Execution Configuration(EC) Target Exit Parameters

 

You must Enable Executions before any of the 5 Execution Configuration Tabs can be modified

When an Auto Position hits the Target Price (As configured in the Target and Target Value parameters below), then the Target Exit Order is sent

ClosingStrategy - For Exits(Stops or Targets this can be Mkt or LmtPersist(Note, for Entries, Limit is also allowed, but not for exits, for reasons explained below)

• Mkt - A Market order is sent .  The CxlTimeout/DontChaseMinutes combination(as described above) is in effect for Market Orders, so that if a market order is not filled for some reason, then after CxlTimeout seconds, the order is canceled and the Entry is not chased for the number of minutes specified by DontChase Minutes, even if the Entry Criteria is still true.  If using in Black Box mode, it's recommended that the CxlTimeOut be set to a high value - this is because a Market Order canceled in Auto Mode, will be changed to Manual Mode.  A Market Order should be good enough to get you out, however, just in case the market order takes a while to execute, set the CxlTimeout higher than you would for a LmtPersist order.
• LmtPersist - This is the advised Closing Strategy. This a persistent Limit Order based on the Price Strategy Specified by the User.  There are two conditions that will result in the order being canceled and resubmitted
  • If the order is not filled within the Cxl Timeout Period then it is canceled and a new Limit order is sent based on the PriceStrategy .  
  • If the Market(Bid/Ask) moves outside the range of the LimitPrice, then the order is cancelled and resent
    • for Buys, outside the market occurs when the bid moves above the LimitPrice
    • for Sells, outside the market occurs when the ask moves below the LimitPrice

  In both cases, the new LimitPrice is calculated at the moment the order is resent, based on the PriceStrategy configured by the user

  Note :  The Limit Order is not allowed for Exits(Stops or Targets). The reason is that with a Limit order, if it's not filled, it's cancelled and not resent.  Since this would result in a true Black Box Mode it's not allowed for Auto Positions.  With a market Order your are guranteed an exit(but not at a good price).  With a LmtPersist Order you're guaranteed an exit also, but at a Price that is within the parameters you specify, given the market conditions at the time of the order.  

Tolerance

• A percentage value between 0 and 100 .  The Tolerance value used in the EntryPriceStrategy is found by calculating (Ask - Bid) * Tolerance/100 .  If Tolerance = 50 then this is midway between the Bid and Ask

TargetPriceStrategy

Note:  The terminology of retail/wholesale arose from the need to specify a PriceStrategy  that is consistent for both Longs and Shorts.  The following shows the correlation between wholesale/retail and bid/ask for Long and Short positions

For Long Positions, Wholesale is the Bid, Retail is the Ask

For Short Positions, Wholesale is the Ask, Retail is the Bid

The PriceStrategies use the Tolerance, except for the Split Bid/Ask PriceStrategy, which is the same as setting Tolerance = 50%

• Split Bid/Ask - A Limit Price at the midpoint of the Bid/Ask, at the time the order is sent
• Retail + Tolerance
• Retail - Tolerance
• WholeSale + Tolerance
• WholeSale - Tolerance

Choose the PriceStrategy that suits how aggresively you wish to enter the position. Retail + Tolerance is aggressive as it's a LimitPrice over the Ask, for longs.  WholeSale + Tolerance is not aggressive, as it's a Limit Price just over the Bid for Longs

Important Note:  For LmtPersist OrderStrategy, the EntryPriceStrategy of Wholesale - Tolerance is not allowed.  This would create a race condition, as the Wholesale - Tolerance is outside of the market(below the bid for Longs).  The LmtPersist automatically cancels and resends orders when outside the market   For Market Orders the PriceStrategy does not apply.  

CxlTimeout - The number of seconds to wait(for a LmtPersist Order) before canceling and resubmitting with a recalculated LimitPrice based on the PriceStrategy/Tolerance and current WholeSale/Retail Market.  This does not apply to Market Orders

Quantity

• The Position Quantity to send is automatically the size of the existing position

Target and TargetValue

When the Price hits the price as calculated by the below parameters, then the TargetExit order is sent

• Fixed - For Longs Stop = EntryPrice + TargetValue  
• Percentage - For Longs, The Stop = EntryPrice + (100 * TargetValue / EntryPrice) 

Route

• The Route to choose, i.e. ISLD, ARCA, NYSE, etc.  Most Execution Platforms have a SMART route(such as Interactive Brokers), which is the suggested route.

Block After Close

After the Position is Targeted out, do you want to reenter the position(if the entry criteria is true at some point)? If not then set this to no.  Note that after the Target Exit the entry Criteria could be true , resulting in an immediate reentry if this parameter is not set to "no".  Once hit, this setting is valid until the end of the day(prevents any other entries for the symbol exited)

Home | What's new | Purchase | Download trial | News | Tech Support | About Us | Contact Us | Disclaimer