No Trades when Spread > 'Normal'?

GraHal · 2020-03-17T18:53:12+00:00

With the DJI spread currently at 9.6 (against normal 1.6) how can I / we code into our Systems so that we do not execute trades when Spread is > Normal for a given time period? I will have a go, but I’m sure it will be a big task for me, but easy for the Coding Wizards?? 🙂 Any help greatly appreciated!

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03/22/2020 at 1:07 PM #122898 quote

AutoStrategist
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Veteran

Have done as you suggested

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03/24/2020 at 11:33 AM #123120 quote

AutoStrategist
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Veteran

Here is the response which appears to have completely missed the point I was making 🙁

Thank you for your suggestions.
The backtest tool is designed to be broker-independent; therefore the commissions option can only be set to fixed commission for futures or fixed spread and not be customized.

I transferred your message to our development department for future consideration.
Best Regards,

Ulrike

03/24/2020 at 1:26 PM #123136 quote

GraHal
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Master

I’m sure I have, in the past, put the same suggestion as you put in.

I guess if a few of us kept sending in the same suggestion every few weeks then a light may come on in the mind of somebody who can make decisions?

It wouldn’t even be a difficult improvement to implement and would make us all think PRT is great!!

If PRT provided 3 boxes for spreads together with corresponding time periods then the definition Ulrike puts on the backtest tool (above post) would not be compromised as it can still exist as 1 box for 24 hour entry … at the option of the User.

Least you got a Reply! 🙂

03/24/2020 at 2:48 PM #123143 quote

deletedaccount100622
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New

Hi

I am pretty sure that we can’t do this, but could we use levels in the Vix future to determine spreads/have a kill switch on a system?

Thanks

Ruark

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03/24/2020 at 6:46 PM #123187 quote

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Yes I remember it was well supported in the suggestions forum, looking at a PRT chart it shows the Sell price and the Buy price, spread is simply the difference between the two, not like they have to get extra information from the broker they have the information how hard can it be to make it available for us?
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