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Date/Time: Sat, 02 Jul 2022 21:31:45 +0000



Post From: Now Released: Upcoming CME / EUREX Direct Routing

[2021-05-08 21:57:55]
Sierra Chart Engineering - Posts: 103558
In the case of a long position, when a sell market order is submitted and the quantity of all sell working orders (which includes this market order) is less than the current position quantity, then this is allowed to pass the margin check because this is reducing risk. There still is a recalculation of the required margin in this case. Although if the account is under margin, the order is allowed to go through since this reduces risk.

In the case of a short position, when a buy market order is submitted and the quantity of all buy working orders (which includes this market order) is less than the current position quantity (interpreted as an absolute value), then this is allowed to pass the margin check because this is reducing risk. There still is a recalculation of the required margin in this case. Although if the account is under margin, the order is allowed to go through since this reduces risk.

There is an error in this technical explanation. "is less than the current position quantity" is actually is less than or equal to.

However, there is a problem with this logic. It works in simulation but not live because of the delay with canceling orders during a flatten operation with live trading.

We are going to change it to also calculate separately MaximumPotentialPositionQuantity without using the new order. If MaximumPotentialPositionQuantity with the new order is not greater than MaximumPotentialPositionQuantity without the new order, then the margin check will be ignored. However, the position limit still applies.
Sierra Chart Support - Engineering Level

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