Hello, I have been running an automated system doing a lot of cancel/replace limit orders for 3 months and it had great returns so far. The regularity is really good.I am running it on 6 instruments with just 1 lot per order. I had just a few bugs , mostly due to my own incompetence at programming...LOL. I would like to expand it but I'm always scared of having too much orders hangin' everywhere and of the possible doom scenarios. So I want to hear from people doing that. How many markets are you trading simultaneously? Have you got bad experiences? Any specific things to know? Thanks. NB : I am in front of the screen all day to handle possible problems, of course....
LOL Are you doing it for real? How do you handle connection lost, server problems? It seems I need to grow my balls...
ARCA and BATS flush your orders for you when you disconnect, if you connect to them directly. Part of their compliance/conformance test.
You have to flow chart the entire process. That will obviate the weaknesses or feared weaknesses in what you are doing. The difference between what your strategy thinks is the real situation and the real situation can be stark. You will wind up with modules that check with the brokerage to check the connection, the account, the positions of everything before they do anything.. you can't spaghetti code a process this complex...
Well, say you want to trade 10 lots. What you can do it bid and offer 1, and if you get filled then have your program take 9 more at presumably the same price. That way if you get disconnected you'll only have 1 lot sitting out there. And by the time you're trading 10 you won't really care about getting filled 1 lot if you've been disconnected (which should happen very rarely, if not, go with a new broker or ISP). I don't know what your strategy is so I don't know if that information will be relevant to you but I HTH.