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Direct MessagesDate/Time: Thu, 16 May 2024 15:55:11 +0000
Post From: Add the anticipated fill price for market orders in DTC submit_new_single_order ?
| [2017-03-12 19:02:45] |
| gomifromparis - Posts: 244 |
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Hi, In the case of a market order taken with an OCO server bracket, Sierra sends the new single order, and then the OCO targets/stops using prices it computes using the last known bid/ask, to anticipate the expected fill price. However, the DTC server is not aware of the actual trader's intentions in the matter of target/stop number of ticks, it only sees the calculated stops/targets prices. If there is slippage, it can't correct the OCO prices. Could it be possible to send the sierra anticipated fill price in Price1 or Price2 of the market order, so the DTC server can reconstruct the actual trader's target and stop ticks ? Thanks |