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Direct MessagesDate/Time: Sun, 12 May 2024 19:44:17 +0000
Post From: SC via Interactive Brokers not correctly setting OCO orders - important!
| [2015-05-03 13:42:19] |
| MotoMoto - Posts: 47 |
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Hi thank you for looking into this as it is clearly an issue we hope can be resolved. (Sorry for missing the subtleties of tracking the audit trail, I have never had to bother and sometimes miss the extra details in SC) I have attached the spreadsheet with what I hope shows the extra detail in a 3rd sheet, and will refer to its columns. To me it seems that while you have accommodated another users request to maintain the same offset which actually makes sense, this is about quantity and it is a separate issue to any offset amounts....and it would also appear that this is an issue that has little to do with the trailing of the order as the quantity miss match occurs before any trailing starts. It appears to be a miss match because as I initially suspected the order is filled in two parts (in this example it is at the same price, but in other examples there may be some slippage)and after the 2nd execution the attached orders are not updated based on what the open live quantity is (spreadsheet Col Q). Which is also why its hard to replicate occasionally in live trading and not in SIM. It appears that the quantity to use for any pending or modified orders is reading the wrong (or maybe best to say 'outdated/old') quantity. In the detailed spreadsheet this appears to be happening at ROW 20 and below. example: why is Row 16 showing 2 contracts in the Quantity col (H) when immediately afterward the 2nd executed fill it drops to 1, but the actual open quantity has increased.I can only assume its because its reading the I get that in post #27 "So Sierra Chart will modify the Attached Order prices and use the existing quantity of those orders when sending the order modification to TWS." but shouldn't the quantity be based on what the actual live quantity is (Col Q) and NOT what was the previous existing quantity to update because of these partial fills that can lead to this situation? Maybe when Col Q is =0 then use col H, but when Col Q is <> 0, then this quantity in Col Q is used.... Otherwise, I really appreciate the efforts to solve this problem. Thanks Date Time Of Last Edit: 2015-05-03 17:15:28
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 trade issue 29-04-205-external.xlsx - Attached On 2015-05-03 13:06:25 UTC - Size: 31.35 KB - 461 views |