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Direct MessagesDate/Time: Sun, 19 May 2024 14:54:43 +0000
Stop order placed, seeing it as StopLimit
View Count: 705
| [2019-07-18 16:25:25] |
| onnb - Posts: 661 |
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We have a study that places child stop orders. When the parent order is filled, I see StopLimit orders with a limit offset. In the TradeActivityLog, the order starts out as a Stop order, then at some point I see the message below and it becomes a StopLimit order "SC Futures Order Routing/Data order update (Order update). Info: TT order update (New). Text: Attached order. Parent: 5705" Any idea or documentation about this ? |
| [2019-07-18 18:24:13] |
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Yes. Stop orders are converted to Stop-Limit by the exchange. Refer to: Order Types: Stop Orders on the CME 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: 2019-07-18 18:25:17
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| [2019-07-18 18:34:27] |
| onnb - Posts: 661 |
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Understood - is this new ?
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| [2019-07-18 20:27:23] |
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No it is nothing new. But we think you would only notice this when using TT.
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: 2019-07-18 20:27:49
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| [2019-07-18 20:35:58] |
| onnb - Posts: 661 |
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This is important because a lot of ACSIL code will iterate and perform logic based on the order type. So if the code is looking for a stop order type...I'm sure you understand what I mean. Just to see I understand your response so far: The CME will modify the order to StopLimit which means that on the exchange, it is always be a StopLimit The CME will set the Limit offset, that is not in control of the trader so to speak TT reports this back and so the order type changes to StopLimit in SC Other providers usually do not report this back so the order type remains a Stop order in SC Did I get that right ? |
| [2019-07-18 22:06:28] |
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This is true but you are able to modify the Limit price of a Stop-Limit order using ACSIL. You should consider a Stop-Limit order also a Stop order because it is a stop order as well. 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: 2019-07-18 22:06:59
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| [2019-09-06 19:07:20] |
| onnb - Posts: 661 |
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Following on this related to Stop-Limit orders and TT We are seeing that when the Stop-Limit is triggered, the stop price gets modified to the limit price (see log below, notice in the 2nd log message price1 changes). In other words, the initial order has price1=n, price2=m The stop gets triggered and we see a modification which results in price1=m, price2=m We need to able to detect this (otherwise the we see that the stop price is not what we expect it to be, we then try and modify it and get errors in the logs). One obvious way to detect this happening is comparing price1 with price2 Just wanted to check with you if you think this is the way or you have another idea. Order 2019-09-06 10:54:06 MNQU19_FUT_CME SC Futures Order Routing/Data order update (Cancel/Replace complete). Info: TT order update (Replace). Text: Attached order. Parent: 2906 2907 82031 Stop Limit 1 Buy 7875.25 7881.25 Open 46580 Close 2906 -3 Attached order. Parent: 2906 Order 2019-09-06 10:54:09 MNQU19_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: TT order update (Triggered or Activated by System). Text: Attached order. Parent: 2906 2907 82031 Stop Limit 1 Buy 7881.25 7881.25 Open xxxx Close 2906 -3 Attached order. Parent: 2906 Order 2019-09-06 10:54:09 MNQU19_FUT_CME Updating last modify Price and Quantity to current values due to an external modification or other reason. LastModifyPrice1: 7875.25, CurrentPrice1: 7881.25, LastModifyQuantity: 1, CurrentQuantity: 1 2907 82031 Stop Limit 1 Buy 7881.25 7881.25 Open xxxx Close 2906 Attached order. Parent: 2906 |
| [2019-09-06 19:10:48] |
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We can only think that you just need to periodically check the prices. We have no other ideas.
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: 2019-09-06 19:11:06
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