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Open Feature request MC-1497 » Open Feature request MC-969

Automated Orders Should be Limit as Programmed

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Description

In certain types of trading straggles, such as Support and Resistance, it is possible to define market levels where entries are desired ahead of market price reaching those levels. There can be multiple levels in each direction of the market i.e. both long and short opportunities are identified. When automating these levels the desired behavior would be to have each order be submitted as limit orders. In my code I control what the levels are, how many levels are allowed to be placed etc.
The present behavior in MultiCharts 8 beta 3 is orders are either submitted as OCO or limit if the Optimize Order Flow box is checked no matter what is programmed.
The problem with the OCO option is when one limit is filled the other predefined existing limit orders are cancelled and then reissued. The order therefore losses its place in the order queue and results in performance that is worse than using the DOM in a manual method.
The problem with the present Optimize Order Flow option is that when enabled only one predefined order level is issued in one direction of the market only. Therefore no other positions can be established in the order queue. Again the performance is worse than using the DOM in a manual method.
The option and behavior I am requesting is to place all orders the way they are programmed to execute. The number of orders allowed to be placed should be checked and controlled by the Position Limits in the Strategy Properties settings. This would control orders and help code that had not been through significant testing to make sure it was robust. The Position Limits should be the only safety net for order placement. The present additional restrictions lead to suboptimal performance.
The same restrictions should be eliminated for exits from named entries. I.e. if more than one position exits the exit limit orders from these entries should only be limit and not OCO.
Also an entry order should not assume it needs to close a position from the opposite direction of the market. I.e. if you are long and have an exit order for that order and you have a sell short entry order the sell short order should not assume it needs to close the long order, i.e. place a sell for 2 contracts if you are long 1 contract and want to go short 1 contract. This also creates a suboptimal performance issue as the Sell Short order modifies itself after the long entry exit is executed.

Steps to reproduce this issue

This is a known condition. Please see Andrew in support.

Comments (1)
#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Oct 15, 2013 - 11:43
History
Issue basics
  • Type of issue
    Feature request
  • Category
    Performance
  • Targeted for
    Not determined
  • Status
    Postponed
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
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  • Severity
    Critical
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