Barry Cohen
 Icon
      Posts: 1844
Joined: 10/11/2012
User Profile |
Position Sizes can become ridiculously large as time progresses. There is inadequate liquidity to process orders of 100,000 shares in the vast majority of instruments, without really whopping slippage. Allow the user, in the "dashboard", to specify an override that affects every strategy's trade plan, such that the order size cannot be greater than the lesser of a fixed number of shares or a fixed dollar amount. That is, either of the two criteria will cap the trade size for any given trade, whichever is the most limiting of the two. Or intelligently model slippage and build that into an anticipated reward-risk final filter which can prevent the trade from executing. I have a fully-worked out unique algorithm for doing this, based on ohlcv data (no bid/ask or level II required), which is too complex (and valuable) to publicly doc here. Contact me if you want it.
Reported by Dean
|