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Example 3: Scale with Profit and Initial Component size

Data Assumptions:

Label

Value

NBBO

$26.31 - $26.32

Action

Buy

Total Order Size

10,000

Initial Component Size

800

Subsequent Component Size 400

Starting Price

$26.28

Price Increment

.02

Order Type

Limit

Time in Force

GTC (this is set on the Basic tab of the order ticket)

Create profit taking order Check to enable
Profit Offset 0.20

 

The difference between this order and the order in Example 2 is that the Initial Component Size is larger than the subsequent component size by one full size. This feature works in conjunction with the profit taking orders, which we have enabled at an offset of $.20.

To understand the larger initial component, let’s first look at the mechanics of using the same component size of 400 with the $.02 profit offset. In this case, a BUY order would be submitted at the starting price of $26.28 and after it fills, the profit SELL order would be submitted at the component price + profit offset, or $26.48. When this fills, you have bought at $26.28 and sold at $26.48 for a profit of $.20 per share.

Now let’s look at the example above with the Initial Component of 800. TWS submits the first component as a BUY order for 800 at the Starting Price, or $26.28. But when this fills, the profit sell orders are submitted in Subsequent Component-sized lots AS IF the 800 shares were sent in as two BUY orders at $26.28 and $26.26, right up to the non-editable Top Price. So two sell orders for 400 shares each are submitted for $26.48 and $26.46. Once these fill, the subsequent 400-share components kick in for the remainder of the 10000-share order.

Scale Profit Orders with Initial Component topic.

 

Important Disclosures