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PostPosted: Fri Feb 23, 2018 11:52 pm 
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Joined: Mon May 02, 2016 5:11 am
Posts: 19
Hello, I am trying to send a pegged buy order from OpenQuant 2014 to QuantRouter. QuantRouter reports an exception of unknown order type. Thanks!


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PostPosted: Sat Feb 24, 2018 8:20 am 
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Joined: Mon May 02, 2016 5:11 am
Posts: 19
Later I tried to use BuyPegged to send a pegged order to IB directly from OpenQuant 2014. I got the following error message.

Wrong Pegged parameters for orderId:0, error:Object reference not set to an instance of an object.
EventManager::OnException Exception occured in EventHandler - Bar [02/23/2018 20:37:00.000 - 02/23/2018 20:38:00.000] Instrument=0 Type=Time Size=60 Open=173.8 High=174.9 Low=171.64 Close=173.83 Volume=233 - System.ApplicationException: Can not send order that has been already sent 0 02/23/2018 20:38:00.001 Undefined Buy
at SmartQuant.OrderManager.Send(Order order)
at SmartQuant.Strategy_.Strategy_.Send(Order order)
at OpenQuant.MyStrategy.OnBar(Bar bar) in c:\Users\Ming\Documents\OpenQuant 2014\Solutions\SMACrossover_\MyStrategy\MyStrategy.cs:line 127
at SmartQuant.Strategy_.Strategy_.u8iRXbItjPF(Bar bar)
at SmartQuant.Strategy_.StrategyManager_.XqUvITeR8d(Bar )
at SmartQuant.EventManager.oFleiioUHB(Event )
at SmartQuant.EventManager.OnEvent(Event e)

Does anybody try BuyPegged or SellPegged successfully in OpenQuant2014 before?


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PostPosted: Tue Feb 27, 2018 11:52 am 
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Joined: Wed May 05, 2010 9:49 pm
Posts: 430
Hello yan_ming,
"Wrong Pegged parameters" means that some of attributes was not filled for this order.

The following fields are required for OrderType.Pegged:
Code:
            order[EFIXField.PegOffsetType] = 0;
            order[EFIXField.PegOffsetValue] = 0.2;


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PostPosted: Tue Feb 27, 2018 11:56 am 
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Joined: Wed May 05, 2010 9:49 pm
Posts: 430
yan_ming wrote:
Hello, I am trying to send a pegged buy order from OpenQuant 2014 to QuantRouter. QuantRouter reports an exception of unknown order type. Thanks!

Currently OpenQuant2014 cannot send pegged orders to QuantRouter.


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