Fast market Lesson: Stops can get rejected

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

  1. qlai


    Yes valid point. I favor Colo but it gets expensive. Good post!
    #41     Feb 10, 2018
  2. IAS_LLC


    Thats my goal, but I'm not in a place where I can justify the increased fixed-cost...Someday soon, hopefully.
    #42     Feb 10, 2018
  3. IAS_LLC


    Code worked exactly as designed. But, bad design on my part to not handle this. I never expected a stop order that was sitting server side to be rejected. Stupid, but mistakes are part of every development process.
    #43     Feb 10, 2018
  4. d08


    This seems to be a broker issue. As far as I remember, IB will trigger it even if it is bound for immediate execution. Not a market issue.

    That's not how stops work. After triggering it's a market order and there's always a market to trade with, even if far away. If it's stoplimit in which case it can fly past the limit price but that's not what he was using.

    Edit: should be noted that this is for futures, my scenario is for equities which is different.
    #44     Feb 10, 2018
  5. IAS_LLC


    Thanks for your reply.

    Couple of things:

    1) I'm using a a 100% custom/self-developed software stack, and its only recently been put online. Risk is intentionally kept low so I can find issues like this, and not pay a massive price for it. I only trade maybe an hour or so a day while I can sit and watch it do its thing. Trading isn't paying the bills for me (yet :) ).

    2) I'm in what I call "Software/Strategy Risk Reduction" phase. My intent is to trade as frequently as I can, learn as much as possible, and basically break even with minimal swings. After data fee's, that's essentially where I am. I'm not done, but I've accomplished what I've wanted to thus far (maybe not as quickly as I'd like...).

    3) 100% agree with you, gotta understand and seek risk to make money. Generally speaking, I disagree with the statement that a 2 tick stop is too tight to be profitable with. Obviously, I need to have a high win rate, but my test and real time data suggests that is possible. The wild card here is market volatility, which I don't account for in real time. This wasn't an oversight, just a risk I accepted to more quickly accomplish the goals I stated in bullet 2. I've always known I was "tuned" to a low vol market, but that will be addressed for my "production" strategy.

    Good conversation, guys. Personally, I hope vol stays high. Makes things much more interesting.
    #45     Feb 10, 2018
    MoreLeverage likes this.
  6. punisher


    I don't have a time to go through the entire thread but upon reading the first few posts this is my comment:

    Yes, the market can jump your stop price for a variety of reasons (fast markets, gaps etc).

    Whether your stop loss gets executed in those circumstances depends on the setting of your platform/broker, since it is resting on their servers, not the exchange.

    If you're using Rithmic trader to execute trades, read below:

    There is a separate settings option that needs to be checked off on the platform in order to have these stops executed in case price jumps through your S/L. I accidentally learned that on one of Rithmic's webinars and had that on ever since (I don't trade with them at the moment). I don't remember though if you have to have your platform on when the price jumps through in order for that to work or it works for all your stops (once the option is activated) because these setting will be saved together with your stop order on Rithmic server. The logic tells me it's the latter one, but since it's your money, it's best to check with them directly (Rithmic, not your broker). But the option is right there buried inside Rithmic trader. Why it's not "on" by the default, is beyond me but what do I know...

    Hope that helps.
    Last edited: Feb 10, 2018
    #46     Feb 10, 2018
    IAS_LLC likes this.
  7. punisher


    Right there there is a second flaw in your assumptions:

    Once your order (opening the trade) to buy (or sell) get's filled, only your T/P part of the bracket (limit order) will be placed on the exchange. Your S/L, if it is stop market order, can't be on the exchange, it is on Rithmic's server until price goes through it when it get's activated (or not) depending on the settings I described for you earlier.
    #47     Feb 10, 2018
    IAS_LLC likes this.
  8. punisher


    In Rithmic, go to Configure Brackets and check "on" the option to: "convert stops to market on reject".

    the webinar I was talking about:

    note: video is for trader pro but works the same for non-pro version.

    hope that helps,
    #48     Feb 10, 2018
    IAS_LLC likes this.
  9. qlai


    So curious what did you decide to do in such case? If I understand correctly, the exchange rejected the order because trigger price was outside of the protection range. I don't think there is anything you (or vendor) can do about it. My system re-submits but if I get three rejects (configurable), the strategy is suspended and manual involvement is required from that point.
    #49     Feb 10, 2018
    IAS_LLC likes this.
  10. IAS_LLC



    Thank you! I'm using R|Api, not R-Trader, so I can't do that exactly, but will end up implementing something similar in my own software.
    #50     Feb 10, 2018