The Traderszone Network

Published in TZ Latest News 4 March, 2017 by The TZ Newswire Staff

Sharpe getting killed by bid ask spread

Hi everyone,

I have developed some automated strategies that I’m executing manually to get a feel of how to code the execution logic. When spreads are $0.01, I usually send market orders. However for some smaller cap stocks or where bid ask spread is bigger, I usually try to enter limit orders.

Is there any reference for how to develop execution algos, somewhat similar to what IB has? Is there a way to delegate to IB API the order execution and is it better to do it this way?