Support Board
Date/Time: Fri, 29 Nov 2024 10:42:51 +0000
[Locked] - teton market order rejected
View Count: 688
| [2023-02-21 15:44:17] |
| User725043 - Posts: 35 |
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Hi, 1. Running the same ACSIL strategy in 3 instances to 3 FCMs all with the same instrument, MNQH23_FUT_CME. 2. All orders are market orders. 3. At 09:45:00.438 received this Rejected message on a Buy Entry market order: Teton CME Order Routing (Order reject). Info: CME (Rejected). Text: Order price is outside bands 'Bid of 1228125.00 violates High Band 1227975.00 using Delta .00, C.Last equals 1225575.00'. Internal Order ID: 183. Service Order ID: 81541. Symbol: MNQH23_FUT_CME. Account: XXXXXXXX| 2023-02-21 09:45:00.438 * 4. Buy Entry market orders to FCM 1 and FCM 2 got filled. Manually filled the market order to FCM 3 at 9:45:49.629. 5. Read the below on the Support Board, but don't see how it applies to my use case as this was a market order for the same symbol of the same chart: Order price is outside bands 6. Chart Settings -> Symbol are attached. Trade and Current Quote Symbol Price Multiplier (List) is 0, which was the default set by loading the symbol onto the chart, and is the Chart Settings -> Symbol used in FCM 1 and FCM 2. 7. Could you please let me know what needs to be done to stop this from occurring again? Thanks |
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| [2023-02-21 16:31:27] |
| Sierra_Chart Engineering - Posts: 17226 |
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You really should contact the exchange about this. If you look at the Trade Activity Log you can get the Exchange Order ID. Documentation: https://www.sierrachart.com/index.php?page=doc/TradeActivityLog.php#ViewingHistoricalTradeActivityYou You can find the order in the log through its Internal Order ID given in the rejection message. Check the Order Type for this order in the Trade Activity Log and confirm it is actually a market order. One thing that we know is the CME does set a Limit price for a market order to limit how far it can fill from the current price. So a market order does actually have a price at the exchange. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-02-21 16:43:12
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| [2023-02-21 16:57:34] |
| User725043 - Posts: 35 |
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Found the Exchange Order ID and reached out to the FCM. Yes, it is a market order, as are all my orders. Please see attached showing that Internal Order ID 183 was a market order and Status is Error and not filled. Does not show in the Trade Acivity Log but does show in the Trade Orders window. Are you referring to this (link below) on the CME Market Order with Protection? https://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Types+for+Futures+and+Options#OrderTypesforFuturesandOptions-MarketOrderwithProtection What control mechanism/best practice can be used in ACSIL or SC to fill the market order upon a Reject, as in this case, or disable the Protection to make it a pure market order? Thanks |
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| [2023-02-22 19:29:33] |
| Sierra_Chart Engineering - Posts: 17226 |
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That rejection must be in the Trade Activity Log. That probably is the right link. We do not know how protection can be disabled. We do not think it can be. What you can do in ACSIL is when you see an order that encounters an Error status, then you can resend it. We would not try more than once though. 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-02-23 03:01:59] |
| User90125 - Posts: 715 |
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Doesn't SC have an option to fill rejected Stop Orders as Market Orders? Perhaps something simiiar could be added for Market Orders to automatically retry, although in a fast moving market I can see why the exchange would reject it to prevent so-called "stop hunting" or "stop runs" from occuring. |
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