Date/Time: Sat, 02 Jul 2022 19:54:20 +0000
Post From: Sierra Chart Does Not Recommend CQG (Various Reasons)
Sierra Chart Engineering - Posts: 103556
Regarding post #9, and the thread we linked to. We have some additional comments about this.
Based upon our experience with CQG, the way they do their margin calculations makes this problem more likely to occur and it did occur in this particular case. For example, in the case of when using a server-side bracket order from CQG, the target and stop orders require two times margin instead of one time. We have seen this.
So this definitively is a CQG specific issue.
In the case of the Sierra Chart risk management used with our simulated futures trading service and our upcoming direct order routing, this problem of a market order getting rejected when closing a position, would not occur. It simply should not occur, because it is reducing risk. Not increasing it.
Let us explain how the margin calculations are done in a scenario like this.
What we do, is calculate the MaximumPotentialPositionQuantity. This considers, the current position quantity, working order quantities, and market orders which are orders which are very likely to fill immediately.
Let us say there is a +1 Position.
There is a Sell Target and Stop order each with a quantity of 1. Since these are in an OCO group, they are considered to have a quantity of 1.
With the above, MaximumPotentialPositionQuantity will equal 1. Meaning that based upon the current position, and the current working orders, the maximum position quantity whether actual or potential is 1.
When there are instructions to flatten the position, which include instructions to cancel the Target and Stop order and also a Sell market order of quantity 1, MaximumPotentialPositionQuantity will still equal 1. The worst outcome of this is this will create a short position of 1. This would happen, if both the sell market order fills, and the Target or Stop order fills before they are canceled. Therefore, the required margin remains the same.
Sierra Chart Support - Engineering Level
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Date Time Of Last Edit: 2021-02-05 01:31:57