Interactive Broker’s SNAP Orders for Delayed Trading

For a person who doesn’t work in the financial industry, I write a lot of trading-related code. I also like automation. Despite all that, I still don’t automate my trading 100%. My trades are manual, but I do use a few fancy tricks possible on Interactive Brokers.

There are two factors that define how I place orders: time and order type. The time dimension is extremely important to me – I’d like to spent as little time as possible in front of TWS. More importantly, since I am working full-time elsewhere, often I cannot show up at the precise time when I want to trade (often that’s 3:55-4pm EST, when the stock market closes). Fortunately, IB has the conditional orders, and time is one of the possible conditions:

The above screenshot shows how to add a time condition to execute the order only after 15:55 EST. For more details see TWS’s documentation.

Setting the time component is pretty much sufficient if trading highly liquid instruments. Set the order type to market and I am done.

For less liquid assets, I usually exploit the SNAP to MID order type. These are amazing – they are pretty much what I would have done manually using TWS. I’d look at the bid and the ask, and kind of mentally determine the middle point. Then, I will put a limit order using either the middle point directly, or subtracting (adding) some amount to it. That’s exactly what the SNAP to MID implements, and, when combined with a conditional I can simulate the trading as I want it, without being present.

Comments

  1. R says:

    Hello:

    Would you please explain further how to do what you mentioned: “That’s exactly what the SNAP to MID implements, and, when combined with a conditional I can simulate the trading as I want it, without being present.”

    I emailed support at IB a week ago but have not received a reply.

    Ideally I would like to set up the following OCO entry order, using AAPL as an example:

    1. When AAPL hits 220, I’d like to purchase a 25 delta call, snap to mid with a 0.05 offset OR
    2. When AAPL hits 210, I’d like to purchase a -25 delta put, snap to mid with a 0.05 offset

    I’d appreciate any additional insight you could provide on how to do this. I use the TWS Classic layout.

    Thank you.

    1. quintuitive says:

      In all my examples and use, the signal and the traded instrument are the same. However, in the conditional trades, you can use a different underlying for the signal. What I am suggesting is to try to have the delta call as the traded instrument and to put a conditional order on it triggered by a condition on AAPL. I would try first something simpler: buy/sell S&P500 with a condition on AAPL.

Leave a Reply