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Direct MessagesDate/Time: Tue, 07 May 2024 13:09:11 +0000
Interactive Brokers
View Count: 1149
| [2016-07-05 14:35:30] |
| User841604 - Posts: 20 |
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I've started to test an ACSIL system, i'm using limit orders to enter at X price with Stop and Target attached. I could see that the value displayed by the horizontal entry line it's no always correct and the error is not a multiple of the tick size, after a relative large set of trades i could verify that some entries were executed by IB 1 tick up/down than the value set by NewOrder.Price1. Is this common with IB?
Date Time Of Last Edit: 2016-07-05 14:41:47
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| [2016-07-05 17:32:43] |
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Yes this does make sense and it is explained here: https://www.sierrachart.com/index.php?page=doc/doc_TradeStatusWindows.html#TradeServiceProvidedAveragePrice There is an Interactive Brokers specific setting which controls this. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-07-06 02:51:03] |
| User841604 - Posts: 20 |
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Thanks Support! I'll try this tomorrow.
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| [2016-07-06 15:19:04] |
| User841604 - Posts: 20 |
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I tried this and some limits are still being executed +/- a tick the value NewOrder.Price1 gets, im logging this value in my system so i can compare the value i see in the log window to the interactive trade activity window. This values are the same i can see in Trade>Trade Orders And Position window, between Price and Average Fill Price, and sometimes the difference is 2 ticks. Since i'm using limits, i want to execute the order only at the price i'm passing to NewOrder.Price1 otherwise I do not want to execute the order, so the difference between Price and Average Fill Price should always be equal to zero. How can i achieve this?
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| [2016-07-06 17:45:00] |
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Did you set Global Settings >> Data/Trade Service Settings >> Use Interactive Brokers Provided Position Average Price to false? I tried this and some limits are still being executed +/- a tick the value NewOrder.Price1 gets,
Provide us the Fill activity line from the Trade Activity Log for this particular order. Here are instructions:https://www.sierrachart.com/index.php?page=doc/doc_TradeActivityLog.php#TradeActivityLogToSupport Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-07-06 19:09:56] |
| User841604 - Posts: 20 |
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Yes i set that option to Flase. Here is an example: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID Fill 2016-07-06 19:02:25.469 NQ-201609-GLOBEX IB order fill (execution) 68933 722 Limit 1 Sell 4435.75 Filled 4436.00 1 DXXXXXXX Open -1 Order 2016-07-06 19:02:39.951 Requesting Open orders from trading service Unspecified None Order 2016-07-06 19:03:57.592 NQ-201609-GLOBEX IB order status update 68935 724 Stop 1 Buy 4437.00 Canceled DXXXXXXX Close 68933 -1 Order 2016-07-06 19:03:57.795 NQ-201609-GLOBEX IB order fill (execution) 68934 723 Limit 1 Buy 4433.25 Filled 4433.25 1 DXXXXXXX Close 68933 -1 Order 2016-07-06 19:03:57.796 NQ-201609-GLOBEX Updated Internal Position Quantity to 0 Unspecified DXXXXXXX Fill 2016-07-06 19:03:57.797 NQ-201609-GLOBEX IB order fill (execution) 68934 723 Limit 1 Buy 4433.25 Filled 4433.25 1 DXXXXXXX Close Date Time Of Last Edit: 2016-07-06 19:13:04
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| [2016-07-06 19:13:10] |
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It is completely reasonable for a Sell Limit order to fill at a higher price than its limit price. You cannot control this. This is simply the reality of a limit order.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-07-07 05:04:35] |
| User841604 - Posts: 20 |
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Ok thanks, there are some times that the limit target is not executed and the order remains open as the price goes away, how should i solve this? Should i use OCO instead? Can you provide me with an example on how to use OCO to execute a limit order at X price value with the stop and target set, i don't think the examples in the folder work for this. Is there any problem using OCO with IB?
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| [2016-07-07 18:12:37] |
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There are several ACSIL examples for working with Target and Stop orders. Refer to: https://www.sierrachart.com/index.php?page=doc/doc_ACSILTrading.html#ExampleCode No problem with using Target and Stop orders with Interactive Brokers. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-07-07 18:14:13] |
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The code examples are located in this file: /ACS_source/TradingSystem.cpp Which is located in the folder that Sierra Chart is installed to. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-07-07 18:15:11
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| [2016-07-07 22:17:28] |
| User841604 - Posts: 20 |
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Yes, i saw all of the examples, there are several OCO order types, i just wanted to know which one or how should i combine them in order to simply send a limit with stop and target attached. Should i use SCT_ORDERTYPE_OCO_LIMIT_STOP, and set the entry, target and stop? I would like to see an example with this order type, i only saw an example with SCT_ORDERTYPE_OCO_BUY_STOP_SELL_STOP in the folder.
Date Time Of Last Edit: 2016-07-07 22:29:09
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| [2016-07-07 22:25:43] |
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No do not use that order type. That is for a different type of OCO order. Look at the /ACS_source/TradingSystem.cpp/scsf_TradingExampleWithAttachedOrdersDirectlyDefined study function example. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-07-07 22:29:48] |
| User841604 - Posts: 20 |
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How does SCT_ORDERTYPE_OCO_LIMIT_STOP work? I saw that example, is similar to what i'm doing, i'm using limits, and sometimes the target doesn't get filled, how can i solve this? I ask about OCO just to know if they can help. Should i add a market target order 1 tick above the limit target in case of a long entry, in order to close the position if the limit doesn't get filled? I would like to have any recommendation.
Date Time Of Last Edit: 2016-07-07 22:44:11
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| [2016-07-08 04:47:39] |
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This is documented here: https://www.sierrachart.com/index.php?page=doc/doc_OrderTypes.html#OCOLimitandStop This question is not within the scope of our support: and sometimes the target doesn't get filled, how can i solve this?
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-07-08 04:48:48
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| [2016-07-08 17:11:47] |
| User841604 - Posts: 20 |
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Ok, i the case im using limit orders with stop and target limit attached, can i add another target(s_SCNewOrder::Target2Price) but market type above the target limit in a long entry without increasing position size?. I want to know what possibilities i have in acsil using any of the order tyes to be able to flatten limit targets that haven't been filled without a manual algorithm checking for this events. If i have to check this from acsil and sierra disconnects i wont be able to flatten the order if this happens.
Date Time Of Last Edit: 2016-07-08 17:17:10
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| [2016-07-08 17:38:04] |
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Obviously a market order is going to fill right away. You cannot use a market order for an Attached/Target Order.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-07-08 20:54:11] |
| User841604 - Posts: 20 |
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Ok, so it is no possible to send a limit to IB with stop and target attached that in case that the target doesn't get filled and sierra is off the position will be flatten.
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| [2016-07-08 21:59:07] |
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Either the Target or Stop order is eventually going to fill. That is with certainty. Unless they are very far away from the current market price.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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