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Date/Time: Sat, 15 Mar 2025 04:01:32 +0000



Trailing Step appears not to be moving

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[2022-07-06 20:28:04]
User764761 - Posts: 9
Hello

I placed a short trade on MGC just after some news and as expected there was a sudden strong move down. The trade was a bracket order 5:1 with the stop being a trailing step. It exited when the take profit was hit at 5:1 so a good outcome.

However, what should have happened is that the trailing step stop should have ratcheted down. Based on the log extract it seemed that it could not move down.

Please can you explain why this happened and how I can fix it?

It appears to me that the stop was trying to be moved in the wrong direction and so was rejected.

The only possible thing that I think is worth knowing is that I had experimented with Study Controlled Targets (Kiwis and SuoerTrend) but had removed these before doing a live trade.

Thanks

Small Log extract with error message:
  
Orders  2022-07-06 14:46:36.554129  2022-07-06 14:46:36.554122  F.US.MGCQ22  Order modification failed | Reject text: Buy order stop price must be above last trade price ExchangeRejectCode = 2061  95  291888651  Step Trailing Stop  1  Buy  1762.5    Open      <accountname> Close  93  -1          0.00    95.76590  Good till Canceled
[2022-07-06 20:40:48]
John - SC Support - Posts: 38678
According to the rejection message, the stop did not move because it would have moved it below the current price. The implication is that the "Step Amount" was too large.

What were the parameters for your Step Trailing Stop?
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-07-06 20:54:20]
User764761 - Posts: 9
Parameters for Trailing Step are:

Stop Offset = 15
Step Amount = 12
Offset Type = Ticks
Type = Stop: Step Trailing Stop
Group OCO Group 1
Quantity 1

Move to Breakeven for Stop
Step 1 Type = None
Step 2

What I am looking for is:
- Initially a 15 tick Stop Loss
- Once it moves to +12 in profit I go to Breakeven
- Thereafter it trails in steps of 12
- Until it hits a maximum PnL which is 60 (this last part is taken care of by the bracket and is not part of the parameters shown).
[2022-07-06 21:54:52]
John - SC Support - Posts: 38678
We are not sure why you got the rejection. Can you find the initial Order for the stop and the rejected order in your Trade Activity Log and let us see those lines, or better yet export them out so we can see the entire line.

From your parameters, your Stop should not have crossed over the last price, unless price moved quick enough that it was +12 and triggered the step but then moved back to a -3 (or higher) price point such that the Stop was rejected.

But, we are wondering if you really would prefer a Trail Stop or a Triggered Trail Stop. With either of these the stop will continue to trail the price continuously as it moves at a particular offset. With the Trail Stop you could set your Move to BreakEven when you are at +12. With the Triggered Trail Stop you can trigger when you are at +12 profit.

Keep in mind, with the Step Trailing Stop, you only move when the Step Amount is reached and then it will move to the Offset amount. Therefore, the first step will occur when you are at +12 profit and with the offset of 15, your Stop will be at -3 ticks (not breakeven). The next step will occur when price hits +24 profit and will put the Stop at +9 (24 - 15 = 9).

Refer to the different order types at the following link:
Order Types
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-07-06 22:41:34]
User764761 - Posts: 9
Thanks for the suggestion but I found after 6 months back testing the trailing step gives about 30% better in PnL than the straightforward trail. I do agree that I should change the 15 back to 12. I moved it from 12 to 15 when I go stopped out probably due to some excess spread so widened the original stop as an experiment. It would have been better to keep the two the same at 15 & 15 or 12 & 12.

Below are the details you requested. This shows events from the trade placement to first rejection of a stop move.

ActivityType  DateTime  TransDateTime  Symbol  OrderActionSource  InternalOrderID  ServiceOrderID  OrderType  Quantity  BuySell  Price  Price2  OrderStatus  FillPrice  FilledQuantity  TradeAccount  OpenClose  ParentInternalOrderID  PositionQuantity  FillExecutionServiceID  HighDuringPosition  LowDuringPosition  Note  AccountBalance  ExchangeOrderID  ClientOrderID  TimeInForce  Username
Positions  2022-07-01 14:46:46.620460  00:00:00.000000  F.US.MGCQ22  Removing Position with quantity of 0                Unspecified      <AccountName>                0.00        
Orders  2022-07-06 14:46:14.081103  2022-07-06 14:46:14.081091  F.US.MGCQ22  F.US.MGCQ22 1 Min #4 | User order entry | Last: 1761.1 | AO=1. Attached Order | Client side bracket order | Server side OCO order  94    Limit    Buy  1755.0    Pending Child-Client      <AccountName>  Close  93            0.00      Good till Canceled  
Orders  2022-07-06 14:46:14.089039  2022-07-06 14:46:14.089029  F.US.MGCQ22  F.US.MGCQ22 1 Min #4 | User order entry | Last: 1761.1 | AO=1. Attached Order | Client side bracket order | Server side OCO order  95    Step Trailing Stop    Buy  1762.5    Pending Child-Client      <AccountName>  Close  93            0.00      Good till Canceled  
Orders  2022-07-06 14:46:14.093666  2022-07-06 14:46:14.093659  F.US.MGCQ22  F.US.MGCQ22 1 Min #4 | User order entry | Last: 1761.1 | AO=1  93    Limit  1  Sell  1761.0    Order Sent      <AccountName>  Open              0.00      Day  
Orders  2022-07-06 14:46:14.148428  2022-07-06 14:46:14.148423  F.US.MGCQ22  CQG order update. Status: IN_TRANSIT  93  291911261  Limit  1  Sell  1761.0    Pending Open      <AccountName>  Open              0.00    93.39039  Day  
Orders  2022-07-06 14:46:14.208762  2022-07-06 14:46:14.208757  F.US.MGCQ22  CQG order update. Status: ACK_PLACE  93  291911261  Limit  1  Sell  1761.0    Open      <AccountName>  Open              0.00    93.39039  Day  
Positions  2022-07-06 14:46:35.347338  00:00:00.000000  F.US.MGCQ22  Updated Service Position Quantity to -1                Unspecified      <AccountName>                0.00        
Orders  2022-07-06 14:46:35.347428  2022-07-06 14:46:35.347410  F.US.MGCQ22  CQG order update. Status: FILL  93  291911261  Limit  1  Sell  1761.0    Filled  1761.0  1  <AccountName>  Open      7085412100        0.00    93.39039  Day  
Positions  2022-07-06 14:46:35.347470  00:00:00.000000  F.US.MGCQ22  Updated Internal Position Quantity to -1. Previous: 0        1        Unspecified      <AccountName>      -1          0.00        
Fills  2022-07-06 14:46:35.347502  00:00:00.000000  F.US.MGCQ22  CQG order update. Status: FILL  93  291911261  Limit  1  Sell  1761.0    Filled  1761.0  1  <AccountName>  Open    -1  7085412100        0.00    93.39039  Day  
Orders  2022-07-06 14:46:35.354197  2022-07-06 14:46:35.354182  F.US.MGCQ22  Auto-sent child from parent fill  94    Limit  1  Buy  1755.0    Order Sent      <AccountName>  Close  93  -1          0.00      Good till Canceled  
Orders  2022-07-06 14:46:35.354252  2022-07-06 14:46:35.354247  F.US.MGCQ22  Auto-sent child from parent fill  95    Step Trailing Stop  1  Buy  1762.5    Order Sent      <AccountName>  Close  93  -1          0.00      Good till Canceled  
Orders  2022-07-06 14:46:35.367520  2022-07-06 14:46:35.367501  F.US.MGCQ22  CQG order update. Status: IN_TRANSIT  94  291888650  Limit  1  Buy  1755.0    Pending Open      <AccountName>  Close  93  -1          0.00    94.89314  Good till Canceled  
Orders  2022-07-06 14:46:35.368414  2022-07-06 14:46:35.368400  F.US.MGCQ22  CQG order update. Status: IN_TRANSIT  95  291888651  Step Trailing Stop  1  Buy  1762.5    Pending Open      <AccountName>  Close  93  -1          0.00    95.76590  Good till Canceled  
Orders  2022-07-06 14:46:35.456842  2022-07-06 14:46:35.456831  F.US.MGCQ22  CQG order update. Status: ACK_PLACE  94  291888650  Limit  1  Buy  1755.0    Open      <AccountName>  Close  93  -1          0.00    94.89314  Good till Canceled  
Orders  2022-07-06 14:46:35.457221  2022-07-06 14:46:35.457213  F.US.MGCQ22  CQG order update. Status: ACK_PLACE  95  291888651  Step Trailing Stop  1  Buy  1762.5    Open      <AccountName>  Close  93  -1          0.00    95.76590  Good till Canceled  
Orders  2022-07-06 14:46:35.916355  2022-07-06 14:46:35.916342  F.US.MGCQ22  Auto-trade order modification: F.US.MGCQ22 1 Min #4 | Trade Management by Study. Requested Price: 1761.0. Requested Quantity: 1  95  291888651  Step Trailing Stop  1  Buy  1762.5    Pending Modify      <AccountName>  Close  93  -1          0.00    95.76590  Good till Canceled  
Orders  2022-07-06 14:46:36.018880  2022-07-06 14:46:36.018874  F.US.MGCQ22  Order modification failed | Reject text: Buy order stop price must be above last trade price ExchangeRejectCode = 2061  95  291888651  Step Trailing Stop  1  Buy  1762.5    Open      <AccountName>  Close  93  -1          0.00    95.76590  Good till Canceled  
Orders  2022-07-06 14:46:36.451777  2022-07-06 14:46:36.451774  F.US.MGCQ22  Auto-trade order modification: F.US.MGCQ22 1 Min #4 | Trade Management by Study. Requested Price: 1761.0. Requested Quantity: 1  95  291888651  Step Trailing Stop  1  Buy  1762.5    Pending Modify      <AccountName>  Close  93  -1          0.00    95.76590  Good till Canceled  
Orders  2022-07-06 14:46:36.554129  2022-07-06 14:46:36.554122  F.US.MGCQ22  Order modification failed | Reject text: Buy order stop price must be above last trade price ExchangeRejectCode = 2061  95  291888651  Step Trailing Stop  1  Buy  1762.5    Open      <AccountName>  Close  93  -1          0.00    95.76590  Good till Canceled
[2022-07-07 16:48:52]
John - SC Support - Posts: 38678
The Order Modifications are stating that they are coming from a "Trade Management by Study". It sounds like there may be a conflict with the order type and a study that is trying to control the stop.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
[2022-07-08 07:21:12]
User764761 - Posts: 9
Ok, thanks. Posting reply so that anyone looking at this thread can see the solution.

I had set up a trade management by study as an example earlier in the day. I thought that I had removed it but clearly I had not.

Closing the case.

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