Have an interesting one.
If I am trading the same symbol in multiple strategies. Orders, placed, trade is live.
But, If multiple limit orders to exit both positions are attempted (on Tradestation in my case) I am trying to place multiple limit orders on the same symbol which means one of the limit orders will reject.
Thoughts on how to work through this?
Ways I have come up with;
Manually manage one of the two orders waiting until the one fills.
Use the setting in portfolio sync to always set exit order qty to full position qty, but this has its own issues of exiting early or late meaning if the limit prices are not the same it won't exit.
the answer I dont want is to NOT trade a symbol in both strategies.
Would love some input on this one.
If I am trading the same symbol in multiple strategies. Orders, placed, trade is live.
But, If multiple limit orders to exit both positions are attempted (on Tradestation in my case) I am trying to place multiple limit orders on the same symbol which means one of the limit orders will reject.
Thoughts on how to work through this?
Ways I have come up with;
Manually manage one of the two orders waiting until the one fills.
Use the setting in portfolio sync to always set exit order qty to full position qty, but this has its own issues of exiting early or late meaning if the limit prices are not the same it won't exit.
the answer I dont want is to NOT trade a symbol in both strategies.
Would love some input on this one.
Rename
Use different accounts for strategies that might overlap? This will get crazy when you have a lot of strategies.
Why one of the limit orders get rejected if you submit two or more exit orders on the same ticker?
Why one of the limit orders get rejected if you submit two or more exit orders on the same ticker?
Yes different accounts would wok, just a mess to manage capital that way.
you can't have two sitting orders with the broker.
you can't have two sitting orders with the broker.
I just tried on IB and I was able to have two active limit sell orders for the same ticker.
I had a case where I had two MOO orders from t wo different strategies and a sell order (or stop order, I'm not sure now) for the same ticker that I submitted after market. One of the MOO orders was canceled with errors "Order Canceled - reason:Order would cross related resting order". It did not fail when I submitted them but after market open. I'm still not quite clear under which cases this get triggered.
I had a case where I had two MOO orders from t wo different strategies and a sell order (or stop order, I'm not sure now) for the same ticker that I submitted after market. One of the MOO orders was canceled with errors "Order Canceled - reason:Order would cross related resting order". It did not fail when I submitted them but after market open. I'm still not quite clear under which cases this get triggered.
@rainfield
Next time this happens for me I need to try to add a manual limit order for the difference between shares open and current limit order active.
What I am seeing is the second limit order was for more than the difference of (open shares-resting order)
That might be the reason I saw what I did.
Next time this happens for me I need to try to add a manual limit order for the difference between shares open and current limit order active.
What I am seeing is the second limit order was for more than the difference of (open shares-resting order)
That might be the reason I saw what I did.
QUOTE:It's not clear to me which of those settings you're using.
Use the setting in portfolio sync to always set exit order qty to full position qty, but this has its own issues of exiting early or late meaning if the limit prices are not the same it won't exit.
Taking that back.
- Assigning Transaction.Quantity is generally used to override Position Sizing for the entry order. (You can also assign t.Quantity for the exit order, but that's usually done only to split a backtest Position.)
- Portfolio Sync "Exit Order" preferences are applied to exit orders Staged or Placed placed by a strategy.
- An order placed manually from the Order Manager will not be sync'd - it will use the shares you specify, always.
To prevent an "oversell" you can't sync to the Full position quantity, otherwise both orders would sync to the full size. In a cash account, one of orders would be rejected. It would be safe, however, to use the "Reduce size.." preference.
When trading live, the easiest solution for you is to use Fixed Share sizing for both strategies (with the "Full Quantity" Portfolio Sync preference disabled). Assuming % of Equity sizing, you'd just look at the account value, multiply by the % size, and save that fixed size for the strategies in your workspace, say once each week.
Example:
For an account Value: $100K and % of Equity Size: 8%, you'd use $8,000 Fixed Size. Another strategy could have it's own fixed size, say $5,000, and each strategy will work only with the shares it trades.
@cone based on what you wrote my issue is a combo of rounding, using percent of for calculating trades, and using the amount value.
Makes sense to me.
Your right kicking to a fixed size would solve the issue.
Makes sense to me.
Your right kicking to a fixed size would solve the issue.
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