Very often, limit/stop prices are touched, however no execution
or only partially executions via auto-trading of my (kind of)
scalping system (Resolution: 1 point, Broker CQG, SA-Mode).
My question: are the below settings the best in order to get an order
exceution as fast as possible and a high probability of an execution
(or with other words: converting touched limit orders as fast as
possible in market orders and not "sitting" at the end of the queue):
(1) "Convert unexecuted limit or stop entry/exit orders to market orders:" 0 seconds
(does it make sense with (a) CQG, because CQG is supported limit orders and
(b) with a resolution of 1 point?)
(2) "Replace to Market Partially Filled Orders": turned on
(3) "Cancel market orders as absolete if not filled within x seconds": turned off
(4) "Optimize Order Flow": turned on
(5) "Get Real-Time Data from ..": Broker
(6) In the script: IOG = true (here also: does this make sense with a 1 point resolution?)
Are there any other settings / parameter I have to consider?
Every reference / tip is welcome. Thank you.
Regards,
Fredi
Fastest way/high probability of execution (if price touched)
- Andrew MultiCharts
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Re: Fastest way/high probability of execution (if price touc
Hello Fredi,
- Here is the sequence of events that is toggled on/off and controlled by the Unfilled Strategy Order Replacement feature: limit/stop order is sent to broker -> broker returns to MC that the order is placed successfully -> current price touches/crosses the order level -> MC waits for 0 seconds -> MC cancels the order -> broker returns to MC that the order is cancelled successfully -> MC places market order instead of the limit/stop -> broker returns to MC that the order is filled successfully. As you can see, there may be some delays, so the price may move away. On the contrary, if everything goes quick and you specify 0 seconds, your limit/stop order is replaced with market order too quickly (so there is no sense to place limit/stop at all then). CQG supports almost all types of MC orders.
- I believe the Replace to Market Partially Filled Orders is well described here.
- Doesn't affect anything related to converting touched limit/stop orders as fast as
possible in market orders and not "sitting" at the end of the queue. - Same as point 3.
- Same as point 3.
- Same as point 3.
Re: Fastest way/high probability of execution (if price touc
Hello Andrew,
thank you for the detailed description.
A supplementary question: What code would generate a faster (entry-) execution
(or speed will be the same)?
(A) Buy PositionSize Contracts next bar at Limit_Long Limit;
in combination with
"Convert unexecuted limit or stop entry/exit orders to market orders:" 0 seconds
(the code/setting to the example above)
or
(B) if Close <= Limit_Long then
Buy PositionSize Contracts next bar at Market
else Buy PositionSize Contracts next bar at Limit_Long Limit;
Or, Andrew, do you have another idea, I can try?
Regards,
Fredi
thank you for the detailed description.
A supplementary question: What code would generate a faster (entry-) execution
(or speed will be the same)?
(A) Buy PositionSize Contracts next bar at Limit_Long Limit;
in combination with
"Convert unexecuted limit or stop entry/exit orders to market orders:" 0 seconds
(the code/setting to the example above)
or
(B) if Close <= Limit_Long then
Buy PositionSize Contracts next bar at Market
else Buy PositionSize Contracts next bar at Limit_Long Limit;
Or, Andrew, do you have another idea, I can try?
Regards,
Fredi
- Andrew MultiCharts
- Posts: 1587
- Joined: 11 Oct 2011
- Has thanked: 931 times
- Been thanked: 559 times
Re: Fastest way/high probability of execution (if price touc
Direct market order from code is faster then conversion of a price order into market order.