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Post From: CQG Trading issue in Release 1211

[2014-11-13 08:46:23] Link To Thread - Link To Post [Go To First Post]
User33803 - Posts: 40
No, yesterday I used only CQG FIX trading and R1211. Maybe the issue is not related to a disconnection. The way I think it works is: SC, at any given moment, asks for a confirmation to CQG that an order is still "alive" if SC doesn't receive that confirmation from CQG, it cancels the order in the system. If, after sometime, CQG reconfirms the order, SC returns it to the Open state but in that process it seems that SC doesn't reinstate the Attached orders. I attach the TAL filtered to just one case with two parent orders and their 4 attached order (2 attached orders per parent order) - You can see that orders 100403 and 100406 (parents) are canceled at 16:03:45 due to "no order update from server". - Orders 100404, 100405, 100407 and 100408 (attached) are canceled at the same time. - The connection is reinstated at 16:07:20 - At 16:07:26 parent orders are restablished but the attached orders are not. - The parent orders have the same ServiceOrderID but different InternalOrderID (they changed from 100403 and 100406 to 100488 and 100489) and this is a big issue as I take note of the InternalOrderIDs to cancel them when certain conditions occurs and, if the InternalOrderIDs change, my ACSIL program cannot detect and cancel them when needed. ActivityType DateTime Symbol Quantity FillPrice PositionQuantity BuySell FilledQuantity OrderStatus Price OrderType InternalOrderID ServiceOrderID OrderActionSource Price2 TradeAccount OpenClose ParentInternalOrderID FillExecutionServiceID Order 2014-11-12 16:00:02.000 F.US.CLEZ14 1 Sell Pending Child 78.10 Limit 100404 Auto-trade: F.US.CLEZ14 15 Min #2\|.\|BuyEntry \| Last: 77.400002. Attached Order XXXXXX Close 100403 Order 2014-11-12 16:00:02.001 F.US.CLEZ14 1 Sell Pending Child 77.50 Stop 100405 Auto-trade: F.US.CLEZ14 15 Min #2\|.\|BuyEntry \| Last: 77.400002. Attached Order XXXXXX Close 100403 Order 2014-11-12 16:00:02.002 F.US.CLEZ14 2 1 Buy Order Sent 77.75 Stop 100403 Auto-trade: F.US.CLEZ14 15 Min #2\|.\|BuyEntry \| Last: 77.400002 XXXXXX Open Order 2014-11-12 16:00:02.003 F.US.CLEZ14 1 Buy Pending Child 76.47 Limit 100407 Auto-trade: F.US.CLEZ14 15 Min #2\|.\|SellEntry \| Last: 77.400002. Attached Order XXXXXX Open 100406 Order 2014-11-12 16:00:02.004 F.US.CLEZ14 1 Buy Pending Child 77.06 Stop 100408 Auto-trade: F.US.CLEZ14 15 Min #2\|.\|SellEntry \| Last: 77.400002. Attached Order XXXXXX Open 100406 Order 2014-11-12 16:00:02.005 F.US.CLEZ14 2 1 Sell Order Sent 76.81 Stop 100406 Auto-trade: F.US.CLEZ14 15 Min #2\|.\|SellEntry \| Last: 77.400002 XXXXXX Close Order 2014-11-12 16:00:02.012 F.US.CLEZ14 2 1 Buy Pending Open 77.75 Stop 100403 482993724 CQG order update (New) XXXXXX Open Order 2014-11-12 16:00:02.013 F.US.CLEZ14 2 1 Buy Open 77.75 Stop 100403 482993724 CQG order update (New). Exchange ID: 807061305896 XXXXXX Open Order 2014-11-12 16:00:02.014 F.US.CLEZ14 2 1 Sell Pending Open 76.81 Stop 100406 482910318 CQG order update (New) XXXXXX Close Order 2014-11-12 16:00:02.017 F.US.CLEZ14 2 1 Sell Open 76.81 Stop 100406 482910318 CQG order update (New). Exchange ID: 807061305961 XXXXXX Close Order 2014-11-12 16:00:53.000 F.US.CLEZ14 Unspecified Removing Position with quantity of 0 XXXXXX Order 2014-11-12 16:02:40.000 Unspecified Connected to server None Order 2014-11-12 16:03:45.024 F.US.CLEZ14 2 Buy Pending Cancel 77.75 Stop 100403 482993724 Canceling due to no order update from server XXXXXX Open Order 2014-11-12 16:03:45.025 F.US.CLEZ14 2 Buy Canceled 77.75 Stop 100403 482993724 Canceling due to no order update from server XXXXXX Open Order 2014-11-12 16:03:45.026 F.US.CLEZ14 Sell Pending Cancel 78.10 Limit 100404 Canceling child orders of internal order ID 100403 XXXXXX Close 100403 Order 2014-11-12 16:03:45.027 F.US.CLEZ14 Sell Canceled 78.10 Limit 100404 Canceling child orders of internal order ID 100403 XXXXXX Close 100403 Order 2014-11-12 16:03:45.028 F.US.CLEZ14 Sell Pending Cancel 77.50 Stop 100405 Canceling child orders of internal order ID 100403 XXXXXX Close 100403 Order 2014-11-12 16:03:45.029 F.US.CLEZ14 Sell Canceled 77.50 Stop 100405 Canceling child orders of internal order ID 100403 XXXXXX Close 100403 Order 2014-11-12 16:03:45.030 F.US.CLEZ14 2 Sell Pending Cancel 76.81 Stop 100406 482910318 Canceling due to no order update from server XXXXXX Close Order 2014-11-12 16:03:45.031 F.US.CLEZ14 2 Sell Canceled 76.81 Stop 100406 482910318 Canceling due to no order update from server XXXXXX Close Order 2014-11-12 16:03:45.032 F.US.CLEZ14 Buy Pending Cancel 76.47 Limit 100407 Canceling child orders of internal order ID 100406 XXXXXX Open 100406 Order 2014-11-12 16:03:45.033 F.US.CLEZ14 Buy Canceled 76.47 Limit 100407 Canceling child orders of internal order ID 100406 XXXXXX Open 100406 Order 2014-11-12 16:03:45.034 F.US.CLEZ14 Buy Pending Cancel 77.06 Stop 100408 Canceling child orders of internal order ID 100406 XXXXXX Open 100406 Order 2014-11-12 16:03:45.035 F.US.CLEZ14 Buy Canceled 77.06 Stop 100408 Canceling child orders of internal order ID 100406 XXXXXX Open 100406 Order 2014-11-12 16:07:20.000 Unspecified Connected to server None Order 2014-11-12 16:07:26.005 F.US.CLEZ14 2 Buy Open 77.75 Stop 100488 482993724 CQG order update (Status). Exchange ID: 807061305896 XXXXXX Order 2014-11-12 16:07:26.006 F.US.CLEZ14 2 Sell Open 76.81 Stop 100489 482910318 CQG order update (Status). Exchange ID: 807061305961 XXXXXX Order 2014-11-12 16:07:26.011 F.US.CLEZ14 Unspecified Removing Position with quantity of 0 XXXXXX Date Time Of Last Edit: 2014-11-13 08:48:03