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Direct MessagesDate/Time: Mon, 20 May 2024 18:24:17 +0000
Post From: Detecting Slippage via ACSIL while using Teton Order Routing
| [2024-04-11 16:55:18] |
| brianmonagha - Posts: 1 |
|
Hello, I am entering the market with a stop order, which, as you know, is technically a stop-limit order on the CME. What I would like to accomplish, is detecting via ACSIL when the fill price differs from that of the original stop order what was placed. I am utilizing the Teton Order Routing Service. And just to be clear - I am not entering the market with a stop-limit order - I am entering with a stop order, and that is getting converted to a stop-limit order by the exchange (in other words, I am not setting the limit price). I noticed that when my stop-limit order is in the OPEN state, it shows Price1, is the "limit price" (in other words, about 3 points away from my order on ES), and that Price2 is the price where I am placing the order on the chart. However, once the order enters the FILLED state, Price1 is still the limit price, and Price2 is blank. So, in my thinking, I would wait until the order is in the FILLED state, and access Price2 and compare it to the fill price - but it's not possible because Price2 is blank there. Am I missing something here - or is there a better way to accomplish this? I did get the detection to work the way I want in the Sim account, but the fields there are not exactly the same as when I am placing real orders via Teton, and it is more difficult to test this on live trading. Apologies if this question is outside of your scope. Thank you |