OmniVest User Forums
General OmniVest Feature Requests
Correctly Manage Margin Reqs & Trade Execution
1 replies, 839 viewings
|
OmniVest User Forums
General OmniVest Feature Requests
Correctly Manage Margin Reqs & Trade Execution
|
Last Activity 12/14/2017 8:41 PM 1 replies, 839 viewings |
|
|
|
| Printer friendly version |
Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile |
I'm currently trading a mixture of liquid and not so liquid ETFs. Over the last four months I've had TP submit a mixture of MOO and Market orders (submitted right at market open). While this is based on a small sample size (118 trades) the results are quite interesting. I use IB as my broker. Across these trades, my trading profits were reduced 10.3% by slippage. Average slippage per MOO opening order: $1.42 (positive slippage is good) Average slippage per MOO closing order: $3.09 Average slippage per Market opening order: -$32.77 (negative slippage is bad) Average slippage per Market closing order: -$15.55 While these results may not hold over a large number of orders, they've got my attention. I think it is imperative that OV/TP be upgraded to maximize the number of MOO orders that can be successfully submitted. To accomplish this: 1. OV needs to correctly assess margin requirements during trade generation to ensure that too many trades are not generated when leveraged ETFs or short trades are present. 2. TP must properly manage trade execution and ensure the maximum number of MOO orders are submitted (assuming the user has configured trade settings properly). This means that as many opening orders as possible are submitted as MOO if buying power is available and the rest delayed until buying power becomes available after market open. Back when I was trading only liquid stocks, this was not a big concern to me. Now that I've been bitten by the single ETF/Strategy bug, it's a much bigger deal. I recommend this be given pretty high priority. Steve [Edited by Steve2 on 9/29/2016 1:53 PM] | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
So the downside of using MOO opening orders is that occasionally an order will be rejected because or margin limits. I think I'll go with that option and take the hit on % invested. Way back when OV was new I suggested Intelligent Order Processing (IOP) as a way of solving available buying power issues, opening gaps that could obviate a trade, too many OV traders chasing the same underlying, etc. The same IOP approach would solve the leveraged ETF margin issue. So a shameless plug for IOP... Cheers Keith |
|
|
|
|
Administrator
Forum Moderator |
Registered User
Unregistered User |
 E-Mail this thread to a friend(un)/Freeze thread | |
Toggle e-mail notification |
