Your Trades are Automated, But You're Still Missing Trades
By Dave Mabe
When you consider missed trades from your trading strategy, 90%+ of the issue is solved by automating your trades.
That's by far the highest value thing you can do for your trading. (MabeKit users tell me this time and time again.)
If you haven't automated your trading yet, stop reading and focus on what it would take to get there.
Everything gets easier when you automate because you eliminate most mistakes and moving targets.
Let's assume you're already automated and your orders are going in as quickly as possible - that is, there's not much to be gained from reducing latency.
Are you still missing trades?
This is where things get interesting.
Take a look at your signal time - the earliest possible moment you could have entered an order.
And compare that to when your order went live.
There will be some unavoidable delay between those two timestamps.
But what you can adjust here is the type of order you use for your entry.
The question you should be asking yourself is:
What order would have been required to get a fill for this particular trade?
To answer that, you need to look at Time and Sales (T&S).
"Time and Sales" refers to the individual trades that make up the market - basically, all the trades that create a minute bar.
Think of it as a historical level one (L1) book.
IBKR has a nice way to query time and sales by symbol and timestamp, and then scroll forward or backward in time.
Look at the bid and ask at the time your order went in.
You should be able to ascertain:
Why your order didn't get filled
What order would have been required to get a fill
Remember, any one particular trade is irrelevant, but looking at missed trades this way paints a picture of what it would take to get the fills next time.
-Dave
P.S. Are you sick of second-guessing yourself every time you click buy or sell? Trade with conviction using MabeKit.