I would like to be able to send 100 limit orders to an exchange and only have one of them (at most) executed. I know that this can be done with IB by attaching OCA (one-cancels-all) attribute to all orders in a basket. If one trades via a prop firm which software has the capability to do OCAs on a basket of orders?
i am looking at Sterling. what they have is a pathetic OCO attribute that can be added to live orders (by the time you add them those orders may get executed in droves). "OCO Orders â OCO, One Cancels the Other (or Order Cancels Order) is an order feature available only from the Trading Monitor, Options Monitor, and Futures Monitor. OCO in Sterling Trader® Pro involves grouping two or more orders that are already live."
Really? I do not know if this particular functionality is available for a basket, but I can't see how it can be done in a deterministic way. It's one thing to do it for one instrument with 2 orders which are (reasonably) far apart, thus minimizing chances of both being executed, in rapid succession. But for 100 different stocks with 100 limit orders and guaranteeing 99 can be pulled when one is executed? How is that possible?
naturally, there is no guarantee in trading. theoretically, there should be only one execution in the above example. practically, %_executed is a function of a velocity_of_market_move. so in reality it is somewhere between 1 and 100.
draw a bell curve if you can make one that fits your statement.. _____"theoretically, there should be only one execution in the above example. practically, %_executed is a function of a velocity_of_market_move. so in reality it is somewhere between 1 and 100." are you sure?
not sure what you are asking. must be the way i worded the above is confusing. maybe the statement was too general because i made certain assumptions about the type of orders OCAs were attached to. or maybe i use "theoretically" in a wrong way. let me give it another shot with an example. i am talking about OCA at IB when submitting limit orders. let's say i submit 10 limit orders with the same OCA attached. IB places the orders at the exchange but is monitoring their execution to cancel the extra orders as per OCA instruction. normally, once one order is executed the other 9 are canceled by IB. BUT, if the market makes a fast move and the limit orders are not very far up to 10 orders may get executed BEFORE IB has a chance to cancel them.
IB does what they can. If nothing else you would have to close all the unwanted positions asap and hope that they didn't cost you too much. If they are all random in move then they should average out to zero over time and you would have just commish to worry about.. the only way to know how many unwanted fills you would get would be to work it for awhile until you get a feel for it.. you might write a script to clean up after, to flatten all but the first fill. IB's OCO would be your first line of defense and your script would be the second one sort of...
i agree with what you said. OCAs are not perfect but they are useful. so is TWS the only place where i could submit a bunch of orders a a basket and with OCAs already attached to the orders? As I am doing my research I am beginning to realize that with all the prop firms and software out there, overall, IB is hard to beat actually. Props do offer the leverage (a big plus) but they seem to be handicapped on the software side. I could be wrong, but that's the feeling i am getting so far. another question: if I go the scripting route when i will need to write my own script that monitors the number of fills and cancels the unwanted orders, which environment is the easiest to do so for somebody with limited programming experience? i am able to write simple scripts in VBA excel and that's it.
Collective2's Gen3 API supports OCA for a dozen or more brokers setup for platform less autotrading. Take a look at their docs and broker list.