Support Board
Date/Time: Fri, 07 Feb 2025 06:45:23 +0000
LMAX orders through web app can't be modified by SC (and attached orders consuming margin)
View Count: 817
| [2020-05-20 18:41:05] |
| phaedonk - Posts: 352 |
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I understand there is an issue with FIX orders to LMAX, where attached orders (once the parent is filled and they become active) are not recognized by LMAX as attached orders, but as new parent orders. This creates multiple issues such as: 1) Effective leverage is heavily reduced (from 1:30 to 1:7 maybe depending on number of orders/fills). If you have multiple orders waiting to fill you basically have to cancel them and manage the first filled parent. 2) Security: As LMAX deals with the attached orders as if they are new ones, there have been many times where the parent fills, the Stop Loss attached order gets rejected due to leverage restrictions (which would not happen if it were seen as attached) and I have to scramble to edit the stop-loss order via their website. 3) security v2: the worst part of all maybe, is that the stop orders that are inputted through the LMAX web interface ARE NOT manageable by Sierra Chart! I cannot move a stop (or limit) order I see on the chart, as it was entered through tie LMAX web interface. I cannot even cancel these orders through SC. I understand that this is possibly some kind of limitation or implementation of the FIX protocol. The question I have is: can something be done about it? Can you yourselves improve on this situation? Can LMAX work on their end to fix this issue? Can you work on this together? Please let me know, thank you. |
| [2020-05-20 19:13:06] |
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Can you work on this together? We can assure you, they could care less about this.
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 |
| [2020-05-20 19:15:16] |
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2) Security: As LMAX deals with the attached orders as if they are new ones, there have been many times where the parent fills, the Stop Loss attached order gets rejected due to leverage restrictions (which would not happen if it were seen as attached) and I have to scramble to edit the stop-loss order via their website. There is a solution to this:Attached Orders: Automatic Replacement Market Order for Rejected Stop Attached Order 3) security v2: the worst part of all maybe, is that the stop orders that are inputted through the LMAX web interface ARE NOT manageable by Sierra Chart! I cannot move a stop (or limit) order I see on the chart, as it was entered through tie LMAX web interface. I cannot even cancel these orders through SC.
We were not aware of this. Not sure why that would be the case. Is there any order rejection when you modify the order?Also the ultimate solution to the above problems is for us not to use LMAX accounts directly and use an omnibus account and maintain positions and balances independently. Longer term we do forsee that happening. Probably the account would be through AMP and you can trade futures and Forex all-in-one using a common account balance. This capability is expected to come later in the year. 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: 2020-05-20 19:18:01
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| [2020-05-20 19:55:41] |
| phaedonk - Posts: 352 |
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2) Not sure how this solution is helping. I don't want a market order. When the parent fills, then the stop order is rejected AS an attached order, not when it's about to be filled. So, it is sent to your server and when parent fills it is sent to LMAX, which rejects it. Related to this: do the orders sitting on the SC server get sent to LMAX if the parent fills and my PC (for whatever reason) is not online with SC open at that time? 3) I see this in the log, for a Stop order I inputted through the LMAX web app (SL order on position). Note it was not a cancellation, I just tried to move the stop order line. Order cancellation failed | LMAX Live Trading - DTC order update (Order cancel reject). Info: Order cancellation failed | Order cancel reject. Text: ORDER_CANNOT_BE_CANCELLED. Internal Order ID: 10941. Service Order ID: 351093. Symbol: XAUUSDm. Account: xxx| 2020-05-20 22:46:14.066 * I see this in LMAX web app notifications, after I tried to modify the order through SC: 20/05/2020 22:46:14 Your order in Gold (Spot Mini) was rejected. The reason was: Internal error. Your future solution sounds interesting. Your message was not very clear as to what can be done now. They are not interested in helping, I get that. So, there is nothing that can be done on your end? Thanks. |
| [2020-05-21 22:38:18] |
| phaedonk - Posts: 352 |
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Another message after I try to modify an order placed through their web app is: Order modification failed | LMAX Live Trading - DTC order update (Order cancel/replace reject). Info: Order modification failed | Order modification reject. Text: CANCEL_REPLACE_NOT_AVAILABLE. Internal Order ID: 11122. Service Order ID: 351342. Symbol: XAUUSDm. Account: xxx| 2020-05-22 01:35:13.499 * |
| [2020-05-23 04:30:15] |
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: do the orders sitting on the SC server get sent to LMAX if the parent fills and my PC (for whatever reason) is not online with SC open at that time? Yes definitely.One thing to understand about stop orders on LMAX FIX is that they cannot be modified. They have to be canceled and then a new one submitted. The Sierra Chart server is doing that in the background. This is probably the reason you see the message you do in post #5 as well. We do not know why LMAX has this problem. Our exchange functionality, which we have developed and not yet released, has no trouble modifying stop orders. And delivers very high performance. May we ask, why not just trade the Forex futures on the CME where there is reasonably good liquidity. Then you can use the Sierra Chart order routing service and have a very stable environment: Sierra Chart / Trading Technologies Futures Order Routing Service And the CME also has a micro gold contract. Here is a 5 minute chart of that: http://www.sierrachart.com/image.php?Image=1590209294945.png We currently use TT in the background for the order routing and not sure how margins would work with attached orders. This is going to be dependent on the clearing firm. But when we have our direct CME routing, the margin will be properly calculated for child orders. If there is a parent order and a target and a stop order, the margin requirement is just what is required for the parent order. ---- And just to show you how much more widely used futures are than Forex among the Sierra Chart user base look at the following information: For LMAX live trading we have 150 users. For the Sierra Chart order routing service on TT we have 813 users. LMAX has been around for many years now and the Sierra Chart order routing service has only been around for about 1.25 years. There has been a lot less interest in LMAX lately. 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: 2020-05-23 05:17:57
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| [2020-05-23 07:09:33] |
| phaedonk - Posts: 352 |
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Two basic reasons for not using FX futures. Position sizing not being flexible and tick size. Tick size is the most important. Spot FX (EURUSD for example) has a minimum tick of 0.1 pips while in futures it is 0.5. My method is heavily based on the level of clarity the micro moves have in tick charts. This clarity is not available in futures, as the tick size is 0.5. Used to be worse too, as it was 1 whole pip some years ago. Hope CME will reduce it further, then I can use them. Will you be communicating with LMAX on the stop modification issue? Cancel and replace (instead of modification) is fine for me, I barely use stops, but need them for protection if things go very wrong. |
| [2020-05-24 23:12:00] |
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Will you be communicating with LMAX on the stop modification issue? No definitely not. This will go absolutely nowhere. If they cannot even take care of this themselves on their own initiative, it is not going to make any difference if we tell them.And besides, the proper solution is for the Sierra Chart backend to be supporting an omnibus account and managing positions and balances and margin and we expect that will be coming through the broker AMP at some point in the future. In this case all of the problems you are raising will be solved. 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: 2020-05-24 23:13:10
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| [2020-05-24 23:28:40] |
| phaedonk - Posts: 352 |
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What's unclear is, are you talking about somehow making AMP work with LMAX, ie combining the 2 services?
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| [2020-05-25 02:47:51] |
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AMP Europe is already a broker for LMAX. We do not want to go into further details because we are already getting too far ahead of ourselves because this is still quite a ways off. 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: 2020-05-25 02:48:07
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| [2020-05-25 12:33:48] |
| SC Support - Posts: 1927 |
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Hi phaedonk, do you wish to do a quick conversation to speak about this?
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| [2020-05-25 12:50:11] |
| AlexPereira - Posts: 197 |
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AMP Europe is already a broker for LMAX.
It would be awesome if they supported SierraCharts for forex/cfd's and futures! |
| [2020-05-25 13:08:12] |
| phaedonk - Posts: 352 |
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Hi phaedonk, do you wish to do a quick conversation to speak about this?
Yes, sure.
Date Time Of Last Edit: 2020-05-25 13:11:54
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| [2020-05-26 14:58:40] |
| SC Support - Posts: 1927 |
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Spoke to Phaedon, he reiterated that his methodology requires recognition of the micro moves available with a 0.1 tick size and so the Futures tick size of 0.5 is not an option currently
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