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Open Feature request MC-1699

"Optimize Order Flow" Algo needs tweaking please - Modify Cut and reverse order size in a logical manner

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Description

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 AND submit this modified cut and reverse sell stop:
- mod cut and reverse sell stop SIZE = original cut and reverse sell stop SIZE, MINUS sell stop SIZE (total of all sell stops > cut and reverse price).
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.

Steps to reproduce this issue

explained above.

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Issue basics
  • Type of issue
    Feature request
  • Category
    Performance
  • Targeted for
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  • Status
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    Normal
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