Support Board
Date/Time: Mon, 23 Dec 2024 06:21:00 +0000
SuppotReversals with limit order question
View Count: 1289
| [2014-12-21 22:18:11] |
| onnb - Posts: 662 |
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I have: 1. SupportReversals = 1 2. CancelAllOrdersOnEntriesAndReversals = 1 3. Using Limit orders 4. Using OCO's target/price through ACSIL (not trade window) have a couple of questions: 1. When reversal happens original OCO's are canceled and new limit order is placed. I.e., exit orders from original trade are canceled before the new order limit order gets filled. I saw this mentioned in the docs I think and see this in the trade log. Just want to double check this is intended behavior as it seems quite strange. 2. Say I am short 1 with oco orders to exit. I have a reversal to go long 1. New order is placed for 2 contracts but so are the new OCO's (they are also quantity 2). So when new limit order gets filled, I am long one but my exit orders are quantity of 2. I expect to have OCO qty of 1. Does this make sense? |
| [2014-12-24 04:00:41] |
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This is still pending review.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-12-31 00:23:51] |
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1, 2. The basic problem with each of these is that you are not using a market order. Therefore, the behavior you expect is not occurring. You would not have either of these problems when using a market order. The only reasonable solution that we see for this and what we are working on implementing is that when a reversal is detected, the existing position is flattened with a market order, and the new order which is triggering the reversal, will be whatever order type you specify. And will have Attached Orders to that quantity. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-12-31 01:12:47] |
| onnb - Posts: 662 |
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The only reasonable solution that we see for this and what we are working on implementing is that when a reversal is detected, the existing position is flattened with a market order, and the new order which is triggering the reversal, will be whatever order type you specify. And will have Attached Orders to that quantity.
1. Sounds good - IMO this is better behavior than the existing logic. 2. This is not super urgent - I have worked around this for now by implementing what you describe. That said, this solution would certainly be good to have in place for future projects. |
| [2014-12-31 18:31:26] |
| onnb - Posts: 662 |
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btw, came to mind to mention something related to this. I ran into an issue lately that if I flatten/cancel orders and send in a new order, all at once, the order doesn't get executed. So if I did this in one study function call: sc.FlattenAndCancelAllOrders(); .... sc.BuyEntry(order); It was working fine in replay but in live the result of this is that the orders got canceled but the new orders were not placed. This was with Rythmic if that makes a difference. Have you seen this before? I did not pursue this too much so I am not 100% sure. I worked around with logic that waited till the flatten/cancel completed and only then issued the BuyEntry and that works fine. I am mentioning this because it is the same as the your suggested solution in this thread. Date Time Of Last Edit: 2014-12-31 18:32:01
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| [2014-12-31 20:30:26] |
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the order doesn't get executed.
Why?You need to look at the Trade >> Trade Service Log in the Trade Activity Log to determine the reason. We do not know. Sierra Chart provides the means for a user to determine exactly the reason for a problem like this and a problem like this is best determined on your side. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-12-31 20:31:25
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| [2015-01-02 23:17:19] |
| onnb - Posts: 662 |
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I recall looking at both the Trade Service Log and the Trade Service Log and did not see mention of the order which was weird. I was in a rush and am not 100% sure. I don't expect you to spend any time on this and if I run into again I'll gather more info. One last thing related to this: if I submit an order and the order is rejected by the broker - I am assuming I should see this both in the Trade Activity Log and the Trade Service Log? |
| [2015-01-03 02:32:41] |
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if I submit an order and the order is rejected by the broker - I am assuming I should see this both in the Trade Activity Log and the Trade Service Log?
Yes you will see it both places. You primarily should rely upon the Trade Activity Log. We have made great efforts over the last year to make that a complete central place of accurate trade activity logging.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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