Stop Limit Order getting filled too early  [SOLVED]

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PD Quig
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Stop Limit Order getting filled too early

Postby PD Quig » 18 Sep 2019

In using Stop Limit Orders as entry orders recently on RTY, I've encountered several situations where the order gets filled BEFORE price has traded at the stop price. Here's an example from this morning:
Stop_Limit_Order_--_entered_too_early.png
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My Stop Limit short entry was set 1 tick below the prior 5-min bar's low yet somehow it showed as filled (at my requested price) even though no trade happened at that price until several minutes later.

Broker is Rithmic / data feed is IQFeed.

Any ideas?

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Svetlana MultiCharts
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Re: Stop Limit Order getting filled too early

Postby Svetlana MultiCharts » 20 Sep 2019

PD Quig,

Orders are executed by the broker according to Ask and Bid prices. Most likely, you plot Trade quote field in the chart. Thus, the broker’s order execution price is absent in the chart and order price marker is plotted out of the H–L range of the bar.

Please check if your IQfeed data account is not delayed.

PD Quig
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Re: Stop Limit Order getting filled too early

Postby PD Quig » 20 Sep 2019

Hi Svetlana,

Yes, my chart is displaying trade price and the data feed is real time data. The problem with the explanation is that my trade actually transacted at 1578.8 a few minutes before the chart shows that a trade occurred at 1578.8. My trade should have plotted at 1578.8 on the chart immediately--where the connecting line shows the entry was. I was VERY aware that it did not do so because after the position opened in Chart Trader, price moved against me 1.5 points. I had about two minutes to think to myself, "Why am I in this trade when price did not hit my entry price?"

It seems to me that there was something wrong in either the execution or chart plot. What would have happened if I had gotten stopped out of the trade when the chart showed that there had never been a trade at my entry price? I would have been pretty annoyed for one thing.

-pdq

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Anna MultiCharts
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Re: Stop Limit Order getting filled too early

Postby Anna MultiCharts » 26 Sep 2019

Hello, PD Quig!

Thanks for confirmation about the realtime data.
Orders are executed by the broker, not MultiCharts. MultiCharts just receives the info about the orders.
Here’s what we can suggest:
1) if the order was sent with an incorrect price, then send us the logs (including backup logs), your workspace and signals used in it by means of the Feedback application. This application can be accessed from the main MultiCharts window -> Help. We need these files to investigate the issue on our end. Also please specify if you use demo, sim or live IB account;
2) if the order was sent with the correct price, then you need to contact your broker and inquire about the delay in its execution.

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Anna MultiCharts
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Re: Stop Limit Order getting filled too early  [SOLVED]

Postby Anna MultiCharts » 27 Sep 2019

Also, your chart is built for @RTY# - native continuous futures from IQFeed. On September 18 it has already rolled from U19 to Z19. We assume that it could still be mapped to RTYU9 at the time of the order, and the order price was acceptable on the broker. Please check which contract was traded on IB: RTYU9 or RTYZ9.

If RTYZ9 that was traded, then send us the logs for analysis while the workspace from the screenshot is active and IB broker profile is connected. In the Feedback app enable the following options:
“Attach a screenshot”, “Attach Log files…”, “Attach minidump…”, “Snapshot of the current MultiCharts setup”, “Open workspaces…”, “Data for active instruments…” and “Upload collected data to Help Desk”. In the comment please specify the Order ID of the order in question.

For future we can recommend to keep chart trading panel open to be able to view the prices as they come from the broker.
RTY_3 series.jpg
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On the screenshot all data series are in the Exchange time Zone.

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Re: Stop Limit Order getting filled too early

Postby wilkinsw » 08 Oct 2019

This is an old issue.

Did you emulate the stoplimit order?

if so, what have you set as the trigger? The quote (bid/ask) or last traded?

Futures trigger stops based on last traded.

It sounds like you were triggered on quotes.

PD Quig
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Re: Stop Limit Order getting filled too early

Postby PD Quig » 08 Oct 2019

I could not resurrect and provide the logs from the time frame above. I've been away for a few weeks and haven't replicated the issue. At this point I'll mark this issue solved and will open a new issue when/if I can replicate it.

Thanks to all.

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Re: Stop Limit Order getting filled too early

Postby wilkinsw » 08 Oct 2019

Would be great if you have time to answer some of my questions above.

Do you use exchange native OR multicharts emulated stoplimit orders?

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Re: Stop Limit Order getting filled too early

Postby PD Quig » 08 Oct 2019

Q: Did you emulate the stoplimit order?
A: I used MC Chart Trader stop limit orders

Q: if so, what have you set as the trigger? The quote (bid/ask) or last traded?
A: I set the entry order below the prior bar's low and my order was filled without a trade appearing on the chart

Q: Futures trigger stops based on last traded.
A: Yes. That is why I was surprised / confused by the SLO getting filled without a trade registering on the chart

Q: It sounds like you were triggered on quotes
A: I have only rarely used Chart Trader to trade live--usually using signal code to execute entry, stop, and target orders--and always using market orders for all three. It is entirely possible that in my limited use of chart trading I never encountered this situation before. Furthermore, I expected that if Chart Trader executed a stop limit order when the bid (or ask) hit the requested price the trade transaction would be captured at that price and immediately be reflected on the chart. That did not happen. A position was entered but no trade at the entry price was recorded until several minutes later when price finally dropped through the entry price and continued down.

I'll be testing again now with Sim trading.


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