Cancellation of unfilled limit orders on every tick

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meo
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Cancellation of unfilled limit orders on every tick

Postby meo » 05 Oct 2012

Hi,

Like to check if all limit orders are actually sent to the broker and if unfilled are cancelled on every tick.

Heard that if the orders are similar (same name, price etc), MC does not send a replicated order over to the broker.

This is a concern as one of my broker MBT is charging a HFT fees. If less than x% of all orders are not filled, there will be a fee for order.

Someone can clarify? Thanks! :)

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Andrew MultiCharts
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Re: Cancellation of unfilled limit orders on every tick

Postby Andrew MultiCharts » 05 Oct 2012

If a sent limit order has "Submitted" status in Order and Position Tracker window on Orders tab, it means that the order was accepted by the broker and forwarded to exchnage.

If you are talking about auto trading, then you should understand that according to rules of EL, to maintain order, the conditions of order generation must be met on each calculation (by default on each bar). No extra orders will be sent. But if the sonditions are no longer met, the order will be cancelled.

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Re: Cancellation of unfilled limit orders on every tick

Postby meo » 05 Oct 2012

Hi Andrew, thanks for your prompt reply. Yes I am referring to auto trading. I am in IOG mode.

What do you mean by maintain order? Same order name and price?
1) if my order is buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
in the next tick, I MAINTAIN it at buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
is it maintaining the same order?

2) if my order is buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
in the next tick, I change the name and have a buy "STRATEGY 2 BUY" next bar at 1.0001 limit,
is it considered a separate order? or is it still considered as the same order?

3) if my order is buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
in the next tick, I change the price and have a buy "STRATEGY 1 BUY" next bar at 1.0002 limit,
is it maintaining the same order? or is this a separate order?


For MBT, i read that limit orders are posted to the broker and not held in MC program, how is it possible if there is a cancel and resend on every tick? Or is this internally handled by MC program and transparent to us?

Thanks a lot!

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Re: Cancellation of unfilled limit orders on every tick

Postby Andrew MultiCharts » 05 Oct 2012

meo wrote:What do you mean by maintain order? Same order name and price?
1) if my order is buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
in the next tick, I MAINTAIN it at buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
is it maintaining the same order?

Yes.
meo wrote:2) if my order is buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
in the next tick, I change the name and have a buy "STRATEGY 2 BUY" next bar at 1.0001 limit,
is it considered a separate order? or is it still considered as the same order?

Separate order. The previous one will be cancelled, the new one will be placed.
meo wrote:3) if my order is buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
in the next tick, I change the price and have a buy "STRATEGY 1 BUY" next bar at 1.0002 limit,
is it maintaining the same order? or is this a separate order?

If your broker supports order modification, the order is modified. If not, the order is cancelled and replaced.
meo wrote:For MBT, i read that limit orders are posted to the broker and not held in MC program, how is it possible if there is a cancel and resend on every tick? Or is this internally handled by MC program and transparent to us?

Orders can be either sent to broker directly or emulated within MC (depends on the type of order and whether it is supported by the broker). If your broker supports limit order (as far as i know limits are supported by most of them), the limit order is sent to broker. If on the next calculation the order is not generated anymore (condition is not met anymore), the cancellation of the order is sent. If an order type, let's say a stop order, is not supported by your broker, then it is emulated within MC: MC waits for certain level and then places a market order or a guaranteed to be executed limit order.

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TJ
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Re: Cancellation of unfilled limit orders on every tick

Postby TJ » 05 Oct 2012

meo wrote:Hi Andrew, thanks for your prompt reply. Yes I am referring to auto trading. I am in IOG mode.

What do you mean by maintain order? Same order name and price?
1) if my order is buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
in the next tick, I MAINTAIN it at buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
is it maintaining the same order?

2) if my order is buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
in the next tick, I change the name and have a buy "STRATEGY 2 BUY" next bar at 1.0001 limit,
is it considered a separate order? or is it still considered as the same order?

3) if my order is buy "STRATEGY 1 BUY" next bar at 1.0001 limit,
in the next tick, I change the price and have a buy "STRATEGY 1 BUY" next bar at 1.0002 limit,
is it maintaining the same order? or is this a separate order?


For MBT, i read that limit orders are posted to the broker and not held in MC program, how is it possible if there is a cancel and resend on every tick? Or is this internally handled by MC program and transparent to us?

Thanks a lot!


IOG mode is designed to work with market orders.
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