Market orders rejected with LMAX exchange

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mrticks
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Market orders rejected with LMAX exchange

Postby mrticks » 03 Nov 2014

Hi Folks,

Does anyone know how I can place market orders with Multicharts via LMAX. I have a strategy running on EUR/USD that tried to place market orders but I get errors sometimes. The order goes through sometimes, depending on where price is. The order is rejected if the order is guaranteed to be filled.

The error is:
Instrument: EUR/USD; Order: Buy Stop 10; Status: Rejected; Reason: STOP_WOULD_BE_TRIGGERED_IMMEDIATELY
My code:

Code: Select all

then
Buy ( "GDMTF FDAX LE" ) next bar at market;
Any help would be appreciated.

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bensat
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Re: Market orders rejected with LMAX exchange

Postby bensat » 03 Nov 2014

Maybe your price where to place the buy-stop order is wrong ? Buy-stop orders have to be placed above current price. If your buy-stop order price is below current price, than use just limit order with your buy-stop price.

Regards.

Ben

Edit: My original answer came in before your edit. Are you the guy who already had problems with orders on the EUREX in the FDAX ? I just saw your order description. What about the order when you change it from "Market" to Limit(Close) + 10 ticks or so ? Not toooo far away from current price so you may run into price check rejection. Could be a slippage problem, but better this way instead of getting rejected all the time.

mrticks
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Re: Market orders rejected with LMAX exchange

Postby mrticks » 03 Nov 2014

Maybe your price where to place the buy-stop order is wrong ? Buy-stop orders have to be placed above current price. If your buy-stop order price is below current price, than use just limit order with your buy-stop price.

Regards.

Ben

Edit: My original answer came in before your edit. Are you the guy who already had problems with orders on the EUREX in the FDAX ? I just saw your order description. What about the order when you change it from "Market" to Limit(Close) + 10 ticks or so ? Not toooo far away from current price so you may run into price check rejection. Could be a slippage problem, but better this way instead of getting rejected all the time.
Hi Ben,

Thanks for your post.

Yes, that was me that had a similar issue with orders on the FDAX getting rejected via CQG. I can place limit orders with a stop 'n' ticks above a limit price.

My issue is that, I want to place and get filled on market orders. What is the point of a market order if you have to ensure you don't get filled straight away? Does that make sense? I can place market orders in other marketw with the stop price below current market and get filled straight away.

I am confused because MC states that LMAX will accept market orders here, https://www.multicharts.com/trading-sof ... rder_Types


Thanks,

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bensat
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Re: Market orders rejected with LMAX exchange

Postby bensat » 03 Nov 2014

No clue at all. But don't think it's an issue on the MC side. Looks like a protocol error API/FIX on LMAX side.

The only one explanation I would have is the good old problem with MT4 & 5. When you are trying to buy at market, LMAX just change the order style to limit at current price and the order get's rejected when the price already changed. Just wait for Henry and he may has a solution.

To get it working I would just follow my proposal and change the order type to limit +/- x amount of ticks. i know it's not nice ;). May you want to read this forum posts just for your own interest : http://www.donnaforex.com/forum/index.p ... c=5892.270

Regards.

Ben

mrticks
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Re: Market orders rejected with LMAX exchange

Postby mrticks » 03 Nov 2014

No clue at all. But don't think it's an issue on the MC side. Looks like a protocol error API/FIX on LMAX side.

The only one explanation I would have is the good old problem with MT4 & 5. When you are trying to buy at market, LMAX just change the order style to limit at current price and the order get's rejected when the price already changed. Just wait for Henry and he may has a solution.

To get it working I would just follow my proposal and change the order type to limit +/- x amount of ticks. i know it's not nice ;). May you want to read this forum posts just for your own interest : http://www.donnaforex.com/forum/index.p ... c=5892.270

Regards.

Ben
Hi Ben,

Thanks for that link, I had read somewhere that LMAX change market orders at their end to limit orders for some reason. The whole point of a market order is to get into a position at any price.

I had contacted MC support about this earlier and Henry informed me that they can perform market orders at their end with no issues.
Buy ( "EUR LE" ) next bar at market; works ok for EUR/USD on LMAX on our end.

Please contact the broker directly regarding the particular order reject.
While that is not much help, I also can get filled on market orders most of the time, it only happnes the odd time.

I contacted LMAX support about it and was informed initially,
I wanted to confirm that the error message you get means, your order price is too close to the actual market price so it would get executed immediately after you place it.

Please try to set up your order price a bit further from the actual market price.
Then after I re-iterated that I am not placing stops or a limit order, I am trying to place a market order through code in a strategy, I was informed by LMAX support,
I am unsure about how you place a market order on the MultiCharts, I believe there should be a buy or sell buttons where you can place a market order.
So I have replied reminding them again that I am trying to place a market order programatically via a coded strat. I will see what they come back with, hopefully it is possible to place a market order via LMAX without getting rejected orders.

Again, thanks for your repsonse Ben!

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bensat
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Re: Market orders rejected with LMAX exchange

Postby bensat » 03 Nov 2014

As I mentioned before, it looks like they change market orders in limit orders. From what I read in the link and what u were getting from them as an answer, it is confirmed. I think you don't need to make clear that u use market orders via MC, because they don't get it or better they don't want. Because they already said they change it, no matter how you set the market order.

That MC can set market orders doesn't mean retailers can do it as well. I guess u know what I mean. MC is a partner to attract business for them by providing a gateway. So everything has to work. You are just a customer.

Don't get angry and change your market orders to limit +/- X ticks. Could have some advantages and one disadvantage. but that's life.

Regards.

Ben

mrticks
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Re: Market orders rejected with LMAX exchange

Postby mrticks » 03 Nov 2014

Hi Ben - Yes, I know what you mean. All the execution issues associated with this are extremely frustrating. It is nice for backtesting visuals though!


Thanks,


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