a lot. I guess it will take a month to complete the API. But I've added these features to the list and since we'll need to create strategies for API demonstration, it will be ready even earlier.

tocflow
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Re: Demo Execution Strategies

Post by tocflow » Wed Dec 05, 2018 11:18 pm

Thank you Serg, this sounds great!

SuperDriveGuy
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Re: Demo Execution Strategies

Post by SuperDriveGuy » Fri May 17, 2019 6:39 am

Hi Serg,
Is there a updated list of strategies downloadable from somewhere?
Thanks

AndreyR
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Re: Demo Execution Strategies

Post by AndreyR » Wed May 22, 2019 2:24 pm

Hi SuperDriveGuy,
LiquidityTracker
http://bookmap.com/addons/lt
Advanced/Generalized CVD
http://bookmap.com/addons/acvd

SuperDriveGuy
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Re: Demo Execution Strategies

Post by SuperDriveGuy » Wed May 22, 2019 2:36 pm

Thanks.

I have these. I was referring was there a new updated release of the demo strategies or is it in the pipeline?
 

mpxtreme
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Re: Demo Execution Strategies

Post by mpxtreme » Sun May 26, 2019 4:50 am

7 months later...any news guys!?

I'm sure there are quite a few traders looking forward to new execution strategies that can use CQC,newCVD,Large Lot Tracker and Vwap data for entry and exit ideas once this get's going but for now...

While we wait...can we please have an option to disable individually either of the 3 demo strategies from having an effect on the  limit orders while having a position in the market?Just add an Option box to each strategy that says "Disable if Market Position".

Using Execute,Escape and Chase on the limit orders to get into the market is useful as is using Escape on your limit order/profit target exit to squeeze a few extra ticks in your intended trade direction if the liquidity pulls away... but having that Execute logic effect the profit target limit order doesn't make sense in the many cases as it will force a premature exit.

Thanks
D.

 

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