It sounds like you're setting a 'breakout' OCO. I read the XT help section on OCO's and there are three kinds. By default, the breakout OCO is enabled. You need to go into properties and select 'bracket' from the OCO drop down box. After doing so, you may select the two order types. You may then declare 'Limit' as the order type for the first order placed.
covered_call, Thank you for your reply. I'm already using the Bracket option; so it's quite strange that the first leg of the limit order is actually queued only when the second leg is placed. Are you able to create OCO with the first limit order promptly queued on MD Trader?
I see what you mean. Have you considered entering the orders independently? You can place your limit order first then link them in the order book. I found that in the online help. Have you asked TT about this? They have a webpage where you can post questions. http://forums.tradingtechnologies.com/ I've pulled some info off there before. Let me know what you find out. When I was in the pit, these orders were entered simultaneously...desks would literally arb the order in and physically form an 'o', 'c', 'o' with their thumb and index finger. They still do this. There's a reason we would do this, the orders are conjoined. You can't have one without the other. From a backoffice perspective, it may get confusing as well. Not sure about that part but the clearing firm may see two sell orders (limit and stop) if they are not entered simultaneously as OCO's.
Apparently someone else expressed the same doubt recently: http://forums.tradingtechnologies.com/showpost.php?p=566&postcount=14 And this means that linking ex-post existing orders (the limit and stop orders) causes losing the queue.
Here is the reply by TT (@ tt forum): When linking OCO orders, the original order must be cancelled at the exchange and re-submitted by X_TRADER®. The new order is synthetic and held by X_TRADER®. At this time, we cannot maintain the original order and its queue position.