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Disconnect and stop-loss orders

Posted By Freolad 8 Years Ago
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Posted Sunday January 25 2009
A quick question. What would happen in the following scenario:

1. Buy Limit order placed with broker and RightEdge is waiting to submit the stop-loss order as soon as the limit is filled.
2. Internet connection goes down (or machine crashes).
3. Limit order is filled at broker.
4. Price drops below the stop-price (although no stop-order has been submitted because connection has been down).
5. Internet connection restored. RightEdge is notified of limit order fill.

Would RightEdge now try to submit the old stop-loss order or would it recognize that price is now below stop-loss price and instead close the order? If it tries to do the former, the stop-loss order might be rejected because it is above the current market price.
Posted Sunday January 25 2009
Hi Freload,

I'm currently trying to work out how to deal with this very issue. I have a high frequency system that occasionally has stops/targets rejected due to fast market conditions pushing the price out of range during the lag time between the limit fill (or a stop/target cancel) and stop/target (re)submission. I don't know if RE's behavior would be different when a disconnect / reconnect is involved, but I would guess it's the same.

I've just started testing this so I may be incorrect, but the real difficulty is that SetStopLoss() / SetProfitTarget() don't appear to fire the OrderUpdated event in the case of a rejection. If I can figure out how to trap the rejection, then at least some logic could be coded in the trading system to recover from the error.

I think your comment 'Update limit orders without canceling them first' in the suggestion box is a great one. Eliminating the time delay between order actions would remove the exposure risk altogether, as well as the need for a trading system to cope with the error.

Cheers!
Mark


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