Auto trading ES and fill price change

The system had 2 ticks of negative slippage on 2 different trades today, both on profit targets. I suspect this is due to collective2’s policy of converting limit orders to market orders if not filled within a few seconds of hitting the target.

A question for those that have experience using the autotrade function with c2 for this market, is this common?

thanks in advance.

For attention of C2 admin

When inputting a trade exit using the "profit target" facility in the order ticket, is it possible to force the system to not convert to market orders.

I do not want my trades to exit with market orders, but it appears this is what c2 is doing when subs use the autotrade facility.

Thanks in advance

The short answer is "No."

Here is a longer answer, which I have copied from a forum post I made a year or so ago:

The nature of how C2 works is that you are effectively issuing automated trading advice across multiple accounts, and multiple brokers. If you trade illiquid instruments, or - more generally - instruments whose liquidity is less than the volume of trades placed by your subscribers, then you’ll be faced with this issue: you’ll often find yourself in a circumstance where some of your traders are filled, and others aren’t. C2 insists that all subscribers be filled and stay in sync with your system. That’s our solution to the problem of non-market-clearing limits.

If you think about it, you’ll see that the same problem, but disguised, would happen if you managed a single large hedge fund. You’d issue an order to enter or exit at a limit price, and then you’d encounter a case where you couldn’t buy or sell the full quantity you wanted to buy or sell. So you’d have a choice to make: Trade the rest at the market? Wait for the limit price to be hit? Well, maybe you would wait – but of course there’s always a chance the price would move further away from your limit, not closer. And that stub portion of unfilled (or adversely filled) quantity would be averaged across all customer accounts.

C2’s algorithm is this: When the limit price is hit – anywhere in the world – make sure that all traders get filled, even at market if necessary. This keeps everyone in sync with the system, which is really what people are paying for, ultimately. Then C2 will adjust your performance stats to reflect the VWAP of the actual fills received across all real life accounts.

It’s not a perfect solution, but it’s a reasonable one considering the trade-offs, and it’s the algorithm we’ve settled on after many long years of trial and error. What it means is that, as you gain more subscribers, if you trade illiquid instruments, your actual performance (and the performance as portrayed on your C2 track record) will not be as good as the limit prices you desire to hit. If you stick to more liquid instruments, or have fewer subscribers, the effects will be less noticeable.