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My understanding is that the thetagang program will use midpoint prices to submit orders.
For a contract with a large spread. I normally use the ask price for sell order and bid price for buy order, I would even add a few basic points to count for sudden stock movement.
Based on this, I would like to introduce a new change to the configuration file:
# Price strategy determines how the system calculates the price for orders.
# Select the mode that best aligns with your trading strategy, market conditions,
# and risk tolerance.
#
# Valid options:
# - midpoint: The system automatically determines the price. It may use the midpoint
# or adjust based on the configurations:
# `symbol.<symbol>.adjust_price_after_delay = true` and
# `orders.price_update_delay`.
# - spread_capture: Uses the ask price for sell orders and the bid price for buy orders.
# This is suitable for scenarios where the bid/ask spread is large
# and you aim to capture sudden underlying movements. This mode
# disregards `symbol.<symbol>.adjust_price_after_delay` and
# `orders.price_update_delay` configurations.
#
# The pricing mode can be overridden for specific symbols using:
# `symbol.<symbol>.price_strategy`.
#
price_strategy = "midpoint"
...
[symbols.SPY]
...
# The bid/ask spread may be significant for certain contracts.
# Setting the pricing mode to "greedy" will submit orders using the ask price for sells
# and the bid price for buys, bypassing the midpoint calculation.
# This approach is ideal for capturing sudden price movements but may involve higher
# transaction costs due to the wide spread.
price_strategy = "spread_capture"
Let me know if you have any questions, and I can implement this feature.
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My understanding is that the thetagang program will use midpoint prices to submit orders.
For a contract with a large spread. I normally use the ask price for sell order and bid price for buy order, I would even add a few basic points to count for sudden stock movement.
Based on this, I would like to introduce a new change to the configuration file:
Let me know if you have any questions, and I can implement this feature.
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