Support Board
Date/Time: Sun, 22 Dec 2024 05:32:10 +0000
Post From: CQG Bracket Orders probable malfunction
| [2014-10-03 20:11:12] |
| User33803 - Posts: 40 |
|
I had an issue today with a Server-side Bracket Order (CQG). I had an Stop Sell order placed (with its corresponding Limit and Stop child orders): Symbol: F.US.CLEX14 Quantity: 2 Contracts. Parent Order: Stop Sell at 89.74 Child 1: Limit at 89.34 Child 2: Stop at 90.03 The order had a "Move to Breakeven" with a Trigger price of 89.38 and a new price for the stop child, once the trigger is reached, of 89.73 The parent order was filled with a slippage of 1 tick (89.73) and it was filled partially first (1 contract) and, immediately after, the second contract. I have "Adjust Attached Orders to Mantain Same Offset on Parent Fill" selected. When this happened, before the "Server-side bracket order" was implemented for CQG, everything worked OK. Now, with "Server-side bracket order" implemented, this is what has happened: - Both child orders were divided into two different orders (1 contract each). I assume that this is due to the partial filling. - The Attached Orders didn't Mantain Same Offset on Parent Fill. Sierra tried to modify the child orders but the modification was rejected (I suppose that this is because there are two new orders, for 1 contract each, that replace the old child 2 contracts order). - The Trigger for moving to breakeven was reached but the modification was rejected again and the child stop orders stayed unmodified. At the same time, it seems that Sierra only tried to move to breakeven only one of the two stop orders (1 contract each). I attach the sequence: Order Entering (with child ones): ActivityType DateTime Symbol Quantity FillPrice PositionQuantity BuySell FilledQuantity OrderStatus Price OrderType InternalOrderID ServiceOrderID OrderActionSource Price2 TradeAccount OpenClose ParentInternalOrderID FillExecutionServiceID Order 2014-10-03 16:30:01.003 F.US.CLEX14 2 Sell Order Sent 89.74 Stop 79133 Auto-trade: F.US.CLEX14 15 Min #2|Bollinger GC CL ZB ES JY|SellEntry | Last: 89.989998 000000 Open Order 2014-10-03 16:30:01.004 F.US.CLEX14 2 Buy Order Sent 89.34 Limit 79134 Auto-trade: F.US.CLEX14 15 Min #2|Bollinger GC CL ZB ES JY|SellEntry | Last: 89.989998. Attached Order 000000 Close 79133 Order 2014-10-03 16:30:01.005 F.US.CLEX14 2 Buy Order Sent 90.03 Stop 79135 Auto-trade: F.US.CLEX14 15 Min #2|Bollinger GC CL ZB ES JY|SellEntry | Last: 89.989998. Attached Order 000000 Close 79133 Order 2014-10-03 16:30:01.025 F.US.CLEX14 2 Sell Pending Open 89.74 Stop 79133 467402064 CQG order update (New) 000000 Open Order 2014-10-03 16:30:01.026 F.US.CLEX14 2 Buy Open 89.34 Limit 79134 467402065 CQG order update (Suspended) 000000 Close 79133 Order 2014-10-03 16:30:01.027 F.US.CLEX14 2 Buy Open 90.03 Stop 79135 467402066 CQG order update (Suspended) 000000 Close 79133 Order 2014-10-03 16:30:01.034 F.US.CLEX14 2 Sell Open 89.74 Stop 79133 467402064 CQG order update (New). Exchange ID: 806800789595 000000 Open Parent Order Filling: Fill 2014-10-03 16:37:49.000 F.US.CLEX14 1 89.73 -1 Sell 1 Open 89.74 Stop 79133 467402064 CQG order update (Partial Fill). Exchange ID: 806800789595 000000 Open 467402064 Order 2014-10-03 16:37:49.001 F.US.CLEX14 2 -1 Buy Pending Modify 89.34 Limit 79134 467402065 Modifying Attached Order from parent modification/fill. Ref price: 89.73. New Price: 89.33 000000 Close 79133 Order 2014-10-03 16:37:49.002 F.US.CLEX14 2 -1 Buy Pending Modify 90.03 Stop 79135 467402066 Modifying Attached Order from parent modification/fill. Ref price: 89.73. New Price: 90.02 000000 Close 79133 Order 2014-10-03 16:37:49.003 F.US.CLEX14 1 -1 Buy Pending Open 89.34 Limit 79151 467402144 CQG order update (New) 000000 Order 2014-10-03 16:37:49.004 F.US.CLEX14 1 -1 Buy Open 89.34 Limit 79134 467402145 CQG order update (Suspended) 000000 Close 79133 Order 2014-10-03 16:37:49.005 F.US.CLEX14 1 -1 Buy Pending Open 90.03 Stop 79152 467402146 CQG order update (New) 000000 Order 2014-10-03 16:37:49.006 F.US.CLEX14 1 -1 Buy Open 90.03 Stop 79135 467402147 CQG order update (Suspended) 000000 Close 79133 Order 2014-10-03 16:37:49.007 F.US.CLEX14 2 89.73 -1 Sell 2 Filled 89.74 Stop 79133 467402064 CQG order update (Fill). Exchange ID: 806800789595 000000 Open Fill 2014-10-03 16:37:49.008 F.US.CLEX14 1 89.73 -2 Sell 2 Filled 89.74 Stop 79133 467402064 CQG order update (Fill). Exchange ID: 806800789595 000000 Open 467402064 Order 2014-10-03 16:37:49.009 F.US.CLEX14 1 -2 Buy Pending Open 89.34 Limit 79134 467402145 CQG order update (New) 000000 Close 79133 Order 2014-10-03 16:37:49.010 F.US.CLEX14 1 -2 Buy Pending Open 90.03 Stop 79135 467402147 CQG order update (New) 000000 Close 79133 Order 2014-10-03 16:37:49.011 F.US.CLEX14 1 -2 Buy Open 89.34 Limit 79151 467402144 CQG order update (New). Info: Order was placed for compound bundle 6751941 partial activation. Activation size = 1, original order XPON = 467402065. Exchange ID: 806801043722 000000 Order 2014-10-03 16:37:49.012 F.US.CLEX14 1 -2 Buy Open 90.03 Stop 79152 467402146 CQG order update (New). Info: Order was placed for compound bundle 6751941 partial activation. Activation size = 1, original order XPON = 467402066. Exchange ID: 806801043724 000000 Order 2014-10-03 16:37:49.013 F.US.CLEX14 1 -2 Buy Open 89.34 Limit 79134 467402145 CQG order update (New). Info: Order is a replace for compound partial activation. Activation size = 1, activated part's order XPON = 467402144. Exchange ID: 806801043841 000000 Close 79133 Order 2014-10-03 16:37:49.014 F.US.CLEX14 1 -2 Buy Open 90.03 Stop 79135 467402147 CQG order update (New). Info: Order is a replace for compound partial activation. Activation size = 1, activated part's order XPON = 467402146. Exchange ID: 806801043866 000000 Close 79133 Move to Breakeven Failure: Order 2014-10-03 17:29:29.000 F.US.CLEX14 1 -2 Buy Pending Modify 90.03 Stop 79135 467402147 Auto trail order modification (Move to breakeven). Trigger price: 89.369998 000000 Close 79133 Order 2014-10-03 17:29:29.005 F.US.CLEX14 1 -2 Buy Open 90.03 Stop 79135 467402147 Order Modification Reject. Text: Cannot process order (error code 60). Please contact CQG if the problem persists.. Order Modification failed 000000 Close 79133 Date Time Of Last Edit: 2014-10-03 20:18:23
|