order consistency rule

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orion
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order consistency rule

Postby orion » 13 Feb 2015

In EL there is a rule which for lack of name I will call the 'order consistency rule'. This excerpt is from EL documentation: "Conflicting orders are automatically handled by the automation engine. This means that if you are flat and the signal generates a Sell order, the order is ignored. If you are long, and the signal generates a BuyToCover order, it is ignored. The automation engine is only designed to process those orders that make sense for the current position." Can MC please confirm that PL also conforms to such an order consistency rule?

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Henry MultiСharts
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Re: order consistency rule

Postby Henry MultiСharts » 13 Feb 2015

Hello orion,

PowerLanguage works the same in this regard.

Buy and SellShort are for opening/reversing a position.
Sell and BuyToCover are for closing an open position.

orion
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Re: order consistency rule

Postby orion » 13 Feb 2015

Thanks Henry. One more question on this. In enforcing the order consistency rule, there are two possible choices for determining "position" in AA mode since MarketPosition and MarketPosition_at_broker_for_the_strategy may not be in sync. One may be indicating position is flat while other may be indicating a long position. (We do not have this issue in SA mode.)

Edited question: my assumption is that it is "MarketPosition" and not "MarketPosition_at_broker_for_the_strategy" that determines the validity of order action as per the order consistency rule? Correct?

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Henry MultiСharts
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Re: order consistency rule

Postby Henry MultiСharts » 13 Feb 2015

Thanks Henry. One more question on this. In enforcing the order consistency rule, there are two possible choices for determining "position" in AA mode since MarketPosition and MarketPosition_at_broker_for_the_strategy may not be in sync. One may be indicating position is flat while other may be indicating a long position. (We do not have this issue in SA mode.) My question: which of the two is used in AA mode in enforcing the order consistency rule?
orion, it is MarketPosition.


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