Re: Pairs trading: Parent vs Child order placement
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I do use this type of orders for one special effect, which excludes trading in different securities (it's more of a simpler reversion trade). There are a some quirks to all of varieties of IB's bracket order, this one being no exception. Although my code for managing this was hacked a long time ago and I couldn't find any clear comments or side notes, I found in my code a check giving a strong warning which concerns automatically assigning the calculated values of 'hedgeParam' below 1.0. In particular the only accepted values for the apper to be 0.1, 0.2 and 0.5, which I probably found experientially. Other than that it likely should work.
Hope that helps.
For context, the goal is pairs trading, but one of the two securities is somewhat less liquid than the other,
hence the desired prioritization/conditionality of the most liquid order on the execution of the least liquid one first.
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