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Hey! Nice to be here. I am new to algo and automated trading so I asking it here if my tesk is even posible. my tesk is, lets say there is 1000 contract to sell at the corrent market price, I want to buy the market price but I want it only when there is 100 contracts left on that level, So I basiclly want my order to be triggered only after 900 contract sold. somwthing like this can be done? Thank you!
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Alexandre Catarino
This task is only possible if we have the right data and speed.
We need Level 2 (AKA order book) data, since we cannot know how many shares there are in the book with the current trade price.
There is also the speed component. We need HFT capability to be able to place and cancel orders really fast to get our orders where we want them. For instance, if we place our order for the remaining 100 shares, but someone else have bought them (we arrived late), we need to cancel our order because the desired condition is gone. In another cenario, someone has put more shares to be sold, so we want to cancel our order and wait for those to be gone and only 100 shares are left again.
Artium Sirchenko
Yes that is the idea. I am also willing it to be integreted with my trading platform (Multicharts) so I could place this order with one click. Can it be done? What do you mean by HFT capability? You mean the actual PC I am working on? and of cource I have access to level2.
Alexandre Catarino
There are traders that do what you are describing (tape reading) manually.
I meant by HFT (hight frequency trading) capability the speed we need to place/cancel orders to meet the required conditions to enter a position. In my previous commment, I give examples on why we need to be fast, but, in short: the top order book changes too fast.
Artium Sirchenko
I am now manual tape reader. Just wanted to make it a little bit more machanical as I find it really hard to set my orders the way I want (as I described) without help of some algorithem. As you said , it's just to fast for human to do so. And I know the concept of HFT, what I meant with my question about the capability is , what is HFT capability? The hardware I am using? the software? how can I make this task done basicly?
Thank you!
Alexandre Catarino
Basically you need the hardware (colocation server), the level 2 data and a software that process that data.
QuantConnect does not have book order data at the moment. It is very expensive data and out of the scope of the large majority of our community.
You could think of an alternative strategy that wouldn't need HFT trading speed nor level 2 data, but would still explore the market inefficiency you aim to. In that case, you would use QuantConnect.
Artium Sirchenko
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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