Writing Passive Relative Orders in NinjaTrader Strategies ( PASSV REL )
INTERACTIVE BROKERS PASS REL ORDERS
I was chatting with a friend that was trying to write passive relative orders in Ninja Trader that he had used in Interactive Brokers TWS.
Since you know I have no love for interactive brokers, I thought I would give him a hand.Besides, I have not written a coding post for the blog in a while.
If you want to find out how I feel about Interactive Brokers, just use the search bar over there.
Regardless, Interactive Brokers ( From now on, I will just type IB instead of Interactive Brokers because it is getting way to tiring to write the whole thing ) has a pretty good selection of orders, one of them being a Passive relative order (PASSV REL )
WHAT IS A PASSIVE RELATIVE ORDER ?
Lets start by looking at the IB website.
Passive Relative orders provide a means for traders to seek a less aggressive price than the National Best Bid and Offer (NBBO) while keeping the order pegged to the best bid (for a buy) or ask (for a sell). The order price is automatically adjusted as the markets move to keep the order less aggressive
What is is in reality is an attempt to get a better price. Putting in an order away from the market hoping the market will come back and get you into the trade at a better price.
Stocks, futures and options ( and other things , but you get the idea) move up and down all the time. A passive relative order is an order that sits relative to the bid / ask and waits for the price to come back and get filled.
The difference between this and a limit order is that limit price will move relative to the bid/ask price. So here is an example of this type of order.
I won’t go into detail here, but there is a really good explanation on the IB website.
THE CODE
This PSEUDO code below is for Ninjatrader strategies. I think the closest you have in the ATM strategies is the ATM strategy. The code is a little advanced so you will have to bear with me on this one. If you are just a beginner at Ninja script, I would leave this type of programming alone.
I went with PSEUDO code because if you are advanced enough write this, you probably would not have a problem writing the C# code yourself. I was going to release code, but I thought that would be to confusing. If there is enough interest, I will release it. So leave a comment and if enough people want it I will release the NinjaTrader code.
The first thing you will need is the order object and the bid / ask prices.
double offset_price ; double max_price ; bool entry_direction ; double current_limit_price ; ...
We need to keep the entry direction since passive relative orders act with the direction.
The next part is in OnOrderUpdate(), remember to check for the IOrder.Token.
OnOrderUpdate()
{
// wait until order comes back confirmed,and store the value.
if ( order completed ) current_limit_price = order price
}
OnMarketData {
...
double mid_point = ( GetCurrentBid() + GetCurrentAsk() ) / 2 ;
// if the price is at max price do not move
if ( current_limit_price gt max_price ) return
// now if price is to far away, move the limit order
if ( difference (mid_price , current_limit_price ) > offset_price )
cancel order
enter_new_order(mid_price , current_limit_price)
... }
Most , well all , of the heavy lifting will be done in the OnMarketData and OnOrderUpdate. You cannot do this using on bar update.
I have just touched on the subject, if you would like me to write more , leave a comment so I know other people are interested.
A LITTLE WARNING
Programming this stuff is considered advanced programming and is for experienced programmers. Don’t blame me if something goes wrong.
Using this type of order can and will generate a lot of cancel order messages as the limit order is moved.
For futures there are message limits that can lead to a fine and in options there are usually cancel fees from the exchange. Of course your broker may add something on also, so you mileage will vary.
And finally, using a lot of cancel and replace orders , you may run into ‘in-flight’ order problems. Which are usually not nice.
Photo by szeke
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