"Optimize Order Flow" Algo needs tweaking please

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wilkinsw
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"Optimize Order Flow" Algo needs tweaking please

Postby wilkinsw » 22 Jul 2014

Hi,

Please give me feedback on the following.....

I love the optimize order flow feature of autotrading. Without it I would get limit breaches whilst trying to submit orders and also risk overfills.

However, my colleague and I are seeing one key flaw that should only take a small tweak to correct.....

Assume I'm long one lot.....

if I happen to have a cut and reverse order (sell 2) below an exit sell stop ..... Then optimising the order flow will typically result in the cut and reverse (sell 2) order not being worked. Instead just the exit sell stop (1 lot). When this 1 lot gets triggered.... MC will then fire off an entry sell order (1 lot). Most of the time this is fine. However, fairly often I might have a sell stop very very close to the where I'm also looking to cut and reverse. The latency associated with optimising the order flow by MC will often result in a rejected order by the CME ("last price is lower than the stop price"). In a fast market this can get very messy very quickly indeed!

Could I kindly ask that MC add this simple logic to the optimize order flow algo (opposite if short):

- if exit sell stop price > cut and reverse sell stop price then modify cut and reverse sell stop SIZE:
- mod cut and reverse sell stop SIZE = original cut and reverse sell stop SIZE - sell stop SIZE.

This way you've got both orders on the order book at the exchange.


Doesn't matter where your strategy is run from geographically, the above solution is by far the lowest latency option and solves all my rejected order problems.

I could,of course, code this into my strategies but off the top of my head that sounds fiddly.

Many thanks!

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Andrew MultiCharts
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Re: "Optimize Order Flow" Algo needs tweaking please

Postby Andrew MultiCharts » 23 Jul 2014

Hello wilkinsw,

Please leave us such feature request so other customers can vote for it.

wilkinsw
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Re: "Optimize Order Flow" Algo needs tweaking please

Postby wilkinsw » 23 Jul 2014

Hi Andrew,

I will do. Want to see if others can share their opinions or suggest further improvement, if needed that I can encapsulate in my feature request.

To vote for an improved optimized flow logic as detailed:


https://www.multicharts.com/pm/viewissu ... no=MC-1699


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