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One Cancels Other OCO orders in Simulation?

Posted By edgehill 6 Years Ago
Posted Thursday May 10 2012
I have searched the forums for support of conditional "One-Cancels-Other" (OCO) order support in simulation, and it appears that this may already exist, but if so are there any examples of systems that use them?  Specifically for a dip-buyer or band-violation system i want to be able to have multiple limit orders against a watchlist of stocks (off-market limits) that simulates conditional cancels of orders once an order is filled.  For example if i had limit buy orders for all stocks on the NDX100 something like "for each 1 buy order filled, cancel 5 other buy orders randomly".  for dipbuyers this type of "randomizing" can prevent overfilling a strategy too early in the day and i am looking to simulate this.  thx!
Posted Sunday May 13 2012
For me, OCO support means that when one order is filled, the broker will automatically cancel the other order, without any intervention from the trading system. RightEdge doesn't currently support this, although it will in the future. However, you can write logic in your system to respond to one of the orders being filled by cancelling the other order. I think this is what you would need to do in any case, because there aren't going to be any brokers that support randomly cancelling other orders when one is filled (at least I don't think so Smile).


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