网格交易法/ IBKR的Scale Trader

闲云野鹤

https://zhuanlan.zhihu.com/p/112529564






IBKR里有个工具叫Scale Trader，可以自动实现网格交易：
https://ibkr.info/node/1005


How to Locate
The Scale Trader can be accessed from the TraderWorkstation by selecting the Trading and then Scale Trader menu options at the top of the page or it can be added to the trading toolbar menu by clicking on the Add More Buttons icon.



Order Set Up
Once the trader has defined the instrument and action (buy or sell), five parameters will need to be specified. Traders will also need to define the order type and time in force. These five parameters for a stock purchase (sale) would be as follows:

• Total Order Size (TOS) – the total number of shares the trader is willing to purchase (sell) as the price falls (increases);
• Initial Component Size (ICS) – the number of shares to be purchased (sold) at the Starting Price;
• Subsequent Component Size (SCS) – the additional number of shares to be purchased (sold) at each Price Increment (at successively lower prices in the case of a purchase and higher in the case of a sale). If a SCS is not entered, the ICS will be used for all component orders.
• Starting Price (SP) – the price at which you are willing to purchase (sell) the Initial Component Size
• Price Increment (PI) – in the case of a purchase (sale), this is the decrease (increase) in price at which each successive component order is to be executed.
  

Example
Assume a GTC limit order is entered into the Scale Trader to buy 1,000 shares of hypothetical stock ABC having a NBBO of $19.95 - $20.00 at a starting price of $20.00 with 500 more shares purchased at every $0.05 down, resulting in a maximum position of 4,000 shares. The five parameters for this order would be as follows:

• TOS = 4,000;
• ICS = 1,000;
• SCS = 500;
• SP = $20.00
• PI = $0.05
  

This order would be then be scaled into 7 components consisting of one at 1,000 and 6 at 500 each. The first component is submitted at $20.00 and after it fills the next component (500) would be submitted at $0.05 lower. That order would wait until marketable and once it has been filled the next component will be submitted. This pattern continues until all components have been filled or the order has been cancelled.