question regarding stop order not filled

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rips0918
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question regarding stop order not filled

Postby rips0918 » 12 Apr 2016

Hi all,

Last friday (4/8/2016), I had a stop order to buy NUGT at next bar at 71.6. The order was generated and sent to IB at 3:30pm until 3:45pm. (My bar size is 15-min)

NUGT's price spiked to 71.7 at 3:44:50 and my order was cancelled at IB at 3:45:05. However, in my backtesting page and forward testing page, I could still see the trade.

My question is:

1. is there anyway to extend the time frame of buy order ? e.g. buy next bar plus extra 2 minutes before cancelled?

2. is there anyway to prevent a stop order not filled while the stop price (in my case, $71.6) is reached ?

Many thanks

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JoshM
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Re: question regarding stop order not filled

Postby JoshM » 23 Apr 2016

1. is there anyway to extend the time frame of buy order ? e.g. buy next bar plus extra 2 minutes before cancelled?
Orders that are submitted by signals remain active as long as they are resubmitted in MultiCharts. So if you have your strategy resubmit the stop-loss order 2 minutes after the 3:45pm bar, this would work.

You might need to use the `RecalcLastBarAfter()` keyword and `AllowSendOrdersAlways` attribute for this (depending on your session template).
2. is there anyway to prevent a stop order not filled while the stop price (in my case, $71.6) is reached ?
Nope, but you can transform it into a limit order during a backtest, and then assume that a 'stop' is filled when a limit order + 10 ticks (for example) is filled?

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syswizard
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Re: question regarding stop order not filled

Postby syswizard » 01 May 2016

While on the subject of stop orders, does anyone know if CME/Globex stop orders placed thru Multicharts with the Interactive Brokers connection rest on the IB servers or on the exchange ?

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TJ
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Re: question regarding stop order not filled

Postby TJ » 01 May 2016

While on the subject of stop orders, does anyone know if CME/Globex stop orders placed thru Multicharts with the Interactive Brokers connection rest on the IB servers or on the exchange ?

Order types supported by various brokers:
https://www.multicharts.com/brokers/
https://www.multicharts.com/trading-sof ... rder_Types
https://www.multicharts.com/trading-sof ... r_Profiles


You have to check the exchange website for the particular instrument.
If the exchange accepts stop orders, IB will send it to the exchange. If not, IB will hold it at the broker.

https://www.interactivebrokers.com/en/index.php?f=609

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syswizard
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Re: question regarding stop order not filled

Postby syswizard » 02 May 2016

Thanks TJ, but I'm still confused after reading this at:
http://www.multicharts.com/trading-soft ... rders_work
How stop orders work

Native OCO enabled, Overfill protection enabled.

For orders sent in the OCO group:
All Limit orders (entry and exit) are blue (on broker).
All Stop orders (entry and exit) are blue (on broker).

Limit orders sent not in the OCO group:
All Limit orders (entry and exit) are green (on exchange).

Native OCO enabled, Overfill protection disabled.

Limit entry order-blue (on broker).
Limit exit order-green (on exchange).
All Stop orders (entry and exit) are blue (on broker).

Native OCO disabled.

All limits (entry and exit) are green (on exchange).
All Stops (entry and exit) are blue (on broker).


Note: On IB Live account you can send Stop orders directly to the exchange (green in TWS).
Enable "Use outside RTH tag" to do that. In order to send multiple orders directly to the exchange "Use Native OCO Group" should also be disabled.


It appears you must have either TWS or the Gateway properly configured to send stop orders to the exchange.
This doesn't make sense: "Enable Use outside RTH tag"
What does that have to do with exchange-level stop orders ?
RTH = Regular Trading Hours

The9000
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Re: question regarding stop order not filled

Postby The9000 » 06 May 2016

If you're using IB, I believe the problem is with IB. I've had random problems over the past couple of weeks with stop orders not getting filled in highly liquid instruments. It's purely random.


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