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STOP LIMIT IOC - Valid sequences?
http://www.smartquant.com/forums/viewtopic.php?f=44&t=8416
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Author:  NtireTech [ Wed Sep 29, 2010 10:02 am ]
Post subject:  STOP LIMIT IOC - Valid sequences?

Hi Folks,

We have the following issue on our hands. A STOP LIMIT order is sent as an IOC and with QTY 600, the broker sends us the following messages in sequence.

Partial Fill -> 100
Partial Fill -> 100
Partial Fill -> 100
Cancel ->300

On the OQ Order Manager GUI, I can see the order filled completely which is wrong. On the OQ to Broker middleware logs I can see three partial fills thus three separate partial fills triggering EmitFilled followed by a cancel triggering an EmitCancelled.

Either something is wrong in my middleware or OQ's perception of IOC orders. Can somebody think if this has got something to with the IOC order type because this sequence of events works fine with all other order types.

Thanks

Author:  Alexei Kurov [ Wed Sep 29, 2010 11:13 am ]
Post subject:  Re: STOP LIMIT IOC - Valid sequences?

Hi,

Quote:
On the OQ Order Manager GUI, I can see the order filled completely which is wrong.

Could you post screenshot of OrderManager window with order's reports?

Regards,
Alex

Author:  NtireTech [ Wed Sep 29, 2010 2:54 pm ]
Post subject:  Re: STOP LIMIT IOC - Valid sequences?

Attaching. Let me know if anything else is needed.

Thanks

Attachments:
File comment: This shows the order correctly in broker's blotter app.
SNDK_Broker.PNG
SNDK_Broker.PNG [ 9.54 KiB | Viewed 3829 times ]
File comment: This shows the order in OQ Order Manager
SNDK_OQ.PNG
SNDK_OQ.PNG [ 129.43 KiB | Viewed 3829 times ]

Author:  Alexei Kurov [ Wed Sep 29, 2010 3:16 pm ]
Post subject:  Re: STOP LIMIT IOC - Valid sequences?

Hi,

I'm not sure that I see the same order on the screenshots - datetimes and fill prices are different. Btw, what execution provider do you use?

Regards,
Alex

Author:  NtireTech [ Wed Sep 29, 2010 4:03 pm ]
Post subject:  Re: STOP LIMIT IOC - Valid sequences?

Well, I see your point but both the orders are likely same, as we checked from our OQ Interface logs using the orderid (order was sent at 14:52 but the Broker screen shows wrong time). We are using our own execution provider, Avatar Engines.

Information | 9/27/2010 | 14:52:41.7187500 | Before Send Order Parameters: OrderSide : B , OrderQuantity : 600 , OrderSymbol : SNDK , OrderID : 634211959617189965 , OrderType : StopLimit , StopPrice : 41.28 , LimitPrice : 41.29 , TIF : IOC | Called by Method:Send

As far as I can think now, this seems to be a glitch in OQ order manager, because we scrutinized the logs and looks like the strategy handled the partial fills followed by a cancel correctly. But the QTY on UI is confusing.

Thanks

Author:  Alexei Kurov [ Wed Sep 29, 2010 5:10 pm ]
Post subject:  Re: STOP LIMIT IOC - Valid sequences?

I still have doubts that there is the same order, because:
1. I see different execution prices (41.29 broker price and 41.21 AvgPx of OQ order)
2. OQ order has one fill (for 600) only and Filled final status.
there should be 4 reports:
PartiallyFilled 100
PartiallyFilled 100
PartiallyFilled 100
Cancelled as final state of the order

but, from the screenshot, I see that OrderManager has received one execution report with price=41.21 and qty=600 (LastPx and LastQty fields)

Author:  NtireTech [ Wed Sep 29, 2010 6:18 pm ]
Post subject:  Re: STOP LIMIT IOC - Valid sequences?

Well yea thats the problem that there should be four reports :). As for the prices I think they get jumbled up because of the problem.
Either way thanks for the thoughts, we are inspecting it at our execution provider and if it happens again, I'll make sure to include as much details from our logs as possible.

Thanks

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