- ago
Strategy Evolver produces two short covers , as in pic example. The strategy is run on 5-min bars at Interactive Brokers. This results in 2 Limit Buy transactions. Typically one gets executed, the other remains open with potentially miss-matched positions with the executed strategy.
I have tried portfolio sync (adjusting size to full position and reducing to match position) without success. Any help on how can the 2 transactions in IB be limited to 1?

Thank you


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Cone7
- ago
#1
There isn't a special order type that will handle that situation, however, we're discussing the possibility of having Wealth-Lab automatically cancel the other leg when the other is fully filled.

It's similar functionality that I was thinking about recently for even Stop/Limit pairs. Normally, you can use OCO for those exits, but brokers don't support "moving" the bracket values - if your strategy does that. Having Wealth-Lab cancel other leg(s) automatically would help that case too.

We'll need a feature request for this!
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- ago
#2
Sounds like a good solution - thank you, look forward to the fix
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Cone7
- ago
#3
It's actually somewhat complicated given the sync options, if the broker allows for "overfill" orders, if the position at the broker belongs to more than once strategy, what the intended exit strategy is, and maybe 6 more things we haven't though of yet!
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- ago
#4
Yes, the hard part is that someone may legitimately want to have two exit orders going at once, so blanketly canceling won't work. I think we can safely do it from within a Building Block strategy but we need to add some logic so the exits can be properly paired with the entries internally so that only the correct open exit orders are canceled when one exit order is filled.
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- ago
#5
Please keep in mind this situation is generated by strategy evolver - and hence the solution should hopefully resolve this issue when running SE
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- ago
#6
The Evolver generated the Strategy, sure, but it's not an Evolver issue. You could run into the same issue while creating your own BB Strategy. It's been resolved for Build 6, once one of the exits fills, the other exits will automatically get canceled.
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- ago
#7
Fantastic - thank you
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Cone7
- ago
#8
Follow up -
We expect the behavior to change in build 7 again. Instead, the Order Mgr will submit only the closest order (the lowest price cover) if the order can fill the entire position in the account.
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