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Date/Time: Fri, 29 Mar 2024 10:43:07 +0000



CQG Web API: Server-Side OCO

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[2018-10-08 10:46:41]
User882915 - Posts: 32
Dear Sierra Chart Support Team,

I have a few questions concerning CQG's Web API in Sierra, please:


1. According to the info on your website, server-side OCOs are supported when using CQG's Web API (if the checkbox "Use Server Side OCO Orders" is ticked under "General Trade Settings", which it is in my case), while server-side bracket orders are not.
If I use a bracket order with two take profits and one common stop loss as the child orders, what exactly happens, if I lose my internet connection BEFORE the parent order (a waiting limit order) has been filled, please?
Will the parent order still be filled, as it already sits at the exchange? And then once it is filled, will my associated child orders NOT be sent to the exchange, meaning I won't have a stop loss and any take profits in place? Or what exactly will happen, please?


2. If I lose my internet connection AFTER above-mentioned bracket order has been filled, will the associated child orders (SL and TPs) still be fully functional, including the OCO function (cancelling the TPs if the SL gets hit and vice versa)?


3. When I took my first live trade, I noticed that I was charged USD 0.25 per side and contract as the transaction fee, while it should have been USD 0.10, only.
So, I contacted my broker to fix this, which they did (according to the broker, the clearing firm (Dorman) had set the transaction fee wrong).
While I indeed only got charged USD 0.10 on my next trades, I noticed that in Sierra's trade activity log, suddenly the former description of exactly the same type of order had changed from "...Attached Order / Server side OCO order" to "...Attached Order / Client managed bracket order". (see attachments)
While technically this is corrrect, as the bracket orders are client side, the associated OCOs should still be server side, as indicated before.

I contacted my broker on this one and asked for clarification if CQG or Dorman maybe not only reduced my transaction fee but also do not provide the server-side OCO functionality anymore due to the lower cost.

According to my broker's response, both CQG and Dorman claimed that nothing had been changed in that regard from their side and that I should contact Sierra Chart about it (which I hereby do).
So, can you please let me know why the described change in the description has changed the moment they reduced my transaction fee? Did anything change on Sierra's side?


On a side note:
the description of CQG's FIX is rather confusing on your current page on CQG Data. While under "What is Included" you write "Server Managed Bracket Orders: No. Support has been removed due to unexpected behavior with this order type.", at the bottom of the page under "Margin Requirements and Bracket Orders" you give the impression that it is supported with FIX (as opposed to Web API).
Can you please clarify whether the "server managed bracket orders" functionality actually is supported for FIX or not?

Thank you very much in advance for your effort and reply.

Kind Regards
Date Time Of Last Edit: 2018-10-08 13:07:30
imageBefore the fee reduction.jpg / V - Attached On 2018-10-08 10:44:23 UTC - Size: 29.68 KB - 288 views
imageAfter the fee reduction.jpg / V - Attached On 2018-10-08 10:44:30 UTC - Size: 24.22 KB - 283 views
[2018-10-08 12:57:01]
User882915 - Posts: 32
Thank you.

Just a small addition to question No. 3, please:
What I am of course also interested in (independent of the actual description in the trade activity log) is whether you can confirm that currently my OCOs are fully functional server-side (as per definition in question No. 2).

Regards
[2018-10-09 06:13:53]
Sierra Chart Engineering - Posts: 104368
1, 2. This explained in detail here:
Attached Orders: General Management of Attached Orders

Prior to version 1819 CQG bracket orders are actually supported. The documentation was not up-to-date. But in 1819 we have removed support for them. We recommend not using CQG bracket orders.

3. We think this is only coincidental. Transaction fees have no effect on how bracket orders are managed. You may have updated Sierra Chart causing a change.

at the bottom of the page under "Margin Requirements and Bracket Orders" you give the impression that it is supported with FIX (as opposed to Web API).
This documentation has now been removed.

We also need to look at the logging indicating whether OCO and bracket orders are managed on the client-side or server-side. We can see how when a bracket is client managed, there still can be server-side OCO and that needs to be indicated.
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
[2018-10-09 18:00:38]
User882915 - Posts: 32
Thank you for your reply and the link.

While that page indeed clarified a few things, regarding my main concern (whether my OCOs will be handled server-side with full cancelling functionality, once a parent order has been filled, even if I then lose my internet connection), I'm still confused:

Answering my question No. 3 you write that this is most likely coincidental and that I might have updated Sierra Chart.
Yes, I update it on each weekend (if there is a new version); now I'm on version 1815 (64 bit) and that was the 2nd update since my trade where "Server Side OCO order" still appeared. I did not see any notification about a version 1819 (or is there different update numbering for 32 and 64 bit versions)? (Note that I do not download "PreReleases".)
But if it was caused by the update, actually YOU should be able to tell me if in the current version the type of messaging in the trade activity log was changed by Sierra chart or not, right?


Moreover, on the page you sent me the link of, the following is written:
How do you know whether your Trading service supports OCO functionality? ... You will know if your Trading service supports OCO functionality when you submit an order. In the Trade Activity Log, in the Order Action Source field for the order, server-side managed OCO orders will contain the text Server side OCO order.

As I explained in my first message, that "Server Side OCO Order" indication had disappeared and was replaced by "Client Managed Bracket Order".
So, does that now mean that my OCOs are NOT handled server side, in spite of the clear indication on your Data and Trading Services page for CQG that Server-Side OCOs ARE supported in both, FIX and Web API?
Or has the text on the page not been updated after Sierra Chart had changed the description in the trade activity log in one of the last updates?

As far as I understand the entire page, currently I tend to believe that my OCOs are NOT handled server-side once the parent order got filled, as it is not indicated in the trade activity log. The question is WHY?
(I am using Web API, which should support it, and I have "Use Server Side OCO Orders" ticked under "General Trade Settings", too.)


Unfortunately, I don't understand your following sentence:
We also need to look at the logging indicating whether OCO and bracket orders are managed on the client-side or server-side. We can see how when a bracket is client managed, there still can be server-side OCO and that needs to be indicated.

I sent you the logging as attachments. Or are you talking about some other logging? If so, which? Please let me know, and I can send it to you.
Or did you mean that you will look at my logging from your side and come back to me on that one?


Thank you very much in advance for your feedback.
[2018-10-09 20:49:03]
Sierra Chart Engineering - Posts: 104368
Update to version 1819 and the trade activity logging does now indicate that server-side OCO is being used for the attached orders if they actually are. This was not previously being logged but still server-side OCO was being used, if they are supported on the server side and you did enable that option.
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
[2018-10-10 10:16:39]
User882915 - Posts: 32
Thank you!
Now it is indicating "Attached Order / Client side bracket order / Server side OCO order".
So, all good now.

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