SmartQuant Discussion

Automated Quantitative Strategy Development, SmartQuant Product Discussion and Technical Support Forums
It is currently Wed Dec 13, 2017 2:49 am

All times are UTC + 3 hours




Post new topic Reply to topic  [ 5 posts ] 
Author Message
PostPosted: Thu Jan 12, 2012 8:21 pm 
Offline

Joined: Sun Oct 30, 2011 12:12 am
Posts: 220
Hi,

What happens exactly if a fill is sent by a broker while OQ is disconnected from the execution provider?

For example:
1- OQ sends a limit order which is not immediately filled
2- 1 mn later, the execution provider unexpectedly disconnects (OnDisconnected event called because Internet is down for example)
3- the market moves and the order is filled (while OQ is disconnected)
4- OQ automatically reconnects (OnConnect event called, internet is back up).

In this specific case, OQ is not stopped/restarted so it has all order IDs, etc...

In my case, the execution provider is either IB or Integral.
Do they send fill reports when OQ automatically reconnects?

Thanks!


Top
 Profile  
 
PostPosted: Thu Jan 12, 2012 8:43 pm 
Offline

Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6783
Yes for Integral FIX and no for IB.


Top
 Profile  
 
PostPosted: Sat Jan 14, 2012 2:30 pm 
Offline

Joined: Sun Oct 30, 2011 12:12 am
Posts: 220
Thanks.

Can I expect the same behaviour if OQ has Persistent option ON, it is restarted after disconnection and the strategy is run again?

Regards,
PBJ


Top
 Profile  
 
PostPosted: Mon Jan 16, 2012 11:08 am 
Offline

Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6783
Hi,

existing (in OQ) orders and fills get stored in OQ database (and loaded next time on startup) if you enable persistent option. It has nothing to do with fills existing on a broker server (and missing in OQ) in case OQ gets disconnected from a broker.

FIX protocol / FIX engines normally send missing fills after reconnect. Behavior of API based plugins depends on the broker API implementation.

Regards,
Anton


Top
 Profile  
 
PostPosted: Wed Jan 18, 2012 1:27 am 
Offline

Joined: Sun Oct 30, 2011 12:12 am
Posts: 220
Thanks.

So if persistent mode is ON all orders and their IDs are saved.
So I guess when I reconnect to a FIX based broker and receive fills that happened when the session was down, OQ will change the status of these orders (that were persisted and restored at start) to reflect that, right? Does OnOrderFilled get called then?


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 5 posts ] 

All times are UTC + 3 hours


Who is online

Users browsing this forum: No registered users and 1 guest


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB® Forum Software © phpBB Group