Discussion of article "How to Secure Your Expert Advisor While Trading on the Moscow Exchange" - page 2

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Vasiliy Sokolov:
Yes, that's right. However, trading limits protect against the price falling or rising to infinity. Therefore, the price will still not be able to move away from the current price by more than five per cent (average price limit level). Limits can be extended during the day, but it still takes time, during which you can close your positions safely.

Yeah, I see. Is this the case for all exchanges/instrument types ? I.e. is this article applicable, for example, for trading currency futures ?

I remember what happened in January with the franc. There was a rush, not to say that there were any daily limits.

 
Ploughman:

Yeah, I see. Is this the case for all exchanges/ types of instruments ? I.e. is this article applicable, for example, for trading currency futures ?

I remember what happened in January with the franc. There was a rush, not to say that there were any daily limits.

In spot markets there are no limits by definition, but in futures markets, limits are set depending on the regulations of the exchanges. The Chicago Exchange and the Moscow Exchange have limits. For example, if you were trading USDCHF futures on the Moscow Exchange, you would of course hit the bar (limit) first. Although it would not help you much, but at least you would have collected normal liquidity and probably you would even be able to exit immediately after the market opening.
 
Vasiliy Sokolov:

I did not say that we should skip the signal. On the contrary, it is better to wait for the spread to close (on the next tick or a little further) and enter the market by working the signal.

Imagine, your robot receives an Ask stream, wanting to enter a long at 50: 43, 44, 47, 48, 80. It receives Ask 80 and enters the market.

No, my suggestion was to smooth out this 80 with volume (for analysis) and enter with a limit at the level we are interested in.

Vasiliy Sokolov:
But I am not saying that you should trade with limiters and control the spread.

I got it, misandestanding )

 
Vasiliy Sokolov:

Yes, that's right. However, trading limits protect against the price falling or rising to infinity. Therefore, the price will still not be able to move away from the current price by more than five per cent (average price limit level). The limits can be extended during the day, but this will still take time, during which you can safely close your positions.

Ploughman:

Yeah, I see. Is this the case on all exchanges/type of instruments ? I.e. is this article applicable, for example, for trading currency futures ?

I remember what happened in January with the franc. There, as it went on, not to say that there were any daily limits.

Clarification.

Vasily, trades are closed (usually for 10-15 minutes) to expand the limits. And you cannot close your positions - only after resumption of trading it is not clear at what price.

The only thing you can do is to remove limit orders.

 
Dmitriy Skub:

Clarification.

Vasily, to expand limits, trades are closed (usually for 10-15 minutes). And you cannot close your positions - only after resumption of trading it is not clear at what price.

The only thing you can do is to remove limit orders.

Plus. This is exactly what I meant: you can close your positions only after the resumption of trading, on the liquidity that will be accumulated during the suspension of these trades (it depends on how lucky you are).
 

"The price of the limit level in the exchange execution mode can be both above and below the stop price of these orders".

Probably the limit level should be at the minimum stop price level (SYMBOL_TRADE_STOPS_LEVEL) or more, and only in the direction of the current price?

That is, for BUY_STOP_LIMIT the limit level is at least STOPS_LEVEL less than the stop level.

Or is this not the case for exchange execution?

 
Yury Kirillov:

"The price of the limit level in the exchange execution mode can be both above and below the stop price of these orders".

Probably the limit level should be at the minimum stop price level (SYMBOL_TRADE_STOPS_LEVEL) or more, and only in the direction of the current price?

That is, for BUY_STOP_LIMIT the limit level is at least STOPS_LEVEL less than the stop level.

Or is this not the case for exchange execution?

Imho, the stop level (STOP_LEVEL) is only deferred from Bid.

A couple of new order types are good, yes. However, they are good to use for breakout strategies. For breakout strategies, you will have to create an order "in the image and likeness" of a stop-loss order. The author's orders don't change during their "life", but if such orders are "managed" (moved), it's a real pain in the arse.

 
Yury Kirillov:

"The price of the limit level in the exchange execution mode can be both above and below the stop price of these orders".

Probably the limit level should be at the minimum stop price level (SYMBOL_TRADE_STOPS_LEVEL) or more, and only in the direction of the current price?

That is, for BUY_STOP_LIMIT the limit level is at least STOPS_LEVEL less than the stop level.

Or is this not the case for exchange execution?

No, there is no concept of Stop Level on FORTS (it is always zero). Limit orders can have better or worse prices than the current one, which makes it possible to configure complex strategies.
 
Vasiliy Sokolov:
...Limit orders can have better or worse prices than the current one, which makes it possible to configure complex strategies.

Vasily, so I can place a Buy Limit order _above_ Bid?

And, accordingly, Sell Limit _below_ Bid?

(So that they are not executed immediately, of course).

 

I found out [experimentally, i.e. interactively] that on FORTS - yes, a limit order can be placed in _any_ direction from its stop order [i.e. from the price of the stop-limit order].

But on FOREX the limit order, as always, must be <= price - when buying, and >= price - when selling.

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