TWS: OCA efficiency

Discussion in 'Order Execution' started by Yair_S, May 15, 2019 at 8:15 AM.

  1. Yair_S

    Yair_S

    Hi,

    I made a little test in the simulated trading account: sent 10 MKT orders under 1 OCA group name
    The result was 3 of them executed.

    I know there is no guarantee in OCA orders but i'm worried in case of a market open with a big gap that trigger right away more than 1 order and Margin Call

    Is someone who use OCA on real trading experienced that ?
     
  2. Personally, I would never expect to submit 10 market orders under OCA and expect that to work. Presumably these are 10 different markets... I have only used them for entry/exit type orders for a single market.
     
  3. I'm confused, you send 10 orders at market asking for them to cancel after the first was filled.

    First of all, you are using a SIMULATED account so you can't expect the same results. In real life, given the speed of execution, I bet you have over 70% or perhaps 100% if including partial fills executed.
     
  4. Yair_S

    Yair_S

    To be more precise: if someone knowing he will not be in front of his computer for the trading day to come and want to enter juste one trade. If multiple LMT orders are triggered right at the opening, is the OCA option has any kind of protection ?
    Same thing can happen at any moment with a big worldwide event or fat-finger error...
     
  5. gaussian

    gaussian

    Why are you using simulated as a representation of what would happen live?
     
  6. Yair_S

    Yair_S

    Because i'm not sure if this is suitable for me and don't want to loose many $ just to test it in real
     
  7. lindq

    lindq

    Whether simulated or real, entering 10 market orders at the open and expecting 9 of those to cancel if one is filled, is asking a lot of any system.
     
  8. qlai

    qlai

    If you use STP LMT orders at different levels they would be less likely to fill, but as you said, no guarantees. I would use OCO one STP LMT order and one STP MKT order as a "get me out at any price if we get there."
     
  9. Interesting, have you tried this?
     
  10. qlai

    qlai

    No, I only use mental stops. If you size your trade properly, you are better off taking occasional hit then being constantly robbed by gaps, mini-crashes, liquidity vacuums, etc.