I have a simple ATM strategy which places a simple target 4 ticks away and a simple stop 8 ticks away from my entry order.
Today I used Chart Trader to place an entry order to buy limit 2908.25 on ES 06-19. This correctly triggered the ATM, generating a target sell limit order at 2909.25 and a sell stop order at 2906.25.
I then manually moved the target order to 2909.75 and this seemed to be accepted fine.
17/04/2019 15:01:21 | Order | Order=' Name='Target1' New state=Working Instrument='ES 06-19' Action=Sell Limit price=2909.75 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' |
17/04/2019 15:01:21 | Order | Order= Name='Target1' New state=Accepted Instrument='ES 06-19' Action=Sell Limit price=2909.75 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' |
17/04/2019 15:01:21 | Order | Order=' Name='Target1' New state=PendingChange Instrument='ES 06-19' Action=Sell Limit price=2909.75 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' |
I then manually moved the stop order to 2902.25 by drag and drop. However, I had problems with my mouse so I released it at 2904.5 then tried again. I got error dialogs saying I can't change the order both times and tried again until it finally seemed to work.
17/04/2019 15:01:39 | Order | Berkeley Futures, Order ' can't be changed (52/Working) affected Order: Sell 1 Stop @ 2902.25 |
17/04/2019 15:01:39 | Order | Order= Name='Stop1' New state=Working Instrument='ES 06-19' Action=Sell Limit price=0 Stop price=2902.25 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=UnableToChangeOrder Native error='Order '25731194' can't be changed (52/Working)' |
17/04/2019 15:01:27 | Order | Berkeley Futures, Order '25731194' can't be changed (52/Working) affected Order: Sell 1 Stop @ 2904.5 |
17/04/2019 15:01:27 | Order | Order=' Name='Stop1' New state=Working Instrument='ES 06-19' Action=Sell Limit price=0 Stop price=2904.5 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=UnableToChangeOrder Native error='Order '25731194' can't be changed (52/Working)' |
However, on Chart Trader everything looks fine with my stop moved to 2902.25 visually.
Then the next thing that happens is that the market trades down to 2906.25 and the original stop gets hit but the log messages I have say my stop price is 2902.25!
17/04/2019 15:02:20 | Execution | Execution=' Instrument='ES 06-19' Account= Exchange=Globex Price=2906.25 Quantity=1 Market position=Short Operation=Insert Order= Time='17/04/2019 15:02:20' |
17/04/2019 15:02:20 | Order | Order=Name='Target1' New state=PendingCancel Instrument='ES 06-19' Action=Sell Limit price=2909.75 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error='' |
17/04/2019 15:02:20 | Order | Order= Name='Stop1' New state=Filled Instrument='ES 06-19' Action=Sell Limit price=2903.25 Stop price=2902.25 Quantity=1 Type=Stop Filled=1 Fill price=2906.25 Error=NoError Native error='' |
Any ideas?
regards
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