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Post From: s_SCNewOrder::MaximumChase

[2015-09-14 18:51:38]
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User35525 - Posts: 181
Thanks; is there a mispricing issue if using limit chase and ACSIL, and bracket OCO's at CTS?

Please find attached my trade activity log (please see today's orders, 09-14). The successful orders used parent order type "SCT_LIMIT", but extremely large prices are seen when using the below chase code, so that price1=21474835.99 and price2=-21474835.99.


int EnterBuyBracket(double Price, int size, SCStudyGraphRef sc)
{
s_SCNewOrder NewOrder;
NewOrder.OrderQuantity= size;
NewOrder.OrderType= SCT_ORDERTYPE_LIMIT_CHASE;
NewOrder.MaximumChaseAsPrice= Price + 8*sc.TickSize;

NewOrder.Target1Price= Price + 10*sc.TickSize;
NewOrder.AttachedOrderTarget1Type= SCT_ORDERTYPE_MARKET_IF_TOUCHED;

NewOrder.Stop1Price= Price - 8*sc.TickSize;
NewOrder.AttachedOrderStop1Type= SCT_ORDERTYPE_STOP;

int Result= sc.BuyEntry(NewOrder);
if (Result > 0) return sc.Index;
return -1;
}

and that was called with:

int r= EnterBuyBracket(sc.Ask,1,sc);

Note, at Global Settings --> General Trade Settings, "Adjust attached orders to maintain same offset on parent fill" is UNCHECKED, and "Use Server-side OCO and Bracket Orders" is CHECKED, which may both be necessary for server-side bracket OCO's so that SC doesn't try to manage the order quantity?
Date Time Of Last Edit: 2015-09-14 19:25:03
Private File