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Direct MessagesDate/Time: Fri, 19 Apr 2024 18:27:19 +0000
Stop order rejected - being resent as Market order.
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| [2013-09-09 10:29:58] |
| T44 - Posts: 363 |
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I am using CTS T4 feed clearing Dorman. My account is set with a loss limit and is placed in liquidate only mode if the sum of realized + unrealized P&L exceeds this amount. I trade from Sierra charts with automatic targets and OCO set. Therefore each market order sent also sends attached stop and limit when filled. Today I was coming close to, but was not over the loss limit, when I place an order from a flat position. A second after being filled, I am exited at market and receive the following error: ! NOTICE: Stop Attached Order with Internal Order ID: 10468 was rejected and is being resent as a Market order. | 2013-09-09 05:36:22 Looking in the trade service log, I see "Trade Order Error - CTS T4 order update. T4 status: Loss limit exceeded and order does not reduce worst case position" immediately before. Now interestingly, I was under the loss limit when I entered the trade, but the "UPL" - unrealised P&L - when the spread widened out put me over it. Now this is a "liquidation only" mode which means that when the limit is hit / exceeded, I can hold existing positions just not add to them. If I had been over the loss limit prior to placing the opening order (which I was not), it should have been rejected. Liquidation only mode means there is no automatic feature to close out a trade, and this is by design. What appears to be happening is the following: #1 -- Sierra (or CTS backend?) has a feature that when a stop order is rejected, it is re-sent as a market order. Not sure the logic for this, if it is desirable, or if the user should have control over toggling this feature; but would appreciate some more information. #2 -- Further, the OCO are necessarily sent after the fill of the parent order is received. So the parent order is filled, the spread widens, the loss limit is evaluated against the new unrealised P&L based on inside market, then the OCOs are rejected as they are not considered liquidation orders. OCOs typically are liquidation orders, but understood that the total quantity is double the existing position, and a reverse would be triggered if both were (in the unlikely event) filled simultaneously. So lets say a position of long 1 lot is filled. There are two orders sent to sell 1 lot stop and sell 1 lot limit. If both are filled, the net position is short 1 lot, which does not "reduce" the long 1 lot size. However the intent of OCO is that (absent orders being placed too close or bizarre market conditions) that only one side will typically fill. So the effect of OCO is to potentially reduce the 1 lot position to 0 lots, which should be accepted as a liquidation order. So the scenario following #2 should be that perhaps the OCO is rejected, leaving you with an open position and no bracket orders which can be closed with new offsetting limit or market order as desired. But because of the behaviour at #1, an offsetting market order is sent due the stop portion of the OCO being rejected. The current situation is very unfortunate behaviour in markets with wide or erratic spreads, as one has instantly paid a widened spread. The behaviour should be to deny new positions when over loss limit and not before, or to allow new positions but not auto close them. There is no sense in filling both sides of the market inside a second, and I would hope that this issue can be addressed promptly. Thanks. |
| [2013-09-09 17:27:58] |
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1. This is documented here: http://www.sierrachart.com/index.php?l=doc/doc_AttachedOrders.html#AttachedOrdersInLiveEnvironment You need to disable Global Settings >>General Trade Settings >>Auto Send Market Order on Rejected Stop Attached 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 Date Time Of Last Edit: 2013-09-09 17:28:17
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