Support Board
Date/Time: Sat, 15 Mar 2025 02:49:19 +0000
Trailing Step appears not to be moving
View Count: 499
| [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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