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Direct MessagesDate/Time: Mon, 29 Apr 2024 03:03:13 +0000
Scale Out conflicts with "Maintain Same Quantity for OCO Group Orders"
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| [2020-04-06 20:40:48] |
| User893209 - Posts: 2 |
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Hi Team, I will try and describe what occurred using a simpler contrived example, but can send the full actual trade activity log for investigation. - My trade window has "Scale Out" checked and "Maintain Same Quantity for OCO Group Orders" checked. - I placed 2 buy orders with quantity 2 each, call these A(2) and B(2). - Each had attached orders with a single target and stop, obviously each with quantity 2 also, sitting in two OCO groups, call these At(2), As(2) and Bt(2), Bs(2). - Both my orders were filled, leaving me with a position of +4 and 4 working orders At(2), As(2) and Bt(2), Bs(2). - I moved stops and targets around while managing trade, so that the nearest target was At(2) and the nearest stop was Bs(2). This was not on purpose, but is likely very common. - The market stalled, and I wanted to scale down from +4 to +3. So I entered a _new_ sell order of quantity 1, which was filled. - Sierra Chart recognised this as a Scale Out, and updated the _nearest_ orders to reduce by the scale out amount. So At(2) was reduced to At(1) and Bs(2) was reduced to Bs(1). - Current position then was +3, with orders in two OCO groups of At(1), As(2) and Bt(2), Bs(1). - I _moved_ Bt(2) somewhere else as part of managing the trade. - Sierra Chart then triggered "Maintain Same Quantity for OCO Group Orders" and updated Bs(1) to Bs(2) to match the quantity of Bt(2). - Now current position is still +3, but the orders in the OCO groups are At(1), As(2) and Bt(2), Bs(2). - I was eventually stopped out, and unfortunately this meant entering a new position of -1, which I did not realise until hours later (and unfortunately a significant loss). Now I do things in this way because I want to independently manage stops / targets for part of a position (hence "Scale In" is not checked), yet sometimes I want to partially scale out a single position (hence "Scale Out" is checked). However, because of the way "Scale Out" chooses which orders to modify (nearest), it was left in a position where it modified orders in different OCO groups. This then conflicted with the "Maintain Same Quantity for OCO Group Orders" setting, which reversed that scale out. It seems this only happened on the B order (in the above example) and not the A order because it only happened when I modified one of the sibling orders in the B group, I made no modification to any sibling orders in the A group. For the time being, I will simply check "Scale In" and only use a single stop / target, so I never have to deal with multiple OCO groups. This is not ideal, but is safest. I believe that the ideal fix, based on how everything is documented at the moment, is to ensure that "Scale Out" uses OCO groups as precedence over the "nearest" or "furthest" orders setting. This avoids creating a situation where the OCO pairs have different quantities, and the unusual behaviour that can occur at that point. |
| [2020-04-07 03:43:46] |
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We understand. We implemented a solution and this is now released. This is in version 2079. When using "Maintain Same Quantity for OCO Group Orders" , this action only occurs when modifying the order quantity. Not when changing 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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