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Direct MessagesDate/Time: Wed, 15 May 2024 19:53:03 +0000
Latency effect of attached orders based on fill-price of the parent order
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| [2017-08-28 09:38:55] |
| User553714 - Posts: 184 |
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It is my understanding that when you use attached orders using the TradeWindow then the price levels of the stops and targets are based on the "filled" price of the parent order as stated here and are NOT set until the parent order has filled; Attached Orders: Fills I am trying to understand exactly how this occurs. Does this mean that the stop/target orders are held on the client side without an active price set until SC on my computer receives the confirmed fill-price of the parent order at which time SC on my computer sends back a signal to my broker setting the stop/target order prices based on an offset from the parent order fill-price? If I am correct in my understanding then the stop/target will have a latency time equal to the amount of time SC on my computer receives the fill price from the broker, TradeWindow attached orders code processes and then sends back the price levels of the stop/target back to the broker. So that if my latency is say 50ms per leg then round trip it will be > 100ms before I have active stop/targets from the parent order fill price? Is this correct? I am looking to place my stops manually based on fill price of the parent order and the way I describe above is the only way I could think of achieving this. At the moment I have manually been placing stops based on fixed limit prices which have proved less than desirable in fast markets. Thanks Date Time Of Last Edit: 2017-08-28 09:42:14
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| [2017-08-29 01:26:35] |
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Does this mean that the stop/target orders are held on the client side without an active price set until SC on my computer receives the confirmed fill-price of the parent order at which time SC on my computer sends back a signal to my broker setting the stop/target order prices based on an offset from the parent order fill-price? Yes, if the Attached Orders are not server-side. Refer to:Attached Orders: General Management of Attached Orders So that if my latency is say 50ms per leg then round trip it will be > 100ms before I have active stop/targets from the parent order fill price? Is this correct?
No not really. As soon as the fill is received, the Attached Orders are both sent out in less than one millisecond.
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