Support Board
Date/Time: Mon, 25 Nov 2024 09:28:29 +0000
Post From: Position Average Price
| [2014-01-22 12:01:18] |
| MotoMoto - Posts: 47 |
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Hello, I have read the documentation and threads regards the Position Average Fill price. I understand you have decided to calculate it one way in particular based on the average price of the fills that make up the current position. I am using v1080, and the latest version of IB TWS, but during simulated trading (so IB is irrelevant here) and was wondering if anyone had a work around this problem I am getting. I have a spreadsheet for trading system that will enter a trade multiple times up to the maximum quantity allowed. eg;In EURJPY am prepared to BUY 6x50,000 lots up to a max qty of 300k ...so far so good, all matches, fills correctly and works out the average price. However.....if I also wish to have a stop loss based on the Position average fill price ($j$9) then the only way for this to exit a position accurately based on my ENTRIES is to exit the position all at once, and not in various quantities. If I wish to exit the strategy in small quantities, eg; 3x100k then the average price changes. Hence it becomes difficult/impossible to accurately use the original average price of the entries as a fixed amount (without typing it in manually)as the system changes the average price. eg; I am long 300k at average 141.41 and I sell 100k at 141.38 - my new average price is now different to the 141.41. So....I know SC had all sorts of discussions about this previously, and understand some of the issues regards linking to brokers and getting accurate prices etc. BUT, does anyone have an idea/solution (apart from having to monitor and manually update an average price cell myself), to maintain a fixed average price for trade entries only without taking into consideration all order fills? Thanks |