Support Board
Date/Time: Mon, 01 Jun 2026 19:24:49 +0000
Teton order rejection on Sunday evening open for CME
View Count: 13
| [2026-06-01 16:57:29] |
| User987654 - Posts: 71 |
|
I had a couple of orders rejected yesterday right around the 6pm EST open of the CME. 2026-05-31 17:02:56.816 | Order update (Order reject). Info: Teton CME Routing (Order reject). Info: CME (Rejected). Text: Order price is outside bands 'Bid of 3040275.00 violates High Band 3040175.00 using Delta .00, C.Last equals 3037175.00'. SecurityID=xxxx. Operator=xxxx. Internal Order ID: 131037. Service Order ID: 128844. Symbol: NQM26_FUT_CME. Account: xxxx * 2026-05-31 17:02:57.345 | Order update (Order reject). Info: Teton CME Routing (Order reject). Info: CME (Rejected). Text: Order price is outside bands 'Bid of 3040275.00 violates High Band 3040175.00 using Delta .00, C.Last equals 3037175.00'. SecurityID=xxxx. Operator=xxxx. Internal Order ID: 131038. Service Order ID: 128845. Symbol: NQM26_FUT_CME. Account: xxxx * These were automated LMT orders, so prices were not entered manually but pulled using sc.BaseDataIn[SC_LAST]. Also this is not a new study and it worked before and after this rejection. It looks like the last time NQ was at 30402.75 was about 55 seconds before the rejection happened and that at the time of rejection (17.02:57), price was 30371.75. So I wonder if perhaps the order server lagged briefly right around the open. In hindsight, this actually happened 2 weeks ago when I entered a MKT order also for a CME product manually right around the Sunday open. I didn't think much of it because I entered a bunch of other MKT orders manually and it was the only one that failed and I chalked it up to a one time event. I did not save the log from that instance. |
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