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Direct MessagesDate/Time: Thu, 26 Sep 2024 23:34:27 +0000
Partial fill caused incorrect OCO quantity
View Count: 884
| [2019-04-02 18:49:43] |
| patrader - Posts: 92 |
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Today I had a 6-lot order to sell RTY stop-limit if the market went lower to 1551.5 with a corresponding OCO to buy 6 contracts on both the profit and the stop side. I was filled short on 4 contracts at 12:46:35.976 and short on two contracts at 12:46:35.983. I didn't immediately notice but my profit and stop-loss OCO was only for 4 contracts. Because my initial entry order was filled 4-lot + 2-lot within milliseconds I ended up with the wrong OCO quantity. I'm on CQG, with server side bracket order unchecked and server side OCO checked. I also checked Adjust Attached Orders to Maintain Same Offset on Parent Fill. Can you advise how this OCO quantity problem can be avoided next time?
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| [2019-04-02 21:30:40] |
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Follow the instructions here to provide us what we need: Trade Activity Log Analysis: Support Assisted Trade Activity Log Analysis We will then determine the reason for the problem. 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 |
| [2019-04-04 20:53:15] |
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We do see the issue and we have some sense of why it happened. We are going go through this in depth and see exactly what happened and determine a solution assuming it is something that we can resolve from our side. We still need to determine the exact cause of the problem.
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 |
| [2019-04-04 21:00:24] |
| patrader - Posts: 92 |
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OK thanks. It happened again yesterday. Same issue. Partial fill on a parent order resulting in the stop-loss quantity not being correct when the parent order completely filled. I saw something similar when using the CTS Advanced Lower Cost Connection model and in my non-technical naivety I assumed it might have something to do with the parent being held on Sierra's server. But here, I am holding the parent locally on my PC.
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| [2019-04-05 09:18:50] |
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The reason for the issue has been discovered and resolved. Since there was a trail order modification at the time there was an outstanding delayed modification to increase the quantity of the attached orders from the partial fill, there was not a proper use of the increased order quantity of the attached stop order during that modification. This is related to what appears to be an old patch, which is now removed, that is no longer relevant due to the improved management of the last pending order modification price and quantity which was implemented previously, which is actually rather complex due to handling various types of scenarios including external order modifications. We also is improved the speed at which delayed modifications are performed and this will be out in the next release as well. This had nothing to do with server-side management of OCO or bracket orders. It is completely unrelated to it. 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: 2019-04-05 09:33:35
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