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Direct MessagesDate/Time: Tue, 16 Apr 2024 16:48:04 +0000
limit order with multiple groups order book queue
View Count: 360
| [2022-05-25 17:08:19] |
| onnb - Posts: 660 |
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This question best explained by example Say I submit a limit order with qty 10 and it has 2 OCO groups defined. The first group has 7 and the 2nd group has 3 SC will break this up into two separate limit entry orders Does the first group always get submitted first and is it deterministic that it will be first in the order book queue (as it arrives first to the exchange)? In other words, can one count on it that the first group will always be before the 2nd group in the order book queue when considering fills and partial fills? Does your answer make a difference if the service it Teton or a 3rd party like CQG/IB/Rithmic? Date Time Of Last Edit: 2022-05-25 17:08:38
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| [2022-05-26 04:05:52] |
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We added this to the documentation: When Attached Orders are sent to the external Trading service, they are iterated through from top to bottom as they are listed in the Attached Orders list on the Targets tab of the Trade Window. If an Attached Order has a sibling order, the corresponding Target or Stop in the same OCO Group, then as Attached Orders are processed from top to bottom in the list, the sibling order, for the currently being processed Attached Order is located in the list and these are sent at the same time.
How the orders are going to be in the queue at the exchange we do not know. And we cannot answer that question with Teton either because we do not know what happens after they are sent to the exchange. 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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