A minimum indicates a sufficiently strong follow on move (from previous day), a maximum prohibits excessively outsized moves. The trading system does significantly better with both a minimum and a maximum price limit when entering at the open.? Though of course, yes, one option is to take the hit, use only a maximum, and just work with a more reliable LOO order.

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I’ve come up with three workarounds, which approximate the required order behaviour.? Each of them is fine, even with their inherent faults, for an EOD trading system (which shouldn’t be so fragile as to require trade entry prices to be at exactly the open price); but they compromise/approximate in different ways, and the differences are just techncially interesting (how does IB really handle price/time conditions in these scenarios).

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The three options I see are:

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1. Stream tick data and place a LOO buy order (at the required maximum) if the first trade price is above the required minimum.? Slowest of the three options (I would guess) as it involves my client code on a non IB server; has the advantage of making a decision based on the opening price, but the order will reach the market at some interval (likely just milliseconds) after the open.? I think this is the most robust, but I’m trying to avoid adding streaming architecture to this trading client if I can.

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2. Place a limit order (for the required maximum), and add price and time conditioning to cancel the order if the open price is less than the required minimum.? [theoretically, if our order was somehow first in the queue, it could be filled first, before the cancel conditions can trigger; or it may be filled prior to IB’s order handling has time to register another opening trade below the minimum and send the cancel order]

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order = Order()

order.action = "BUY"
order.orderType = "LMT"
order.totalQuantity = quantity
order.lmtPrice = limit_price
order.outsideRth = False
# PRICE CONDITION to cancel order if opening trade is below the minimum price
price_condition = Create(OrderCondition.Price)
price_condition.conId = t.contract.conId
price_condition.exchange = 'SMART'
price_condition.isMore = False
price_condition.triggerMethod = 2
price_condition.price = minimum_required_open

price_condition.isConjunctionConnection = False
order.conditions.append(price_condition)
# TIME CONDITION – cancel after n seconds so the order is only active at the “open”

time_condition = Create(OrderCondition.Time)
time_condition.time = datetime.strftime(end_datetime, '%Y%m%d %H:%M:%S ')? # end_datetime = n seconds after the 9:30

time_condition.isMore = True
time_condition.isConjunctionConnection = False

order.conditions.append(time_condition)

# Conditions do not apply outside RTH, and any condition being met will cancel the order
order.conditionsIgnoreRth = False
order.conditionsCancelOrder = True

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3. Place a limit order (for the required maximum) and add price conditioning to activate the order if the opening price is above the required minimum? [this will activate the order if there is any trade above the required minimum during the GTD period (n seconds), which is not the same as activating on the open price alone]

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# [Indicative code, untested]

order = Order()

order.action = "BUY"
order.orderType = "LMT"

order.tif = "GTD"

order.goodTillDate = datetime.strftime(end_datetime, '%Y%m%d %H:%M:%S ')? # end_datetime = n seconds after the 9:30

order.totalQuantity = quantity
order.lmtPrice = limit_price
order.outsideRth = False
# PRICE CONDITION to activate the order if a minimum price trade is observed

price_condition = Create(OrderCondition.Price)
price_condition.conId = t.contract.conId
price_condition.exchange = 'SMART'
price_condition.isMore = True
price_condition.triggerMethod = 2
price_condition.price = minimum_required_open

order.conditions.append(price_condition)

# Conditions do not apply outside RTH
order.conditionsIgnoreRth = False

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Unfortunately IB won’t allow conditions to be added to LOO type orders – otherwise that would be a great way to remove the timing aspect of it.

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The three options are all a bit rough, and each may be trying too hard! ?I am testing #2 at the moment. ??The system trades infrequently (once or twice a week), so it takes a while to build up a dataset.

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But are there better ways of doing it?? Would love to get others thoughts.

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Dave

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