Rithmic - sitting orders use up margin while trading with MC

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MAtricks
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Rithmic - sitting orders use up margin while trading with MC

Postby MAtricks » 23 Jun 2014

While trading with Rithmic and using MC, our sitting orders (stops and limits) use the margin of a position which shouldn't happen. While trading with just Rithmic's Rtrader, sitting orders do not use any margin.

Why is this? Is there anything on the map to fix this?

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Henry MultiСharts
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Re: Rithmic - sitting orders use up margin while trading wit

Postby Henry MultiСharts » 24 Jun 2014

Hello MAtricks,

I'm not sure I am following. Please explain what you mean exactly.

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Re: Rithmic - sitting orders use up margin while trading wit

Postby MAtricks » 24 Jun 2014

Stop orders and Limit orders can be placed with your broker without consuming margin. Only open Positions consume margin. However, while using Multicharts, these Stop and Limit orders do consume margin.

Scenario with broker (without Multicharts):
  • Account Balance: $100,000
    Buying Power: $100,000
    Margin to buy ES contract: $2500

    -Long Position entered with 1 contract. Buying power is reduced to $97,500.
    -Stop order entered for protection. Buying power stays at $97,500.
    -Profit target entered. Buying power stays at $97,500.
Scenario via Multicharts:
  • Account Balance: $100,000
    Buying Power: $100,000
    Margin to buy ES contract: $2500

    -Long Position entered with 1 contract. Buying power is reduced to $97,500.
    -Stop order entered for protection. Buying power reduced to $95,000.
    -Profit target entered. Buying power reduced to $92,500.

Somehow MC doesn't communicate the difference between resting orders and positions with Rithmic. You can imagine how crippling this can be while trading a contract with high margin requirements and a strategy with multiple exits.

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Re: Rithmic - sitting orders use up margin while trading wit

Postby Henry MultiСharts » 25 Jun 2014

We will study this behavior.

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Re: Rithmic - sitting orders use up margin while trading wit

Postby Henry MultiСharts » 09 Jul 2014

Hello MAtricks,

We were unable to replicate this behavior on Rithmic Test.
Are you able to replicate it on Rithmic Test or which account/server do you use to replicate it?
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Re: Rithmic - sitting orders use up margin while trading wit

Postby MAtricks » 09 Jul 2014

I'm using a live account. Rithmic 01.

The tech department at Vision confirmed this behavior with Rithmic + Multicharts.

I'd suggest placing the orders in MC and opening Rtrader to confirm your account Buying Power. The Order and Position tracker does not provide this information.

1 Position, 1 stop, and 1 limit should equal out to be 1 ES worth of margin used.

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Re: Rithmic - sitting orders use up margin while trading wit

Postby PatrickSocal » 09 Jul 2014

I'm familiar with this problem. Off the top of my head (without doing a detailed study) here's the issue:

Rithmic's risk-management system imposes risk limits per contract based on the dollars in your account. For example, your FCM might approve you to trade up to 100 contracts of ES, and configure your risk limits accordingly.

If you are in a large position, and from MultiCharts you enter an OCO order, consisting of a PT limit and a SL stop, the Rithmic risk management system counts both orders against your limits. So it will reject them, preventing you from exiting your position.

Logically speaking, it should count neither of them, b/c only one order will execute, and by executing it will offset your position.

From RTrader the behavior is different. It recognizes OCO orders and counts less than the total quantity against your risk limits. I'm not sure if it counts 0 against your limits, or if it counts only one of the OCO orders against your limits. More research would clarify this. But the point is that orders originating from MultiCharts are treated differently than orders originating from RTrader.

Does this make sense?

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Re: Rithmic - sitting orders use up margin while trading wit

Postby Henry MultiСharts » 14 Jul 2014

From RTrader the behavior is different. It recognizes OCO orders and counts less than the total quantity against your risk limits. I'm not sure if it counts 0 against your limits, or if it counts only one of the OCO orders against your limits. More research would clarify this. But the point is that orders originating from MultiCharts are treated differently than orders originating from RTrader.
Hello PatrickSocal,

Yes, this makes perfect sense. Rithmic representatives have confirmed that:
R | Trader uses server side bracket orders, which are treated specially by the risk management system. MultiCharts uses client side orders, which have no special risk management treatment. The R | API+ is an enhanced version of R | API which supports server side bracket orders.
We are in contact with them regarding the new R | API+ at the moment.

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Re: Rithmic - sitting orders use up margin while trading wit

Postby PatrickSocal » 15 Oct 2014

Hi Henry,

Is there any update on this problem?

And on a related note, are you aware of how CQG treats OCO exit orders originating from MultiCharts? Would leaving Rithmic and switching to CQG solve this problem?

Thanks...

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Re: Rithmic - sitting orders use up margin while trading wit

Postby Henry MultiСharts » 20 Oct 2014

Hi Henry,

Is there any update on this problem?
The R | API+ which supports server side bracket orders will be supported in one of the forthcoming white label version of MultiCharts for one of the brokers. We cannot disclose any additional information on the subject at the moment.
And on a related note, are you aware of how CQG treats OCO exit orders originating from MultiCharts? Would leaving Rithmic and switching to CQG solve this problem?
AMP support representative has notified me that both (position and exit orders) consume margins with their brokerage.

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Re: Rithmic - sitting orders use up margin while trading wit

Postby PatrickSocal » 20 Oct 2014

Hi Henry,

Thanks for checking on this for me. That's helpful information.

I've also been asking around, trying to understand the situation. Speaking about CQG, apparently they have "smart orders" which are treated differently for margin purposes. If OCO exit orders are submitted via CQG as a smart order, I am told that they consume less margin than they do when submitted individually.

Perhaps the MC development team can use "smart order" functionality when they transition MultiCharts to the Continuum Connect API?

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Re: Rithmic - sitting orders use up margin while trading wit

Postby bensat » 20 Oct 2014

AMP support representative has notified me that both (position and exit orders) consume margins with their brokerage.
Just my message to some some people here, trying to think in great white clouds of what MC has to deliver feature wise to compete with the "pro's" and missing the basics.

What Rhythmic and AMP confirmed was never different and right from risk management standpoint it is correct. Different action from broker/clearer is their own risk.

If you are allowed to trade 10 ES and your position is long 5 contracts, you have an OCO order in place for these 5 contracts, you just could sell 15 contracts in front of the sell order from your OCO order. Now you are 10 contracts short and you get your sell order part of your OCO order filled which wasn't deleted after selling 15 contracts to a 10 contract short position. With the sell part from the OCO you would be 15 contracts short. You would trade over your limit and your risk manager would be fired immediately. Or do you want to get filled what you want and your risk software executes you all the time just to get back in your limits on your own price risk ? Guess not.

You got it ? Fine. These are basics.

My Regards.

Ben

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Re: Rithmic - sitting orders use up margin while trading wit

Postby PatrickSocal » 20 Oct 2014

Ben,

It appears that you don't understand, and your attitude is not helpful.

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Re: Rithmic - sitting orders use up margin while trading wit

Postby MAtricks » 20 Oct 2014

Ben,

No one here is attempting to use MC for anything other than its purpose--Trading. However, some of us would like to use precautions in our automation due to experiences in the market which have resulted in account losses because of errors in a trading platform. This is responsible. Please do not discourage this.

These margin questions are a result of one of these issues in the live market.

I'm unsure where this recent negativity is coming from, but let's try to keep the posts on other's threads as constructive as possible.

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Re: Rithmic - sitting orders use up margin while trading wit

Postby bensat » 21 Oct 2014

Ben,

It appears that you don't understand, and your attitude is not helpful.
My answer was just an explanation for you and "MAtricks" to help you to understand why every order is important for and counted to the margin. I had the impression, due to your and "MAtricks" questions about why these orders are counted to the margin and your questions about any possible workaround etc, that you need kind of this answer and explanation. Look at the thread subject : Rithmic - sitting orders use up margin while trading wit. It says all.

Further I would like to kindly ask you do you know why CQG's "OCO" order is called a "smart order" and therefore it is not counted to the margin in your account ? Think about that.

You don't know my attitude. You just can read my written words.

My Regards.

Ben

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Re: Rithmic - sitting orders use up margin while trading wit

Postby PatrickSocal » 21 Oct 2014

The content of your earlier post shows that you may not understand the situation as well as you think you do. And your words were rude. I respectfully ask you to please not reply to any of my posts with such words.

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Re: Rithmic - sitting orders use up margin while trading wit

Postby bensat » 21 Oct 2014

Posted: 09 Jul 2014
.....if you are in a large position, and from MultiCharts you enter an OCO order, consisting of a PT limit and a SL stop, the Rithmic risk management system counts both orders against your limits. So it will reject them, preventing you from exiting your position.

Logically speaking, it should count neither of them, b/c only one order will execute, and by executing it will offset your position.

But the point is that orders originating from MultiCharts are treated differently than orders originating from RTrader.

Does this make sense?
Still yes and you got my explanation why it is so, because you seemed not to understand it with your post. Further, in my answers I was just refering to henry's comment etc .... Where's your problem ?

Posted: 20 Oct 2014
I've also been asking around, trying to understand the situation. Speaking about CQG, apparently they have "smart orders" which are treated differently for margin purposes. If OCO exit orders are submitted via CQG as a smart order, I am told that they consume less margin than they do when submitted individually.

Perhaps the MC development team can use "smart order" functionality when they transition MultiCharts to the Continuum Connect API?
I'm still asking you do you know why CQG's order is called "smart order" and why it is not counted to margin? There must be a reason for them to not count it. Think about.

Of course I understand your problem that you can't accept some risk management rules and some broker order handling. MC has to go the most secure way for them. Your broker is responsible for margin requirements and order limitations, not MC. What would happen MC would omit any margin/order limitations of your broker and you have a loss. How many people would go to court? So you have to be smart enough to organize your order/margin situation. And before you ask for "Smart Orders", think about why they have such high slippage and why so many accidents happening with them. Make some research.

No rude words. You are just a little bit "mimmy".

My Regards.

Ben

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Re: Rithmic - sitting orders use up margin while trading wit

Postby MAtricks » 21 Oct 2014

Ben you do not understand the issue at all nor do you understand why this thread was created. Please remove the clutter and stop pressing your off-topic points.

I respectfully request that do not provide anymore 'help' on my threads.
Last edited by MAtricks on 21 Oct 2014, edited 1 time in total.

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Re: Rithmic - sitting orders use up margin while trading wit

Postby PatrickSocal » 21 Oct 2014

I've done research on this subject before you joined this thread. Server-side bracket/OCO orders are what we are talking about here, and the platform originating them can be designed to either submit them as such, or as individual orders. The risk management systems will then treat them differently. It's a technical issue.

But Ben, I don't want to debate you. You are not coming at this in a helpful way.

You are still out of line, still rude, and I ask you to please refrain from responding to my posts or topics in the future. I don't need your help.


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