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Date/Time: Sat, 15 Mar 2025 03:32:55 +0000
Post From: V 2412 : closing position with market order does not cancel attached order
| [2022-07-07 12:05:32] |
| User877753 - Posts: 152 |
|
I use Scale Out functionality. Scenario : sell contract ; market order sell another contract market; market order buy to cover one contract; market order buy to cover another contract; market order 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
Orders 2022-07-07 13:55:26.302692 2022-07-07 13:55:26.302684 [Sim]ES-202209-GLOBEX ES-202209-GLOBEX[M] 10 Sec #1 | User order entry | Last: 3862.75 | AO=1. Attached Order | Client side OCO order 8347 Limit Buy 3860.25 Pending Child-Client Sim1 Close 8346 0 Good till Canceled Orders 2022-07-07 13:55:26.306639 2022-07-07 13:55:26.306635 [Sim]ES-202209-GLOBEX ES-202209-GLOBEX[M] 10 Sec #1 | User order entry | Last: 3862.75 | AO=1. Attached Order | Client side OCO order 8348 Stop Buy 3865.25 Pending Child-Client Sim1 Close 8346 0 Good till Canceled Orders 2022-07-07 13:55:26.306647 2022-07-07 13:55:26.306645 [Sim]ES-202209-GLOBEX ES-202209-GLOBEX[M] 10 Sec #1 | User order entry | Last: 3862.75 | AO=1 8346 Market 1 Sell Order Sent Sim1 Open 0 Day Orders 2022-07-07 13:55:26.306655 2022-07-07 13:55:26.306654 [Sim]ES-202209-GLOBEX Simulated order accepted 8346 8346 Market 1 Sell Open Sim1 Open 0 Day Orders 2022-07-07 13:55:26.306688 2022-07-07 13:55:26.306686 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3862.75 Ask: 3863.00 Last: 3862.75 8346 8346 Market 1 Sell Filled 3862.75 1 Sim1 Open 0 Day Fills 2022-07-07 13:55:26.306692 2022-07-07 13:55:26.306671 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3862.75 Ask: 3863.00 Last: 3862.75 8346 8346 Market 1 Sell Filled 3862.75 1 Sim1 Open -1 8346.1 0 Day Orders 2022-07-07 13:55:26.306722 2022-07-07 13:55:26.306721 [Sim]ES-202209-GLOBEX Auto-sent child from parent fill 8347 Limit 1 Buy 3860.25 Order Sent Sim1 Close 8346 -1 0 Good till Canceled Orders 2022-07-07 13:55:26.306727 2022-07-07 13:55:26.306726 [Sim]ES-202209-GLOBEX Auto-sent child from parent fill 8348 Stop 1 Buy 3865.25 Order Sent Sim1 Close 8346 -1 0 Good till Canceled Orders 2022-07-07 13:55:26.306733 2022-07-07 13:55:26.306732 [Sim]ES-202209-GLOBEX Simulated order accepted 8347 8347 Limit 1 Buy 3860.25 Open Sim1 Close 8346 -1 0 Good till Canceled Orders 2022-07-07 13:55:26.306737 2022-07-07 13:55:26.306736 [Sim]ES-202209-GLOBEX Simulated order accepted 8348 8348 Stop 1 Buy 3865.25 Open Sim1 Close 8346 -1 0 Good till Canceled Orders 2022-07-07 13:55:33.677465 2022-07-07 13:55:33.677458 [Sim]ES-202209-GLOBEX ES-202209-GLOBEX[M] 10 Sec #1 | User order entry | Last: 3863.25 | Scaling in | AO=0 8349 Market 1 Sell Order Sent Sim1 Open -1 0 Day Orders 2022-07-07 13:55:33.677490 2022-07-07 13:55:33.677488 [Sim]ES-202209-GLOBEX Simulated order accepted 8349 8349 Market 1 Sell Open Sim1 Open -1 0 Day Orders 2022-07-07 13:55:33.677521 2022-07-07 13:55:33.677519 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3863.00 Ask: 3863.25 Last: 3863.25 8349 8349 Market 1 Sell Filled 3863.00 1 Sim1 Open -1 0 Day Fills 2022-07-07 13:55:33.677526 2022-07-07 13:55:33.677516 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3863.00 Ask: 3863.25 Last: 3863.25 8349 8349 Market 1 Sell Filled 3863.00 1 Sim1 Open -2 8349.1 3863.25 3862.75 0 Day Orders 2022-07-07 13:55:33.677556 2022-07-07 13:55:26.306732 [Sim]ES-202209-GLOBEX Scale-In: Increasing quantity of child order by 1 due to order fill of the same side. 8347 8347 Limit 1 Buy 3860.25 Open Sim1 Close 8346 0 Good till Canceled Orders 2022-07-07 13:55:33.677578 2022-07-07 13:55:33.677577 [Sim]ES-202209-GLOBEX Increasing order quantity (Scale In). Using specified quantity of 2. Using existing order price. Requested Price: 3860.25. Requested Quantity: 2 8347 8347 Limit 1 Buy 3860.25 Pending Modify Sim1 Close 8346 -2 0 Good till Canceled Orders 2022-07-07 13:55:33.677585 2022-07-07 13:55:33.677584 [Sim]ES-202209-GLOBEX Simulated order modify complete 8347 8347 Limit 2 Buy 3860.25 Open Sim1 Close 8346 -2 0 Good till Canceled Orders 2022-07-07 13:55:33.677589 2022-07-07 13:55:26.306736 [Sim]ES-202209-GLOBEX Scale-In: Increasing quantity of child order by 1 due to order fill of the same side. 8348 8348 Stop 1 Buy 3865.25 Open Sim1 Close 8346 0 Good till Canceled Orders 2022-07-07 13:55:33.677598 2022-07-07 13:55:33.677597 [Sim]ES-202209-GLOBEX Increasing order quantity (Scale In). Using specified quantity of 2. Using existing order price. Requested Price: 3865.25. Requested Quantity: 2 8348 8348 Stop 1 Buy 3865.25 Pending Modify Sim1 Close 8346 -2 0 Good till Canceled Orders 2022-07-07 13:55:33.677603 2022-07-07 13:55:33.677602 [Sim]ES-202209-GLOBEX Simulated order modify complete 8348 8348 Stop 2 Buy 3865.25 Open Sim1 Close 8346 -2 0 Good till Canceled Orders 2022-07-07 13:55:33.677612 2022-07-07 13:55:33.677602 [Sim]ES-202209-GLOBEX Updating move to breakeven stop reference price to 3862.875 8348 8348 Stop 2 Buy 3865.25 Open Sim1 Close 8346 0 Good till Canceled Orders 2022-07-07 13:55:42.808854 2022-07-07 13:55:42.808847 [Sim]ES-202209-GLOBEX ES-202209-GLOBEX[M] 10 Sec #1 | User order entry | Last: 3862.75 | Scaling out | AO=0 8350 Market 1 Buy Order Sent Sim1 Close -2 0 Day Orders 2022-07-07 13:55:42.808883 2022-07-07 13:55:42.808881 [Sim]ES-202209-GLOBEX Simulated order accepted 8350 8350 Market 1 Buy Open Sim1 Close -2 0 Day Orders 2022-07-07 13:55:42.808912 2022-07-07 13:55:42.808910 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3862.50 Ask: 3862.75 Last: 3862.75 8350 8350 Market 1 Buy Filled 3862.75 1 Sim1 Close -2 0 Day Fills 2022-07-07 13:55:42.808916 2022-07-07 13:55:42.808907 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3862.50 Ask: 3862.75 Last: 3862.75 8350 8350 Market 1 Buy Filled 3862.75 1 Sim1 Close -1 8350.1 3863.25 3862.75 0 Day Orders 2022-07-07 13:56:03.320741 2022-07-07 13:56:03.320734 [Sim]ES-202209-GLOBEX ES-202209-GLOBEX[M] 10 Sec #1 | User order entry | Last: 3862.75 | Scaling out | AO=0 8351 Market 1 Buy Order Sent Sim1 Close -1 0 Day Orders 2022-07-07 13:56:03.320804 2022-07-07 13:56:03.320802 [Sim]ES-202209-GLOBEX Simulated order accepted 8351 8351 Market 1 Buy Open Sim1 Close -1 0 Day Orders 2022-07-07 13:56:03.320828 2022-07-07 13:56:03.320826 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3862.50 Ask: 3862.75 Last: 3862.75 8351 8351 Market 1 Buy Filled 3862.75 1 Sim1 Close -1 0 Day Fills 2022-07-07 13:56:03.320833 2022-07-07 13:56:03.320823 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3862.50 Ask: 3862.75 Last: 3862.75 8351 8351 Market 1 Buy Filled 3862.75 1 Sim1 Close 8351.1 3862.75 3862.50 0 Day Attached orders still in place : they execute a couple of minutes later : 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
Orders 2022-07-07 13:59:32.184748 2022-07-07 13:59:32.184740 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3865.00 Ask: 3865.25 Last: 3865.25 8348 8348 Stop 2 Buy 3865.25 Filled 3865.25 2 Sim1 Close 8346 0 Good till Canceled Fills 2022-07-07 13:59:32.184771 2022-07-07 13:59:32.184733 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3865.00 Ask: 3865.25 Last: 3865.25 8348 8348 Stop 2 Buy 3865.25 Filled 3865.25 2 Sim1 Open 8346 2 8348.1 0 Good till Canceled Orders 2022-07-07 13:59:32.184815 2022-07-07 13:59:32.184812 [Sim]ES-202209-GLOBEX Canceling order due to sibling fill 8347 8347 Limit 2 Buy 3860.25 Pending Cancel Sim1 Close 8346 2 0 Good till Canceled Orders 2022-07-07 13:59:32.184835 2022-07-07 13:59:32.184832 [Sim]ES-202209-GLOBEX Simulated order canceled 8347 8347 Limit 2 Buy 3860.25 Canceled Sim1 Close 8346 2 0 Good till Canceled Current position : long two contracts !!!! Trade service Log: Scale-In: Increasing quantity of child order by 1 due to order fill of the same side. | Symbol: [Sim]ES-202209-GLOBEX | TradeAccount: Sim1 | InternalOrderID: 8347 | ServiceOrderID: 8347 | Current Status: Open | 2022-07-07 13:55:33.677
Scale-In: Increasing quantity of child order by 1 due to order fill of the same side. | Symbol: [Sim]ES-202209-GLOBEX | TradeAccount: Sim1 | InternalOrderID: 8348 | ServiceOrderID: 8348 | Current Status: Open | 2022-07-07 13:55:33.677 Then sending Flatten instruction : 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
Orders 2022-07-07 14:03:21.933606 00:00:00.000000 [Sim]ES-202209-GLOBEX No working orders to cancel for Symbol and Account Unspecified Sim1 0 Orders 2022-07-07 14:03:21.933632 2022-07-07 14:03:21.933626 [Sim]ES-202209-GLOBEX ES-202209-GLOBEX[M] 10 Sec #1 | User order entry. Flatten&Cancel | Last: 3864. Current Position quantity: 2 | AO=0 8352 Market 2 Sell Order Sent Sim1 Close 2 0 Day Orders 2022-07-07 14:03:21.933645 2022-07-07 14:03:21.933644 [Sim]ES-202209-GLOBEX Simulated order accepted 8352 8352 Market 2 Sell Open Sim1 Close 2 0 Day Orders 2022-07-07 14:03:21.933664 2022-07-07 14:03:21.933662 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3864.00 Ask: 3864.25 Last: 3864.00 8352 8352 Market 2 Sell Filled 3864.00 2 Sim1 Close 2 0 Day Fills 2022-07-07 14:03:21.933666 2022-07-07 14:03:21.933660 [Sim]ES-202209-GLOBEX Trade simulation fill. Bid: 3864.00 Ask: 3864.25 Last: 3864.00 8352 8352 Market 2 Sell Filled 3864.00 2 Sim1 Close 8352.1 3866.25 3862.25 0 Day |