Where do orders reside and optimal execution speeds

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wilkinsw
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Where do orders reside and optimal execution speeds

Postby wilkinsw » 09 Jul 2013

I've been auto trading for over a month now using Patsystems as my broker and IQ Feed for data. I'm currently running version 8.5 6850 and have been very happy with the platform in general.

I'm seeking guidance on the mechanics of how orders are triggered and executed by Multicharts. I'm specifically seeking to optimise the execution time of stop limit orders.

Firstly, where does the stop limit order reside once submitted by multicharts? What/who literally recognizes the stop price has been reached; Multicharts or Pats? Is this the same for a stop order? If my computer crashes will the stop limit order still execute?

How does the setting "get real time data from A-Broker B-Chart" effect the triggering and execution of stops and stop limit orders? My Pats data feed seems to have a very poor refresh rate compared to IQ feed. Therefore I have chosen to get real time data from B-chart (IQ feed) in the belief that the poor refresh of the Pats data feed could lead to worse slippage if I chose A-Broker. Are these assumptions correct? With my current settings, does the stop order literally wait for the detection of the IQ data feed meeting or exceeding the trigger price? Or will a stop/stoplimit be managed at the same speed independently of whether A-Broker or B-Chart is selected?

Finally, does the performance of my PC effect the speed of execution of a stop/stoplimit order?

Obviously my aim is to minimise slippage by the detection of my stop prices being reached occur as quickly as possible.

Many thanks in advance for your help.

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TJ
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Re: Where do orders reside and optimal execution speeds

Postby TJ » 09 Jul 2013

I've been auto trading for over a month now using Patsystems as my broker and IQ Feed for data. I'm currently running version 8.5 6850 and have been very happy with the platform in general.

I'm seeking guidance on the mechanics of how orders are triggered and executed by Multicharts. I'm specifically seeking to optimise the execution time of stop limit orders.

Firstly, where does the stop limit order reside once submitted by multicharts? What/who literally recognizes the stop price has been reached; Multicharts or Pats? Is this the same for a stop order? If my computer crashes will the stop limit order still execute?
::
Many thanks in advance for your help.
Not all brokers supports stop and limit orders natively;
If they do, the orders are sent to your broker immediately.
If they don't, the orders are held by your MultiCharts program and released when the required condition is reached.

This might help your understanding:
Order Types
https://www.multicharts.com/trading-sof ... rder_Types

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TJ
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Re: Where do orders reside and optimal execution speeds

Postby TJ » 09 Jul 2013

I've been auto trading for over a month now using Patsystems as my broker and IQ Feed for data. I'm currently running version 8.5 6850 and have been very happy with the platform in general.
::
Finally, does the performance of my PC effect the speed of execution of a stop/stoplimit order?
::
Many thanks in advance for your help.
You can check your computer utilization with the Windows TaskManager.
Your CPU usage should not be over 25% on average (this gives room for peak calculations to spike),
and your memory utilization should not be over 70%.

With today's powerful computer systems, you will find the bottleneck is more in the internet latency than the computer itself. (unless you have unusually calculation-intensive indicators).

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Re: Where do orders reside and optimal execution speeds

Postby wilkinsw » 10 Jul 2013

Thanks TJ.

Henry, if you can, I'm seeking further answers to my questions above.

Re stop-limit orders the above link states "Emulated in broker API". What does that mean exactly (it is the only one in table to state this)? Stops are natively supported by Pats. Would you expect a natively supported stop to trigger quicker than an emulated stop order?
the orders are held by your MultiCharts program and released when the required condition is reached.
If emulated then I guess my computer has to be on with MC running to have the order trigger and execute, not a requirement of a natively supported order? Does a natively supported order sit on the broker's server (typically colocated for many brokers)?
You can check your computer utilization with the Windows TaskManager.
Your CPU usage should not be over 25% on average (this gives room for peak calculations to spike),
and your memory utilization should not be over 70%.
Thanks for that advice. I'm running at 1% and 60% respectively. Multicharts is the only program I have running.

Finally, I really need a better understanding of the following subject and how is varies depending on whether the stop order is emulated or native:
How does the setting "get real time data from A-Broker B-Chart" effect the triggering and execution of stops and stop limit orders? My Pats data feed seems to have a very poor refresh rate compared to IQ feed. Therefore I have chosen to get real time data from B-chart (IQ feed) in the belief that the poor refresh of the Pats data feed could lead to worse slippage if I chose A-Broker. Are these assumptions correct? With my current settings, does the stop order literally wait for the detection of the IQ data feed meeting or exceeding the trigger price? Or will a stop/stoplimit be managed at the same speed independently of whether A-Broker or B-Chart is selected?
Many thanks!

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Re: Where do orders reside and optimal execution speeds

Postby wilkinsw » 14 Jul 2013

More answers please, if anyone would be so kind.

Please let me know if I have posted in the wrong place. I can't find answers to my questions anywhere in the MC literature.

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Re: Where do orders reside and optimal execution speeds

Postby tony » 15 Jul 2013

I like this thread and have an interest in following it. I also have a question. If a strategy uses IOG, then stops and or limits are continually updated. Now if those orders sit at the server (broker) side, what are the mechanics in terms of stops and or limits changing.

For example I am trading 30 year futures. Assume the stop is 134.20 and the limit 134.25 in this example, both of which are sitting at the broker.

What happens if price moves over the next few ticks enough that the stop and limits are now 134.21 and 134.26. Will MC send these new stop and limits to the broker canceling the prior stop and limit orders?

That would be ideal if so, for it would increase execution rates, decrease slippage since their is no delay in getting orders from the MC to the broker.

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Re: Where do orders reside and optimal execution speeds

Postby tony » 16 Jul 2013

I have an answer to my own question so for sake of "expanding the wiki" I'll post here. In my case I had a question on how stops and or limits are updated if I use IOG where these values are continually updated intrabar. I also was basing this question on IB which supports server side orders.

Stops and or limits would be sent to the broker (in this case IB). During the candle if these levels are changed, the current orders will be modified, not cancelled. So the orders will be current in terms of price value to trigger but I will likely lose my "line in the queue" possibly.

But for me I'm happy to know the time associated with getting the order to the broker is minimized if not eliminated. Thanks to MC for helping me understand this. Started using MC in June and absolutely love the product and support.

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Re: Where do orders reside and optimal execution speeds

Postby wilkinsw » 16 Jul 2013

Still waiting for answers.......please.

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Re: Where do orders reside and optimal execution speeds

Postby wilkinsw » 16 Jul 2013

I'll try again:

1) Executing orders through the Pats API:

Will a) stops and b) stop-limits be executed with my MC based PC shutdown?

2) Under "Strategy properties", "Auto Trading", "Get real time data from...Broker....Chart":

Will the selection of "chart" mean that my stop is triggered by

a) chart IQ data feed data meeting or exceeding the trigger price or
b) Have I misunderstood the meaning of "Get real time data from...Broker....Chart" and will the stop be triggered by other means (e.g. price meeting or exceeding the trigger on the brokers server)?

Thanks.

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Re: Where do orders reside and optimal execution speeds

Postby TJ » 16 Jul 2013

Please don't torture yourself,
if the order is not supported by your broker, it is NOT at your broker. IT IS SOMEWHERE ELSE. And it takes time to get to your broker.

If you want your orders at the broker,
get a broker that supports your orders.
No charting software or dataprovider or 3rd party solutions can change that fact.

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Re: Where do orders reside and optimal execution speeds

Postby wilkinsw » 16 Jul 2013

Yep, I get what you're saying. It's just the lack of any other detail that leaves me wanting.

The MC literature (the table from the link you provided me) is clear in many respects: Some orders are "emulated locally" and some "supported on the brokers end". Very easy to understand.

However I don't find "Emulated in broker API" very clear (but then I know I'm not the brightest). Where does the order reside in this instance? I would guess the answer is that the order is emulated locally. But why doesn't is state "emulated locally". I am pushing for specific answers as since going live 2 months ago, things are moving rather quickly for me and I am having to plan well ahead. This includes the possible need to, as you state TJ, "get a broker that supports your orders." I want to plan for the best execution of larger orders (should I be fortunate enough to find myself in that position).

I'm still seeking the answer to my second question, previous post. If needs be, I can get my firm to upgrade my data feed from my clearer so that my stops can be triggered (emulated or otherwise) by a faster feed. BUT I need to first confirm the mechanics of how an emulated (IF emulated) stop is triggered by Multicharts (second question previous post).

Thanks for your time!!

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Re: Where do orders reside and optimal execution speeds

Postby TJ » 16 Jul 2013

Yep, I get what you're saying. It's just the lack of any other detail that leaves me wanting.

The MC literature (the table from the link you provided me) is clear in many respects: Some orders are "emulated locally" and some "supported on the brokers end". Very easy to understand.

However I don't find "Emulated in broker API" very clear (but then I know I'm not the brightest). Where does the order reside in this instance?
As a trader, all I care is -- is the order at the broker?
If it is not at the broker, then it is not active when my computer dies, or if the internet disconnects...
I'm still seeking the answer to my second question, previous post. If needs be, I can get my firm to upgrade my data feed from my clearer so that my stops can be triggered (emulated or otherwise) by a faster feed. BUT I need to first confirm the mechanics of how an emulated (IF emulated) stop is triggered by Multicharts (second question previous post).

Thanks for your time!!
Your strategy is applied to a chart.
The chart is fed by a data source... it could be your broker, or a dataprovider, or ASCII mapping...
Your strategy is triggered by the prices on the chart.
Your strategy does not know if the prices are from USA or Japan, real time quotes or day old replays.

When an order is triggered by the chart, the order is sent to a broker in your strategy setting.

Hope the above helps.

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Re: Where do orders reside and optimal execution speeds

Postby wilkinsw » 17 Jul 2013

Thanks for your help TJ.

Okay, I've spoken to my broker (Marex, front end Patsystems) and asked them to talk me through what they are seeing when my system submits stops and stop-limit orders.

They tell me that my orders are being submitted directly to CME and reside there. Even when I turned my computer off, my orders still remained with CME. In the case of the stop limit orders, this included the trigger and limit price as specified by the system.

This is good news for me and would suggest that I am set up for optimal execution speeds (at least on the 60min timeframe I use).

Please correct me if I'm wrong but this means that the answers to my questions are as follows:
1) Executing orders through the Pats API:

Will a) stops and b) stop-limits be executed with my MC based PC shutdown?

2) Under "Strategy properties", "Auto Trading", "Get real time data from...Broker....Chart":

Will the selection of "chart" mean that my stop is triggered by

a) chart IQ data feed data meeting or exceeding the trigger price or
b) Have I misunderstood the meaning of "Get real time data from...Broker....Chart" and will the stop be triggered by other means (e.g. price meeting or exceeding the trigger on the brokers server)?

Thanks.
1)a) Yes b) Yes, both reside with the broker/exchange

2) the answer is "b)" even though the IQ feed data will dictate when orders are submitted using my settings, orders reside with the broker/exchange and so are triggered on their side, not triggered from the MC platform and submitted as a market/limit order to emulate a broker side order.

If any other users stumble across this posting I would recommend speaking with your brokers to ask what they are seeing on their side when you/MC submits orders. In my case, I'm now happy that I'm setup as desired but others, as TJ stated, may want to consider a broker that better suits their trading needs with respect to their MC system.

But just so there is no misunderstanding, I think Multicharts is a fantastic platform!!


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