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xbaha
Registered: Dec 1999
Posts: 38 |
09-13-12 11:31 PM
Hi
I am trying to see what logic IB has for their OCA orders, and please let me know if this logic is correct or not ..
when i create an OCA order (parent + child), then after a while i want to cancel the OCA order, this is what happens in the below order:
1. IB cancel all attached (child) orders in the OCA group.
2. IB send a cancellation order the the exchange for the parent order.
wait a minute, does this mean that there is a possibility that IB can not cancel the parent order (if it has been filled already), while it has already canceled all the OCA child orders?
unfortunately, it's true, which makes it impossible to use OCA for HFT..
let me know if such logic is right? shouldn't it seek the cancel in the exchange first, then cancel the OCA attached orders whom are still in the IB server (guaranteed to be canceled) ???
Thanks for any reply.
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Eight
Registered: Mar 2009
Posts: 3462 |
09-14-12 03:43 AM
Where parts of your bracket order reside depends on what exchange you are trading on. With some exchanges your stop order has to reside with the broker. That may complicate your analysis a little. Also, things are asynchronous, if IB cancels your broker resident order at the moment your exchange resident order gets filled they did their best. If you are automated you have to have error handling routines and if you are trading manually you have to watch the order status. Having said that, the chatter is that lots of people have problems with IB and their OCO/OCA orders via the API. I don't have any direct negative experience with that but some claim to. Personally I think that it may be related to the idea that IB has two sets of symbols for everything and people get crossed up by using symbols from the wrong set.
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xbaha
Registered: Dec 1999
Posts: 38 |
09-14-12 02:24 PM
Quote from Eight:
Where parts of your bracket order reside depends on what exchange you are trading on. With some exchanges your stop order has to reside with the broker. That may complicate your analysis a little. Also, things are asynchronous, if IB cancels your broker resident order at the moment your exchange resident order gets filled they did their best. If you are automated you have to have error handling routines and if you are trading manually you have to watch the order status. Having said that, the chatter is that lots of people have problems with IB and their OCO/OCA orders via the API. I don't have any direct negative experience with that but some claim to. Personally I think that it may be related to the idea that IB has two sets of symbols for everything and people get crossed up by using symbols from the wrong set.
but if the stop order resides with my broker, isn't it more logical. and error free, that the broker should FIRST cancel the order in the exchange before canceling my stop order?
why should i use OCA if i still have to have error handling for bracket orders?? otherwise i could use single orders where nothing resides with my broker???!!!
API has no problems, it's just the logic for the OCA orders is what i feel is wrong...
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Hurricane
Registered: Jan 2003
Posts: 766 |
09-14-12 10:20 PM
I haven't had any problem with OCA orders as well. Where the orders reside is beside the point. If one is executed, the others are cancelled. There's the remote possibility that multiple orders will be executed simultaneously but that's the risk you taken with this type of order.
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Eight
Registered: Mar 2009
Posts: 3462 |
09-14-12 11:23 PM
Quote from xbaha:
but if the stop order resides with my broker, isn't it more logical. and error free, that the broker should FIRST cancel the order in the exchange before canceling my stop order?
and what will you do if they cancel the order with the exchange and a moment later your stop gets filled? You will have a position the opposite direction from what you wanted and no stop in place.
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xbaha
Registered: Dec 1999
Posts: 38 |
09-15-12 02:00 AM
Quote from Eight:
and what will you do if they cancel the order with the exchange and a moment later your stop gets filled? You will have a position the opposite direction from what you wanted and no stop in place.
dude, CHILD orders reside on the IB servers, they are ONLY sent after you get a fill !
if they cancel the order on the exchange, your stop is guaranteed to be canceled !
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