Support Board
Date/Time: Wed, 12 Mar 2025 16:50:58 +0000
C++ ACSIL OCO stop/limit order clean implementation
View Count: 1209
| [2022-05-12 19:15:44] |
| Sergei Belov - Posts: 3 |
|
I am trying to implement OCO stop/limit order in C++/ ACSIL for several days now and am using templates from TradingSystem.cpp file which comes with the distribution. I can show you my code for that with Message Log errors. I tried 20 different combinations. All compile and produce some statistics. The closest to correct implementation gives and error message Trade Order Error - Invalid order prices relative to current price: 4035.25 | Symbol: [Sim]ESM22-CME Buy Exit Price 4064.500000 TakeProfit 4077.000000 StopLoss 4070.750000 I tried all +1 and -1 factors and still getting the same error message Another version I get OCO stop/limit order filled but next entry order failed Maybe you already have some clean example of this my code is very long but I am happy ton attach the relevant pieces |
| [2022-05-12 19:41:53] |
| ForgivingComputers.com - Posts: 1021 |
|
You can get the order qty from the trade window, then set the OrderType, Entry Price (Last in this example), Stop as an Offset, and Target as an offset: s_SCNewOrder NewOrder; NewOrder.OrderQuantity = sc.TradeWindowOrderQuantity; NewOrder.OrderType = SCT_ORDERTYPE_LIMIT; NewOrder.Price1 = sc.Last[sc.Index]; // this is the Entry Price NewOrder.Target1Offset = TargetTicks.GetInt() * sc.TickSize; NewOrder.Stop1Offset = StopTicks.GetInt() * sc.TickSize; |
| [2022-05-12 20:22:46] |
| Sergei Belov - Posts: 3 |
|
Dar BradH I ran this example -- it now sends exit orders but immediately at current price without any offsets (losing 1 tick on every trade) even though I put TargetTicks to 50 and StopTicks to 25 You recommend NewOrder.OrderType = SCT_ORDERTYPE_LIMIT; Before I was using NewOrder.OrderType = SCT_ORDERTYPE_OCO_BUY_STOP_SELL_STOP; NewOrder.AttachedOrderStop1Type = SCT_ORDERTYPE_STOP; NewOrder.AttachedOrderTarget1Type = SCT_ORDERTYPE_LIMIT; NewOrder.Price1 = price - sc.TickSize * Stop_Level.GetFloat(); NewOrder.Price2 = price + sc.TickSize * Target_Level.GetFloat(); int Result1 = (int)sc.SubmitOCOOrder(NewOrder); I had a version before with behavior similar to your version (exit trades immediately without any offset) This should be something simple. I am pretty good in general C++ but just starting in Sierra Chart. I also have my own backtesting engine linked to 3 100TB of tick data and several quant strategies there (I have math PhD from MIT) -- happy to collaborate |
To post a message in this thread, you need to log in with your Sierra Chart account: