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Position Scaling

Scaling Out

Stormtracker has a very powerful mechanism for scaling into and out of positions. As an example, you can sell ½ your position at one target and the remaining position at a second target. It is not limited to only 2 targets – you can configure as many targets as you like. Stops can be configured in the same way.

The orders are sent in the order of the value of PositionIndex, when the exit criteria is met. For example in the above image, the type is “fixed” with scale values of 0.05, 0.1, and 0.15, So order 1 (Position Index 1) would be sent when the price reaches 0.05 + the Entry Price. The Quantity is a percentage of the total position size or 25% of the position size. Using a starting share size of 100 shares, The first order would be sent when the price reaches the entry price + 0.05 whereupon 25 shares would be sent. The second order would be sent when the price of Entry Price + 0.10 is reached and 25 shares would be sent(1/3 of the remaining 75 shares). The 3^rd order would be sent when the price reaches the Entry Price + 0.15 and 50 shares would be sent(100% of the remaining 50 shares)

The Target(or Stop) column of the Black Box Execution Platform(BBEP) will display the current Position Index and price of the current scaled target. Prior to the First Target being hit (Assuming an entry price of 25), it will show 1:25.05. Once the first target is hit, it will show 2:25.10 for the second target and so on.

Since a scaled limit order is not guaranteed to be filled completely, you should use a market or a lmt persist order, which will ensure a fill.

For targets the ScaleType can be

fixed

percentage

FixedDollar.

For stops, the ScaleType can be

fixed

fixedpct

sliding

slidingpct

sflt50

FixedDollar

SlidingDollar.

The ScaleValue must be set according to the type of ScaleType selected. Refer to the BBEP documentation for more details on the Stop and Target Types

Scaling In to Positions

Entries can be scaled in several ways. You can configure it to send an order every 2 minutes to execute(time slicer) or you can configure it to send an order on the bid and if not filled in 30 seconds , cancel it and sent a market order. Then 30 seconds later send another order on the bid and if not filled cancel it and send a market order. Scaled entries can be also configured to enter more shares as the symbol moves a percentage or fixed amount in the profitable direction.

When are ScaleIn orders sent or activated?

            When a ScaleIn order is configured for a module and the entry conditions for that module are activated, the ScaleIn order will be sent. ScaleIn configurations override any settings for Entry Parameters configured in the ConfigModules window.

            In the Stormtracker Enter Position window, if auto mode is selected and a module is selected that has a ScaleIn Order configured, then a scaleIn order is sent for the symbol. Although you must put in valid parameters in the Enter Position window for the order, with the exception of the long/short parameter, these parameters are all overridden by the ScaleIn parameters.

            Summarizing, to send a ScaleIn Order from the Enter Position window select “auto” and select all parameters for an order, including long/short. Press Send Order and all parameters will be overridden by the ScaleIn order except for the long/short parameter.

Disabling ScaleIn Orders

            By Default, no ScaleIn orders are configured for a module. Once one or more rows are added via the OrderScaling window, then ScaleIn entry parameters will override the entry parameters configured in the ConfigModules window

            To disable the ScaleIn configuration for a module, Delete all rows in the OrderScaling window and press SaveAll.



Configuring ScaleIn Orders

ScaleIn orders can be of type fixed, percentage or time. Except for Position Sizing ScaleIn orders, the Quantity parameter is set to the absolute number of shares to be sent. For Position Sizing ScaleIn orders a percentage(1-100) of the position size is used. The Quantity (or percentage for Position Sizing orders) is a cumulative quantity, so for each scaled order it represents the total share size to be obtained at the completion of that order.

Fixed ScaleIn Orders

The image above, shows a Fixed ScaleIn order. The sequence of events would be as follows:

            Once activated by either a module or by a trader entering an auto position through the Enter Positions window, the first row would be sent as an order, which would override the Entry Parameters settings in the ConfigModule window. . The ScaleValue for the first row is 0. In this case the amount specified in the quantity column , 100 shares, would be ordered. Once the first ScaleIn order is filled, in the ScaleIn column of the BBEP, the next scalein Position Index followed by the quantity to purchase when it hits the trigger price, followed by the price at which the ScaleIn order will be executed. Assuming an entry price of 25, 2:200:25.1 would be displayed in the ScaleIn column

            When the price hits 25.1, an order for 200 shares ( 300 – the 100 shares already entered) would be sent. Once it’s filled, the average Entry Price would then be 25.06 and you will see 3:200:25.26 in the ScaleIn column. The 200 shares(500 – the 300 shares already entered) will be sent at the new trigger price of 25.26, which is calculated from the new averaged entry price of 25.06 + the ScaleValue 0.2 of the 3^rd ScaleIn order .

            Once 25.26 is hit, the order for the remaining 200 shares is sent and “Done” will be shown n the ScaleIn column



Percent ScaleIn Orders

            Percent ScaleIn Orders are configured the same way, except the type of percent is selected. The ScaleValue for percent ScaleIn orders are calculated as a percent from the average Entry Price.

Time ScaleIn Orders

For time orders, the scale value is represented by seconds from time original order is sent. For this example, first an order of 200 shares is sent. In 60 seconds and order for 100 shares is sent. 60 seconds after that, an order for 200 shares is sent.

ScaleIn orders using Position Sizing

            When PositionSizing is checked, then Quantity of shares ordered will be determined by the Quantity column as a percentage of the value retuned by the Position Sizing Tables. Assuming that the position size configured for an alerted stock is 400 shares, the above ScaleIn order would do the following

            First 25% of 400 or 100 shares would be sent(assume an initial entry price of 25). ScaleIn would display 2:100:25.10, meaning that 100 shares would be ordered when the price reaches 25.10. When 25.1 is hit, an additional order of 100 shares(50% of 400 – 100 shares already that are already established) would be sent. The average entry price would then be 25.05, so in ScaleIn column you will see 3: 200:25.25. When 25.05 + 0.2 or 25.25 is hit, then 200 shares(100% X 400 – 200 shares already established) would be sent. When the 25.25 level is hit, and the order for 200 shares is completed, the ScaleIn column will display “Done”

Complex ScaleIn orders

This example attempts to get a very good fill by first submitting a “WholeSale – Tolerance” order (which for longs would be at the bid or just below the bid, depending on the setting for Tolerance) 2 consecutive times for 20 seconds. If these aren’t filled, then a market order is sent. Orders 4 and 5 are superfluous since the market order should be filled, bur if for some reason the market order wasn’t filled , it will cancel the orders(after the CancelTimeout period) and send another market order. The sequence of events would be the following:

            First send an order below the bid for 200 shares with a cancel timeout of 20 seconds. The time that the first order is sent will be referenced as T0. If this initial order is filled with 200 shares, then the order is done and the ScaleIn column will display “Done. If it doesn’t get filled then at T0 + 30 seconds, another order(PositionIndex 2) below the bid for any remaining amount is sent for 20 seconds. If this second order doesn’t get filled , then it is cancelled and and a 3^rd order(PositionIndex 3), a market order, is sent for 200 share. Assuming this is filled, all the rest of the ScaleIn orders will be ignored. Note that at any time if there is a partial fill, then only the share needed to bring the total up to 200 shares will be sent.

This can be continued with even more orders, following it with the same strategy for 400 shares for example(there would be 2 more rows with a WholeSale – Tolerance setting, followed by a mkt order row, all with ScaleValues set with the appropriate time offsets.

Notice the values for CancelTimeout and the ScaleValue for these types of orders need to be considered. The difference shouldn’t be more than 5-10 seconds. An anomaly can occur if the first order is not filled and the order is cancelled, but the ScaleValue for the next order is set too far out. This will result in the entire order stopping at that point. One way to get around this is to send a market order for a small quantity with the first ScaleIn order to assure the initial entry and that the rest of the ScaleIn orders will be executed as planned.





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