Corrupted trades at night on C2

C2
1

Last evening, two mysteries occurred regarding two trades placed on C2:

  1. A limit order was executed and filled at a price ABOVE the limit and at a time when the market was trading above the limit.

  2. Another order placed (market) did not execute in all sub accounts particularly those with IB accounts. One sub alerted me that apparently there is some type of “block” between IB and C2 during certain nighttime hours.

I am a newbie to C2. Could someone at C2 or perhaps other more experienced developers bring me up to speed on what may be happening? I mostly concerned about subs getting hurt by this since I, as the developer, didn’t even know this was happening until one sub who was “stuck” in a falling market and another was being put into a position that wasn’t intended alerted me.

BTW - I am not complaining. Just want to understand. So far, C2 has been a blast!

2
  1. Without knowing the exact details, I will surmise that what happened is that you issued a limit order that was not immediately market-clearing (the price you set did not “trade through”). When a limit price is “just-touched,” C2 will convert all of your “unlucky” subscribers (those who did not get the beneficial fill) to a market order. This is necessary to keep all of your subscribers in sync. Later, C2 adjusts your public track record to reflect the actual volume-weighted average fills received by your real-life subscribers. This is why your track record price can be higher than your limit: C2 actually shows real-life performance, and in some cases this includes converted-to-market subscribers.

(As an aside: You can change how just-touched market orders are handled. By default, C2 will convert-to-market when a limit order is just-touched anywhere in the market. If you prefer, you can tell C2 to instead only convert-to-market when one of your subscribers gets filled (as opposed to someone in the market who is not your follower). Go to your EDIT SYSTEM settings to control this. Understand this means that, in some cases, a limit order that gets touched somewhere else in the world (but not among your subscribers) will just sit there, unfilled on C2, for some period, if the market price does not cross through your limit and none of your subscribers get a fill. Of course, by definition, if the price trades through your limit, then all your subscribers’ limit orders will be filled.)

  1. Interactive Brokers initiates a shut down period every night between midnight and 1AM ET. During that time, trades will be held on the C2 server. All positions / working orders will be automatically synced when the shutdown period is over. (Sync trades may not individually appear on your systems Real-life AutoTrade Fills drill-down report.) While you can certainly continue trading during this period (since positions will be automatically re-synchronized at the end of the shutdown period) you might want to consider holding off during the shutdown window.
3

Extremely helpful, Matthew. Thank you! You guys are doing a terrific job!

4

Matthew, one follow up question.

The limit order I placed was for ES at 2724. It filled at 2726.25 on C2 AND in one subs account for the same price (not an IB account).

Under the “touch” arrangement, could an order on C2 still be filled at a higher price than the limit price? (I have a live screen that never showed ANY trades at or near 2724)
Also, when a limit order occurs in C2, is that transmitted as a market order to a subs autotrade?

Thanks for educating me.

5

Hello,

I sent you the answer from our HelpDesk system, I hope this clarifies how our “AutoTrade Fill Algorithm - Limit Orders” (https://support.collective2.com/hc/en-us/articles/219922108-AutoTrade-Fill-Algorithm-Convert-limit-order-only-when-AutoTraders-fill) is working, based on your settings.