Support Board
Date/Time: Sun, 24 Nov 2024 08:21:13 +0000
[User Discussion] - Attached Order question/problem
View Count: 2148
| [2013-10-18 10:39:07] |
| tobi - Posts: 351 |
|
Yesterday a strange behaviour occured in a live trade (broker = IB). Before I get to this, please let me verify if my understanding and settings for what I want to do is correct: I use a simple bracket (=attached) order. - parent order (entry) and two child orders (stop and target) - "Support Scale-out" is checked With this "configuration" I somtimes decide, while being in the trade, to change the size of the target to 50% of the position. Example: - Simple bracket order EUR/USD Long 100K - I change the target to 50% (50K) and after a while this target gets filled - The stop size automatically changes to 50k as this is the ramaining position - Now there is no target in place for the remaining (50K) position, so I manually put a limit sell in the DOM and change the size to 50K. Because "Support Scale-out" is checked "only" this limit sell is put in the DOM/send to the broker and it gets an OCO with the existing stop order. So, when either the "new" target or the stop gets filled, the position will be flat and the open order on the other side will be canceled. Is this correct? This is what I want and according to several tests in SIM mode with this "configuration" is does as described above. Yesterday, in live mode, it acted different though. At the moment the 50% target got filled, the stop order was cancled/deleted automatically leaving me with an unprotected 50% of the initial position. I then manually added a stop and target for the remaining position. How can this behaviour be explained? Am I doing something wrong here? Strangely it's working in SIM mode?! I've attached the twconfig-file and the TradeActivity log from the live trade. |
 us 1.10.twconfig - Attached On 2013-10-18 10:31:45 UTC - Size: 6.18 KB - 558 views Private File |
| [2013-10-18 19:12:25] |
| |
|
- Now there is no target in place for the remaining (50K) position, so I manually put a limit sell in the DOM and change the size to 50K. . Because "Support Scale-out" is checked "only" this limit sell is put in the DOM/send to the broker and it gets an OCO with the existing stop order. So, when either the "new" target or the stop gets filled, the position will be flat and the open order on the other side will be canceled. Is this correct? No. This is definitely not the case. There will not be OCO for this separately submitted order. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-10-18 21:56:33] |
| tobi - Posts: 351 |
|
Ok, then this is clear. Thank you. Still leaves the questions unanswered why: - it's acting differently in live and sim mode - and, more importantly, why the stop order is being cancled? I doubt that users can answer these questions, so I disagree flaging this a user discussion. Please give me an answer that is complete and comprehensible so I can figure out a way that it's working propperly for me. Thank you. |
| [2013-10-18 22:28:40] |
| |
|
This is outside the scope of our support. We do not provide this level of detailed help especially for a complex request relating to a particular trading set up and series of actions and also involves an external trading system that we cannot fully understand or have control over. Even if we had the time, it would be chargeable at 55 USD per hour. We recommend looking at the Trade Activity Log: http://www.sierrachart.com/index.php?l=doc/doc_TradeActivityLog.php 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2013-10-19 05:44:28
|
| [2013-10-19 06:29:54] |
| |
|
The only thing we can say is to disable the Interactive Brokers Managed OCO option in the Data/Trade Service Settings window to see if that will make the live trading the same as simulated trading. Otherwise, we do not know what the problem is. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-10-19 13:31:09] |
| User30668 - Posts: 108 |
|
Yesterday, in live mode, it acted different though. At the moment the 50% target got filled, the stop order was cancled/deleted automatically leaving me with an unprotected 50% of the initial position. I then manually added a stop and target for the remaining position.
How can this behaviour be explained? Am I doing something wrong here? Strangely it's working in SIM mode?! Tobi_FX SC simulation mode works differently than IB live mode in some aspects. When you need to trade in simulation you should use IB paper account connected to SC. IB paper account has the exact same behavior as the live account. This way you can reproduce all the conditions you will encounter when live trading. Even the orders fills are very realistic. With SC Simulation mode, the attached orders are solely managed by SC software. With IB live or paper account, if you have the “Interactive Brokers Managed OCO option” enabled in SC, your attached orders are pending in IB’s system. Unlike SC, IB does not automatically update the attached orders quantity separately when you scale out – it just assumes they are OCO orders so when one is filled (even after you have manually changed its quantity), the other is automatically fully cancelled. Nevertheless, I wouldn't advise you to disable the “Interactive Brokers Managed OCO option”; if you do, your attached orders will be pending in SC (in your computer) whereas if you keep that option enabled those orders will be in IB's servers. This is very important to prevent having an open position without protective orders in the case for some reason you lose the connection to IB, lose your internet connection, have a system crash or have a problem with your hardware. And it happens… What I would suggest is, instead of reducing the quantity of the attached target order and using it to scale out as you are doing, you could just move the target order (without changing its quantity) further away for a price of your convenience and place an exit order with the quantity and at the price you want to scale out. This way you will always have both your attached stop / target orders pending and their quantity will be updated for the same quantity of the remaining position. If you decide to experiment my suggestion, just make sure that you first place your target order far enough from the "scale out order", to avoid both of them being filled at the same time in case of a price spike. If this happens you will end up with a reversed position... I hope this helps. Date Time Of Last Edit: 2013-10-19 13:47:39
|
| [2013-10-20 12:18:23] |
| tobi - Posts: 351 |
|
Thanks a lot for your clear and detailed answer User30668. This sure helps! Will experiment with IB paper account and the "scale out order" you suggeted. That's a good idea. |
| [2013-10-21 09:11:36] |
| tobi - Posts: 351 |
|
I've tested this and it works as you described. Thanks again, that's a good solution. Only things to be aware of is, if the stop gets hit before the "scale out order" is reached, to then cancle/delete the "scale out order". |
| [2013-10-21 10:38:10] |
| User30668 - Posts: 108 |
|
Tobi_FX, I am glad I could help. Only things to be aware of is, if the stop gets hit before the "scale out order" is reached, to then cancle/delete the "scale out order".
Yes, you are absolutely correct about this. This way you will have to cancel that order manually. I assumed that you would want to scale out at the current price, placing your order on the bid / ask price in order to have it filled in that moment. However, if you want to manage your scaling out leaving pending Target orders you can set SC in order to have more than one Target order with all the orders working as a OCO group: https://www.sierrachart.com/index.php?l=doc/doc_AttachedOrders.html You can set it, for example, for an open position to have 2 attached Target orders with 1 Stop order (or more, if you need). This way you will be able to manage your partial scaling out through the separate Target orders and the Stop order quantity will be adjusted accordingly. Thus you won't have to worry with any pending orders if the Stop is hit. You will be able to move your Target and Stop orders for a different price if you need; just don't forget that this way (using predetermined OCO orders) you can't change the Target orders quantity to avoid having your initial problem again. Date Time Of Last Edit: 2013-10-21 10:41:56
|
| [2013-10-21 11:49:34] |
| tobi - Posts: 351 |
|
User30668, thanks for your additional advice. I had been using it this way in the past (bracket order with 2 or more targets and 1 stop). The problem with that though is, that SC uses separate parent orders for each target that is initially defined. This leads to higher commissions when using a commissions based broker (as IB) and trading rather small FX positions where the "minimum per order" gets relevant. It doesn't play a role when trading larger positions. Probably I should have explained that, to fullly understand why I'm using this rather uncommon way of "scaling out". |
To post a message in this thread, you need to log in with your Sierra Chart account: