Fast market Lesson: Stops can get rejected

Discussion in 'Order Execution' started by IAS_LLC, Feb 6, 2018.

  1. IAS_LLC

    IAS_LLC

    You're misunderstanding. Do you know what a bracket order is?
     
    #31     Feb 6, 2018
  2. sss12

    sss12

    Yes. Same principle applies. The market was missed.
     
    #32     Feb 6, 2018
  3. IAS_LLC

    IAS_LLC

    Yes...this has all been discussed and acknowledged. My assumption was that since the market was below my stop trigger that it would have simply been treated as a market order...this proved to be false.
     
    #33     Feb 6, 2018
    sss12 likes this.
  4. qlai

    qlai

    #34     Feb 10, 2018
  5. IAS_LLC

    IAS_LLC

    There are stop-orders for futures:

    Stop Order Notes

    • The stop order's trigger price is validated differently depending on the market state.
    • During the Continuous market state, a Buy stop order must be > last trade price and a Sell stop order must be < last trade price. Absent a last trade price, the settlement price is used.
    • During the Pre-Open and No Cancel market states, a Buy stop order must be > settlement price and a Sell stop order must be < settlement price.

    2nd bullet is exactly my issue. I sent a bracket to Rithmic, my opening limit rested on the exchange and the legs of my bracket rested on rithmics servers until the open was filled. Once rithmic got confirmation of the fill, they sent my target and stop to the exchange. 1-2 milliseconds is all it took for me to miss. I didn't anticipate this being an issue, but I should have.
     
    #35     Feb 10, 2018
  6. qlai

    qlai

    Yeah, that's why I prefer to code these things (bracket, OCO, etc) myself. Want to rely on providers as little as possible(data and/or execution only). Lots of unexpected things happen during fast markets. This way if something happens, at least it will be my fault which is easier to digest . Definitely smart for you to have been watching ... I guess I won't be trading from the beach anytime soon.
     
    #36     Feb 10, 2018
    rohan2008 likes this.
  7. IAS_LLC

    IAS_LLC

    I used to handle the bracket fully on my machine with my software, but decided it was safer to rest thing on a larger entitites server (rithmics), as they are more robust to power/network outages than I am.
     
    #37     Feb 10, 2018
  8. aldrums

    aldrums

    Your stop is too tight, even for calm markets. You would have to time the market perfectly on every trade. What do you think the chances are of that happening?
    Probably not much more than .0077%. Which is the size of your stop compared to the price of the NQ.
     
    #38     Feb 10, 2018
  9. algofy

    algofy

    Likely bad code.
     
    #39     Feb 10, 2018
  10. aldrums

    aldrums

    This is a crazy strategy. I just saw your limit order. Any trading strategy needs to be aligned with the volatility of the financial instrument.
    Your strategy attempts to avoid risk, which will never work. There is no reward without risk.
    You must embrace risk, then go from there
     
    #40     Feb 10, 2018
    Van_der_Voort_4 likes this.