I have tested Auto Trade mode for few months now with IB and have come across a serious issue with partially filled orders in Async Mode and I am hoping that TS team will come out with a workable solution soon.
Bar resolution: 5 minute
AutoTrade Setting: Async Mode
Timeout= 0 seconds
OrderType= Limit
Strategy Mode=IOG (intrabar ordergeneration)
Strategy Type:Stop Reverse
Scenario 1:
Let us say we are long one contract and system generates a short signal and accordingly an order is sent to IB to sell two contracts, if only one contract gets filled the remaining order is not renewed and also conversion to market order does not take place thus creating a position mismatch between chart and broker. The reason for this I believe is that MC's auto engine treats partial orders as filled.
Scenario 2:
Timeout = 10 seconds
Let us say 5 seconds are left for completion of a bar and an order is filled at chart level but not at broker as yet, the timeout event is triggered and it will wait for 10 seconds to convert the order into market order. Now since the timeout event of 10 seconds can not happen within this bar as only 5 seconds are let to complete this bar the conversion of order into market will not happen thus creating a position mismatch between chart and broker.
I will appreciate if other users have anything more to add to this or any other issues they have come across with autotrade.
Regards
Super
AutoTrade-partially filled order issue?
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Re: AutoTrade-partially filled order issue?
You are right: MC considers partially filled orders as filled. A substitute market order for the remaining unfilled part is not issued. Hence a subsequent position mismatch between the broker and MC. As a workaround you can eitherI have tested Auto Trade mode for few months now with IB and have come across a serious issue with partially filled orders in Async Mode and I am hoping that TS team will come out with a workable solution soon.
Bar resolution: 5 minute
AutoTrade Setting: Async Mode
Timeout= 0 seconds
OrderType= Limit
Strategy Mode=IOG (intrabar ordergeneration)
Strategy Type:Stop Reverse
Scenario 1:
Let us say we are long one contract and system generates a short signal and accordingly an order is sent to IB to sell two contracts, if only one contract gets filled the remaining order is not renewed and also conversion to market order does not take place thus creating a position mismatch between chart and broker. The reason for this I believe is that MC's auto engine treats partial orders as filled.
1. Use All or None Execution options in Stategy Properties -> Auto Trading -> Interactive Brokers -> Settings -> IB Settings. This option will not be available for all symbols, though.
2. Use the synchronous auto trading mode. Although it will not change the partial order filling behavior, it will help to avoid the position mismatch.
This is a classical position mismatch that can result when the asynchronous auto trading mode is used. Either using a shorter timeout or switching to the synchronous auto trading mode will help.Scenario 2:
Timeout = 10 seconds
Let us say 5 seconds are left for completion of a bar and an order is filled at chart level but not at broker as yet, the timeout event is triggered and it will wait for 10 seconds to convert the order into market order. Now since the timeout event of 10 seconds can not happen within this bar as only 5 seconds are let to complete this bar the conversion of order into market will not happen thus creating a position mismatch between chart and broker.
Regards.
Marina,
Many thanks for your feedback, I have few suggestion which may solve this problems, It would be nice if other members can also come up with possible solutions so that the Autotrade can work in most efficient manner.
Scenario1 - IB provides information of unfilled order status and that information can be used in the Autotrade logic to overcome this problem.
Scenario2 - I think the conversion should not be dependent on bar event, it should run independent to the bar status logic. What I mean is that once the count down starts it should issue conversion market order at the time out and should not look whether it is within the same bar or next bar, only then it would have true synchronisation with chart and broker.
Regards
Many thanks for your feedback, I have few suggestion which may solve this problems, It would be nice if other members can also come up with possible solutions so that the Autotrade can work in most efficient manner.
Scenario1 - IB provides information of unfilled order status and that information can be used in the Autotrade logic to overcome this problem.
Scenario2 - I think the conversion should not be dependent on bar event, it should run independent to the bar status logic. What I mean is that once the count down starts it should issue conversion market order at the time out and should not look whether it is within the same bar or next bar, only then it would have true synchronisation with chart and broker.
Regards
What is All or None Execution? Like most of the IB broker settings, this isn't documented in the help system.1. Use All or None Execution options in Stategy Properties -> Auto Trading -> Interactive Brokers -> Settings -> IB Settings. This option will not be available for all symbols, though.
This isn't possible if you want to use limit order conversion to ensure they are filled every time. Likewise sync mode can't be used by people who want their exit signals to be filled when starting autotrading in a chart and RW position.2. Use the synchronous auto trading mode.
I agree with Super, the limit order conversion timer should be bar-independent.
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hi SUPER,
Below, please find my comments regarding your two scenarios.
Best regards.
Below, please find my comments regarding your two scenarios.
Here's what we are going to do. If, for example, you want to reverse a position, but only one half of the reversal has been completed using a 'price' order, MC will know that only a part of the order has been filled and a market order will be issued for the remaining part - to guarantee order filling.
Scenario1 - IB provides information of unfilled order status and that information can be used in the Autotrade logic to overcome this problem.
In the scenario that you are describing, the time remaining for the conversion to be completed will be determined dynamically. For example, you have a 10 second timeout and there are 5 seconds left for the bar completion. In this case, the 10-second value will be disregarded and the timeout will equal the time remaining till the bar completion (5 seconds in your example).Scenario2 - I think the conversion should not be dependent on bar event, it should run independent to the bar status logic. What I mean is that once the count down starts it should issue conversion market order at the time out and should not look whether it is within the same bar or next bar, only then it would have true synchronisation with chart and broker.
Best regards.
-
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Code: Select all
Input: Qty(10);
if LastBarOnChart then begin
if MarketPosition = 0 then
buy Qty Contracts next bar at market
else if MarketPosition = 1 then
sell next bar at market;
end; // LastBarOnChart
[1] All 10 buy were filled at one time at the same bar. => Ideal and ok.
[1-1] only 3 buy were filled initially and a bit later remaining 7 were filled at the same bar. => I think this is ok, too.
[2] 3 of the initial 10 buy were filled at the current bar, but the remaining 7 were filled across next multiple bars.
[3] None of the initial 10 buy were at the current bar, but all filled at one of next coming bars. Fill can be one time full fill or multiple partial fills within that bar.
[4] None of 10 buy were filled at all for pretty long time.
[5] Will the reactions on these scenarios be identical in time-based or tick-based chart?
[3] and [4] are not much probability, but who knows? There are all kinds of brokers and anything can happen in real world.
From more experiment, in case [4], MC would wait for a predefined time to ignore the current order and issue a new one. Don't know how long it waits.
I would like to know what will happen in each of these scenarios. Once I figure it out thoroughly, I would be able to proceed to more complicated code like:
Code: Select all
inputs: PL(0.1), QTY(1);
vars: MP(0), EP(0), MyBN(0);
If LastBarOnChart then begin
MyBN = currentbar + MaxBarsBack;
MP = MarketPosition;
EP = EntryPrice;
print(d:7:0,t:5:0," ","BA",MP:3:0, mod(MyBN,2):3:0,EP:7:2);
end;
If MP = 0 then
IF mod(MyBN,2) = 0 then
Buy ("BE") QTY Contracts Next Bar at Market
Else
Sellshort ("SE") QTY Contracts Next Bar at Market
Else If MP = 1 then
begin
Sell ("SP") QTY Contracts Next Bar EP + PL Limit;
Sell ("SL") QTY Contracts Next Bar EP - PL Stop;
end
Else If MP = -1 then
begin
BuyToCover ("BP") QTY Contracts Next Bar EP - PL Limit;
BuyToCover ("BL") QTY Contracts Next Bar EP + PL Stop;
end;
Anybody have experiences on partial fill please share them here.
I hope TSS can list up all kinds of exceptional cases and describel how MC reacts on them.
[/code]
[1-1] partial orders will not get filled as MC is not able to handle partial fills at present time. So only 3 initial fill will be valid.
[2] Unless your code can detect that only 3 contracts were filled and resubmit order for remaining unfilled order ( I don't know how this can be done in MC).
[3] this can only happen if the buy condition are still valid for next bar, but if the order is filled at chart level then there is no way you can keep order valid for next bar at brokers end.
[4] as long as the buy condition are valid the order will remain open at brokers end
[6] the order handling capability will work identical on tick and time based charts.
[2] Unless your code can detect that only 3 contracts were filled and resubmit order for remaining unfilled order ( I don't know how this can be done in MC).
[3] this can only happen if the buy condition are still valid for next bar, but if the order is filled at chart level then there is no way you can keep order valid for next bar at brokers end.
[4] as long as the buy condition are valid the order will remain open at brokers end
[6] the order handling capability will work identical on tick and time based charts.
- TJ
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- TJ
- Posts: 7744
- Joined: 29 Aug 2006
- Location: Global Citizen
- Has thanked: 1033 times
- Been thanked: 2223 times
Marina,Hi SUPER,
Below, please find my comments regarding your two scenarios.
Here's what we are going to do. If, for example, you want to reverse a position, but only one half of the reversal has been completed using a 'price' order, MC will know that only a part of the order has been filled and a market order will be issued for the remaining part - to guarantee order filling.
Scenario1 - IB provides information of unfilled order status and that information can be used in the Autotrade logic to overcome this problem.
In the scenario that you are describing, the time remaining for the conversion to be completed will be determined dynamically. For example, you have a 10 second timeout and there are 5 seconds left for the bar completion. In this case, the 10-second value will be disregarded and the timeout will equal the time remaining till the bar completion (5 seconds in your example).Scenario2 - I think the conversion should not be dependent on bar event, it should run independent to the bar status logic. What I mean is that once the count down starts it should issue conversion market order at the time out and should not look whether it is within the same bar or next bar, only then it would have true synchronisation with chart and broker.
Best regards.
Many thanks for incorporating solution for partial fill into beta 6.
Please do not forget to include solution to scenario2, "dynamic timeout for conversion " in your next upgrade.
May I point out that at present we are not able to select timeout > 0 using IOG mode for conversion of unfilled order, it would be useful and consistent if this feature was available for IOG system too.
Regards
Super
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hi Super,
Replacement for partially filled orders was a very good suggestion. I hope you will now be able to take advantage of this feature in the latest beta.
As for Scenario 2, it now works the following way: limit/stop orders are replaced by market orders either after the timeout has expired or on closing the bar - whichever happens first.
As for the IOG mode, how would you like to see it work in Scenario 2?
Replacement for partially filled orders was a very good suggestion. I hope you will now be able to take advantage of this feature in the latest beta.
As for Scenario 2, it now works the following way: limit/stop orders are replaced by market orders either after the timeout has expired or on closing the bar - whichever happens first.
As for the IOG mode, how would you like to see it work in Scenario 2?
Marina,
Very happy to hear that the Scenario-2 situation has been fixed too-Thank you very much.
With regard to IOG, it should work exactly same as solution you have provided for Scenario-2. " limit/stop orders are replaced by market orders either after the timeout has expired or on closing the bar - whichever happens first". This feature would allow sufficient time for IOG order to be filled at Limit price.
Regards
Super
Very happy to hear that the Scenario-2 situation has been fixed too-Thank you very much.
With regard to IOG, it should work exactly same as solution you have provided for Scenario-2. " limit/stop orders are replaced by market orders either after the timeout has expired or on closing the bar - whichever happens first". This feature would allow sufficient time for IOG order to be filled at Limit price.
Regards
Super
Marina,Marina,
Very happy to hear that the Scenario-2 situation has been fixed too-Thank you very much.
With regard to IOG, it should work exactly same as solution you have provided for Scenario-2. " limit/stop orders are replaced by market orders either after the timeout has expired or on closing the bar - whichever happens first". This feature would allow sufficient time for IOG order to be filled at Limit price.
Regards
Super
Any news on Conversion of Stop/Limit orders in to market after timeout event for IOG orders.
Will appreciate your feedback.
Regards
Super
Re:
Any news on Conversion of Stop/Limit orders in to market after timeout event for IOG orders please?
Marina,Marina,
Very happy to hear that the Scenario-2 situation has been fixed too-Thank you very much.
With regard to IOG, it should work exactly same as solution you have provided for Scenario-2. " limit/stop orders are replaced by market orders either after the timeout has expired or on closing the bar - whichever happens first". This feature would allow sufficient time for IOG order to be filled at Limit price.
Regards
Super
Any news on Conversion of Stop/Limit orders in to market after timeout event for IOG orders.
Will appreciate your feedback.
Regards
Super