Hello, For interactive brokers API "One Cancel All" orders. Is there's a chance that by the time one order is filled and the algorithm try to cancel the other orders, the exchange will fill the order and thus you will have an overfill? Not sure if such orders are controlled by the exchange or IB itself and thus the orders should be within the same exchange or I can use it across exchanges safely, ex: one order to sell in NASDAQ and another to sell in NYSE?
OCA is controlled by IB itself and as such there is no guarantee that the cancellation will happen before the exchange executes the other orders, so yes you could get an overfill.
If i recall correctly, IB has an overfill protection option. Where only one order is ever active on the exchange. The others are held on IB servers. The disadvantage is that you might get a slower fill sometimes. So you will have to judge which is more important.