How does the stop order work in MC

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How does the stop order work in MC

Postby evdl » 08 Nov 2012

An IB stop order in TWS will change into a marketorder if the stoporder price is hit.

When you use a stop order in a strategy like this:

Code: Select all

if marketposition = 1 then begin
Sell ("StopLossLong") next bar "your stop price" stop;
end;


And you have for example 2000 stocks which are not filled immediately but for example 200, ten seconds later 500 and thirty seconds later the rest. The strategy (I use IOG) will keep sending the stop again till every stock is sold. Resulting in IB thinking it is a new stop order which is hit immediately but giving extra transaction costs.

Is the stoporder that is sendout by MC also converted to market order at IB? and how to stop the strategy from sending the stoporder over and over again when the stoporder is already hit but not all stock are sold yet?

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Re: How does the stop order work in MC

Postby Andrew MultiCharts » 08 Nov 2012

Hello evdl,

If an order is sent to broker and the parameters of the order are not changed, MultiCharts will not send the same order to broker to "maintain" it. In your particular case, if from the moment the initial stop order is sent, your script doesn't generate a different stop (it can happen only if the order gets new parameters or the OCO group of the order is cancelled to be replaced by a new OCO group of orders, so the initial partially filled order has to be cancelled), no new order will be sent. MultiCharts will wait till the initial stop order is filled.

As for handling the stop orders when IB is the broker, they support stop orders, so the orders are sent directly to them and are filled on their end.

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Re: How does the stop order work in MC

Postby evdl » 08 Nov 2012

Hi Andrew,

What I can see when a stop is hit, is that the outstanding amount of stock is adjusted to the new amount if it is partially filled. But this also adjust oustanding amount of stock of the profit target (is OCO?).

Can it be that this will cause MC to send out a new order of OCO and that IB see this as a new order?

And what if the stop price is hit and causes a sell of 200 out of 2000 and price drops below the stop price. Will it then sell all the other stocks at market or does MC see this as parameter change and replace the old stop and wait for the stop price to hit again. And if this is hit again, for say 10 seconds later. Can it be that this will be seen as a new order.

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Re: How does the stop order work in MC

Postby Andrew MultiCharts » 08 Nov 2012

evdl wrote:What I can see when a stop is hit, is that the outstanding amount of stock is adjusted to the new amount if it is partially filled. But this also adjust oustanding amount of stock of the profit target (is OCO?).

This is exactly what i meant earlier. Obviously, after the initial order is partially filled, it is cancelled because of mentioned above reasons and replaced by the same order. In this case you may have overfill.
evdl wrote:And what if the stop price is hit and causes a sell of 200 out of 2000 and price drops below the stop price. Will it then sell all the other stocks at market or does MC see this as parameter change and replace the old stop and wait for the stop price to hit again. And if this is hit again, for say 10 seconds later. Can it be that this will be seen as a new order.


This feature must be helpful for you.

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Re: How does the stop order work in MC

Postby evdl » 08 Nov 2012

For every order, the strategy is creating a profit target and a stoploss. The stop we discuss is the stop for the stoploss. Both targets are at IB TWS sent by the MC strategy. I use autotrader.

When the stop is hit, the selling begins and when there is a partial fill, the amounts (but not the targets) at IB TWS are changed by IB.

If I understand correctly. The change of amounts of stocks in TWS of the profit target and stop loss target is triggering cancellation of the initial targets sent by MC. MC strategy is detecting a change/cancellation and is replacing the targets according the strategy. The stop is hit again almost immediately and IB is thinking it is a new order.

I tried the unfilled strategy order replacement, but it will not prevent the strategy from creating the stoploss and profit target again after partial fill due to the OCO as you told me.

The stop order (stoploss) is already converted to market by IB also without above feature because it is held at IB and not MC (is this right?). But bigger trades are not filled immediately some times even if there are at market. If there is a 2 seconds between partial and complete fill, the strategy has replaced the original stop, because of the adjustment of the amount of stock of the stoploss and profit target (OCO). I have no problems with overfill because IB TWS is adjusting the amount of stock according to the fill in TWS. So that is not a problem.

The stop order is at IB, so how can I tell the MC strategy not to interfere and wait till the position at market is closed. The same question would be with a profit limit order. When a part is filled, I don't want MC strategy to replace the original limit order just because the amount of stock has changed (targets are not changed). This should not be triggering replacement of orders with the same targets.

Do I understand correctly, if you use OCO then it will always replace orders (in my case with the same price) with partial fills. And therefore IB is seeing this as a new order every time an order is replaced when selling is in process at IB, it will result in additional transaction costs.

I already tried to make an extra condition in the selling code (if input stockamt = currentcontracts then sell). But this will cancel the stop order (actually market order) after partial fill and that is not what it should do. The result I am looking for is that MC strategy will wait until the process at IB is done once a stop is hit. Or change amounts of stock on the chart/strategy but not send the same order again if the targets didn't change. Even if OCO is used.

It is a bit difficult to explain what the problem is, but I hope you understand.

Is there some way I can adjust my code or change settings to prevent this?

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Re: How does the stop order work in MC

Postby Andrew MultiCharts » 09 Nov 2012

evdl wrote:When the stop is hit, the selling begins and when there is a partial fill, the amounts (but not the targets) at IB TWS are changed by IB.

If I understand correctly. The change of amounts of stocks in TWS of the profit target and stop loss target is triggering cancellation of the initial targets sent by MC. MC strategy is detecting a change/cancellation and is replacing the targets according the strategy. The stop is hit again almost immediately and IB is thinking it is a new order.

I am afraid you misunderstood me. OCO group is not cancelled and replaced, when an order of the group begins to fill and is not yet filled completely. Only if a new order is generated, or an active order is modified or cancelled by your strategy, OCO group is replaced by same/modified orders.

evdl wrote:I tried the unfilled strategy order replacement, but it will not prevent the strategy from creating the stoploss and profit target again after partial fill due to the OCO as you told me.

The stop order (stoploss) is already converted to market by IB also without above feature because it is held at IB and not MC (is this right?).


I have no information what exactly are the stops converted into on IB end, but yes, you are right: the stop orders are processed on IB end

evdl wrote:The stop order is at IB, so how can I tell the MC strategy not to interfere and wait till the position at market is closed. The same question would be with a profit limit order.


You should avoid changing anything by your strategy for any order of the active OCO group. Then no orders will be resent.

evdl wrote:When a part is filled, I don't want MC strategy to replace the original limit order just because the amount of stock has changed (targets are not changed). This should not be triggering replacement of orders with the same targets.

It is not, please read the comment above in this post.

evdl wrote:Do I understand correctly, if you use OCO then it will always replace orders (in my case with the same price) with partial fills. And therefore IB is seeing this as a new order every time an order is replaced when selling is in process at IB, it will result in additional transaction costs.


No.

evdl wrote:The result I am looking for is that MC strategy will wait until the process at IB is done once a stop is hit. Or change amounts of stock on the chart/strategy but not send the same order again if the targets didn't change. Even if OCO is used.


You should avoid changing anything by your strategy for any order of the active OCO group. Then no orders will be resent.

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Re: How does the stop order work in MC

Postby TJ » 09 Nov 2012

IOG is designed to work with market orders.

IOG will recalculate your logic every tick, and possibly change your orders every tick too.

If you need to send non-market orders intra bar,
you should set up 2 data series:
use the slower data series for your strategy logic,
and use the faster data series to handle orders.
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Re: How does the stop order work in MC

Postby evdl » 12 Nov 2012

Thanks Andrew and TJ for your replies.

I will screen my strategy to see where it can possible be changing or triggering something when targets are in process of selling or buying at IB TWS.

One question, just to be sure:

With IOG the calculating can be per tick. If the result of a calculating of for example the stoploss, does not change, does the strategy replace the value with the same value every tick. Or if the result is the same, it will leave it alone and does nothing with the calculating until it is a different value?

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Re: How does the stop order work in MC

Postby Andrew MultiCharts » 13 Nov 2012

It depends on OCO group.

Example 1:
You have active Stop Loss and Profit Target order. On next calculation a value of your Profit Target order is changed by script, but nothing is changed for the Stop Loss. Both orders are cancalled and replaced.

Example 2:
You have active Stop Loss and Profit Target order. On next calculation no value is changed by script. Both orders maintained, nothing is cancelled/replaced..
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Re: How does the stop order work in MC

Postby evdl » 13 Nov 2012

I think I know what is triggering the replacement of the orders when there is a partial fill in progress.

I use this for determine my targets.

Code: Select all

inputs:
ProfittargetAmt(1000),
StockAmt(5000),
RiskRewardAMt(2);   

Profit_Fixed = ProfittargetAmt/StockAmt;
   
   If StoplossFixed_on.1_off.0 = 1 then begin
    Stoploss_Fixed = (profittargetAmt/RiskRewardAmt)/StockAmt;
    ResultStoploss = Profit_Fixed / stoploss_fixed;
   end;

If marketposition <> 0 then begin
  Stoploss_Fixed_Long = RoundToNearest(AvgEntryprice - Stoploss_Fixed,ticksize_symbol);
end;

If marketposition = 1 then begin
 Sell ("StopLossLong") next bar Stoploss_Fixed_Long stop;
end;


The avgentryprice (the value that is in the strategy Positions) is changing after a partial fill. And therefore the targets are calculated with a slightly different avgentryprice.

I am not sure it suppose to change the avgentryprice after a partial fill. Probably it is calculated by dividing the total worth of outstanding position by the outstanding amount of stocks. Can you confirm if this is what it is suppose to do?

I will try the avgentryprice_at_Broker, because I think this will not change after partial fill.

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Re: How does the stop order work in MC

Postby evdl » 13 Nov 2012

The change of avgentryprice to avgentryprice_at_Broker didn't do the trick although the avgentryprice changed with partial fill (maybe an onetime glitch?).

I also did some tests with the "convert unexecuted limit/stop exit orders to market order" set to 0 seconds.

What I think happens then is:
1) the stop price get hit and selling or buying begins at IB TWS.
2) I assume that the stop is immediately converted to market order by IB in TWS. (because they do that with stop orders when price is hit)
3) then MC strategy is converting the stop order in to a market order. Resulting in changing the Ib market order and therefore changing the existing initial order.
4) the MC market order isn't changed anymore and position gets filled eventually. But IB counts this as two orders and therefore calculating two times the transaction costs.

With the convert to market order option off in MC I think this happens:

1) the stop price get hit and selling or buying begins at IB TWS.
2) I assume that the stop is immediately converted to market order by IB. (because they do that with stop orders when price is hit)
3) Mc strategy initial order was a stop order and not a market order, so mc strategy places the stop order that is in the script again because it thinks the stop order isn't there anymore. Therefore cancelling the already converted to market order by IB to the MC strategy stop order that is in the script (how does mc strategy know that the stop order is converted to market order by IB?)
4) If the stop price is hit again or the close is beyond the stop price the whole situation starts all over again. Resulting in IB thinking that every partial fill is a new order. And therefore multiple times the transaction costs.

I also tried coding the exit targets with "If (barstatus(1) = 2)then begin" to exclude IOG for that section.

What I like to know is how MC is working internally with the stop order. Just to exclude the possibility that MC is working like I described above. So I know it is definitly some coding error I made. I spend 6 days already with this probably self inflicted issue so you can say I am stuck.

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Re: How does the stop order work in MC

Postby evdl » 14 Nov 2012

I made a test script with a stoploss and a profittarget. I am using the autotrader.

What it seems like is this:

1) stoploss get hit and say partial fill of 200 out of 1000 stocks.
2) MC Autotrader is "locking" the stop order because it is in the process of selling/buying.
3) MC Autotrader is syncing (reducing) the amount of stock with 200 of the stoploss and updates IB TWS.
4) MC Autotrader is not "locking" the profit order and with the syncing (reducing) the amount of stock with 200. The profittarget is replaced with the same target but with a new outstanding amount of stock of 800.
5) Because the profittarget is replaced (and therefore cancelled) also the stop order is cancelled. because this is part of the OCO order.
6) Stop order is replaced with the same target and needs to be hit again. When hit again, this results in multiple orders with additional costs.

I tried the test script again but now without the profittarget. And then the stoporder is not replaced but it updates the amount of stock on IB TWS and everything works as it is intended. That's why I think the profit target is not "locked" (target price is not changed, only the stock amount).

This is the testscript I used:

Code: Select all

// Signal: LSI TEST SCRIPT
// Version: 0.1
// Date: 14 november 2012
// Last backup made :

// DESCRIPTION:
//  Script to test the stoploss, profit target and trailing stop

[IntrabarOrderGeneration = True]
[LegacyColorValue = TRUE];

inputs:
// time inputs
Begin_time_Trade (900), // start time for engaging trades
End_time_Trade (2300), // end time for trading
Begin_time_plus_minutes(5), // Begin_time_trade + the input of this in minutes
End_time_minus_minutes(0), // end time for for trading -/- the input of this in minutes
Begin_time_Targets (800), // start time for enabling profit/stoploss targets
End_time_Targets(2300), // end time for disabling profit/stoploss targets. Usefull for end of market when price are crazy
// Price inputs
Price (Close), // price = close of bar
// profit targets and stoploss inputs
StockAmt (1000), // amount of stocks
ProfittargetAmt (500), // profittarget
RiskRewardAmt (2); // riskreward
        
variables:
ResultStoploss(0),
Stoploss_Fixed (0),
Stoploss_Fixed_Long (0),
Stoploss_Fixed_Short (0),
Profit_Fixed (0),
Profit_Fixed_Long(0),
Profit_Fixed_Short(0),
Begin_time_trigger(0),
End_time_trigger(0);

// TIME SETTINGS
   Begin_time_trigger = calctime(begin_time_trade, begin_time_plus_minutes);
   End_time_trigger = calctime(end_time_trade, end_time_minus_minutes);

// DETERMINE PROFIT AND STOPLOSS TARGETS
   Profit_Fixed = ProfittargetAmt/StockAmt;
   Stoploss_Fixed = (profittargetAmt/RiskRewardAmt)/StockAmt;
   ResultStoploss = Profit_Fixed / stoploss_fixed;
      
// TEST CONDITIONS   
   Condition1 = price > price[1];
   Condition2 = price < price[1];
      
// ENTRY CONDITIONS
If (barstatus(1) = 2)then begin;
   If time > Begin_time_trigger and time < End_time_trigger then begin
      
      If resultstoploss >= 2 and Condition1 then
       if MarketPosition  = 0 then begin
         Buy ("Long") next bar market;
      end;
                     
    {   If resultstoploss >= 2 and Condition2 then
      if MarketPosition = 0 then begin
         Sellshort ("Short") next bar market;
      end;}
   end;
End;

// EXIT CONDITIONS ---------------------------------------------------------------------------------------
// STOPLOSS AND PROFIT TARGET CALCULATING PER STOCK
If time > Begin_time_targets and time < End_time_Targets then begin

   If marketposition <> 0 then begin
      Profit_Fixed_Long = AvgEntryprice_at_broker + Profit_Fixed;
      Profit_Fixed_Short = AvgEntryprice_at_broker - Profit_Fixed;
      Stoploss_Fixed_Long = AvgEntryprice_at_broker - Stoploss_Fixed;
      Stoploss_Fixed_Short = AvgEntryprice_at_broker + Stoploss_Fixed;
   end;

// PROFIT TARGET FIXED
// Long exit:   
   if marketposition = 1 then begin
      Sell ("CloseProfitLong") next bar Profit_Fixed_Long limit;
   end;
// Short exit
   if marketposition = -1 then begin
      BuytoCover ("CloseProfitShort") next bar Profit_Fixed_Short limit;
   end;
   
// STOPLOSS FIXED --------------------------------------------------------------------------------------------
// Long exit:
   if marketposition = 1 then begin
      Sell ("StopLossLong") next bar Stoploss_Fixed_Long stop;
   end;
// Short exit:   
   if marketposition = -1 then begin
      Buytocover ("StopLossshort") next bar Stoploss_Fixed_Short stop;
   end;
   
End;   


Correct me if I am wrong and made a coding error or something. But if this is the way OCO is intended to work, you can not use OCO with stop and limit orders because always one or the other order is cancelled with partial fill because of the change in position size. Resulting in additional costs and possible loss of place in the order queue. Could also be a issue if you do pyramid trading.

Should MC also "lock" the profittarget order (in this case) or whole OCO order when the stoploss order is in the process of selling/buying?

Workaround could be to cancel the stoploss or the profitorder of your OCO order when one or the other is in the neighbourhood of the target. So you can code a cancellation of the profittarget when the stoploss is 2 cents away from getting hit for example.

PS.: sorry for the long posts by the way ;)

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Re: How does the stop order work in MC

Postby Andrew MultiCharts » 20 Nov 2012

evdl wrote:3) then MC strategy is converting the stop order in to a market order. Resulting in changing the Ib market order and therefore changing the existing initial order.

Since IB supports stop orders, MC doesn't convert them in markets on its end, it does only your broker.

evdl wrote:3) Mc strategy initial order was a stop order and not a market order, so mc strategy places the stop order that is in the script again because it thinks the stop order isn't there anymore. Therefore cancelling the already converted to market order by IB to the MC strategy stop order that is in the script (how does mc strategy know that the stop order is converted to market order by IB?)


evdl wrote:I made a test script with a stoploss and a profittarget. I am using the autotrader.

What it seems like is this:

1) stoploss get hit and say partial fill of 200 out of 1000 stocks.
2) MC Autotrader is "locking" the stop order because it is in the process of selling/buying.
3) MC Autotrader is syncing (reducing) the amount of stock with 200 of the stoploss and updates IB TWS.
4) MC Autotrader is not "locking" the profit order and with the syncing (reducing) the amount of stock with 200. The profittarget is replaced with the same target but with a new outstanding amount of stock of 800.
5) Because the profittarget is replaced (and therefore cancelled) also the stop order is cancelled. because this is part of the OCO order.
6) Stop order is replaced with the same target and needs to be hit again. When hit again, this results in multiple orders with additional costs.

We will check this scenario and i'll let you know.
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Re: How does the stop order work in MC

Postby Andrew MultiCharts » 19 Dec 2012

Andrew MultiCharts wrote:
evdl wrote:I made a test script with a stoploss and a profittarget. I am using the autotrader.

What it seems like is this:

1) stoploss get hit and say partial fill of 200 out of 1000 stocks.
2) MC Autotrader is "locking" the stop order because it is in the process of selling/buying.
3) MC Autotrader is syncing (reducing) the amount of stock with 200 of the stoploss and updates IB TWS.
4) MC Autotrader is not "locking" the profit order and with the syncing (reducing) the amount of stock with 200. The profittarget is replaced with the same target but with a new outstanding amount of stock of 800.
5) Because the profittarget is replaced (and therefore cancelled) also the stop order is cancelled. because this is part of the OCO order.
6) Stop order is replaced with the same target and needs to be hit again. When hit again, this results in multiple orders with additional costs.

We will check this scenario and i'll let you know.


It seems the behavior can be indeed improved. We will look into this deeper and try to fix it after coming MC 8.5 Beta 2.

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Re: How does the stop order work in MC

Postby evdl » 19 Dec 2012

Ok, thanks Andrew.

When this is improved/changed, can you please mention this (for example in the release notes). So I know when I can adjust my code and get the cancellation of one of the targets out.

Edwin

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Re: How does the stop order work in MC

Postby Andrew MultiCharts » 19 Dec 2012

I will let you know here when it is fixed.
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Re: How does the stop order work in MC

Postby Andrew MultiCharts » 10 Jan 2013

The behavior is improved and it will be available in MultiCharts 8.5 Release version.

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Re: How does the stop order work in MC

Postby evdl » 10 Jan 2013

Thanks Andrew, for the update.

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Re: How does the stop order work in MC

Postby sdonahue » 12 Jan 2013

I am having a very similar issue with partial fills in MultiCharts. The scenario is this:

1. Broker is Interactive Brokers
2. The issue exists whether or not we use Native or Simulated OCO
3. Intrabar order generation is not in use
4. Optimize order flow is not enabled

The problem happens as follows:

1. Upon signal generation, two separate entry orders are placed - a Limit order at some more favorable price than the current price, and a stop market order at some less favorable price, each with the same position size. In effect, we are "bracketing" a price area.

2. When the limit is hit and begins to fill the position, the stop market is cancelled instead of simply being reduced in size to match the remaining open quantity of the limit order. Because the open limit order is linked in an OCO group, it immediately cancelled upon the cancellation of the linked stop entry order.

3. What should happen, and what I know IB supports, is that the other orders in the group should just be changed to reflect the remaining quantity to be filled (ie, reduced), not cancelled and replaced. This is a huge problem for a number of reasons even beyond partial filling.

4. I have reviewed the detailed trace logs myself and it is pretty clear that this is what is happening.

So, after reading through this thread in its totality, this *appears* to be referring to exactly what I am describing. And my understanding is that this can be "improved", and has been scheduled for the 8.5 release.

So, my questions are:

1. Does this "improvement" address the issue I am describing?
2. What exactly is the improvement or fix to the behavior that has been implemented?
3. If it does not address what I am describing, then what exactly are my options, because this is a major issue with critical impact.
4. Finally, is there any ETA as to whether this will be available in 8.5? Do I have to wait until the final release, the next beta, a release candidate?

Thanks-

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Re: How does the stop order work in MC

Postby Andrew MultiCharts » 14 Jan 2013

Hello Sdonahue,

  1. Yes, it is related to your case.
  2. The OCO orders will not be replaced, when there one of them is being filled.
  3. Unfortunately there is no ETA at the moment. The fix will be available in MultiCharts 8.5 Release version.

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Re: How does the stop order work in MC

Postby vking » 14 Jan 2013

Andrew - the point 2 - you have mentioned here - is it going to address the issue from this thread?

viewtopic.php?f=1&t=8810

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Re: How does the stop order work in MC

Postby Andrew MultiCharts » 15 Jan 2013

vking wrote:Andrew - the point 2 - you have mentioned here - is it going to address the issue from this thread?

viewtopic.php?f=1&t=8810


As far as i can see, in the thread you reference you are talking about decision against OCO group in general, to place multiple levels of orders without cancellation like in ATM Master Strategy. The improvement we are discussing in this thread is different, though it also references OCO group.

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Re: How does the stop order work in MC

Postby vking » 15 Jan 2013

Thanks Andrew. Was not opposing against OCO but Wanted to have an "isolated OCO pairs - each OCO pair to be separate from another OCO Pair". At present the issue is MC is treating different OCO pairs into a single pair and would cancel and resubmit the remaining OCO orders one more time at the SAME price as before cancelling the order - essentially making the order to be resubmitted at the same target/stop prices as before - just that you lost the position in the queue. Unfortunately it's an important aspect to preserve the queue position in thick markets/scalping space - and at present it's not possible and there is NO work around.

In any case - if you say the other issue is still not going to be addressed with the proposed change (in this thread) that's fine but the other issue is pending for several months now and hopefully it gets addressed at some point as there is no work around.

Thanks


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