Dear Matt,
I noticed the ITM messages of C2 system Emini Express as shown below
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Time (EST) OCA Action Quant Symbol Type Durat Comment
10/02 Likely fill @1022.00 16:04 Sell to open 5 @ESZ9 @ limit 1022.00 DAY OK
10/02 Likely fill @1022.00 16:04 Sell to close 5 @ESZ9 @ limit 1022.00 DAY OK
10/02 Likely fill @1021.25 15:52 Buy to open 5 @ESZ9 @ limit 1021.25 DAY OK
10/02 Likely fill @1020.50 15:52 Buy to close 5 @ESZ9 @ limit 1021.25 DAY OK
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the STO and STC / BTO and BTC limit orders are filled at the same time, and the ITM messages always like this in the past three days. Do you think some thing is incorrect? If you agree, can you make modifications to this problem?
Thanks!
Lyan
There is nothing wrong. It just means the vendor is (for example) reversing from long to short. He does this by almost simultaneously selling 5 to close the long position, and then instantly selling 5 to open the short.
Thank you Matt, I’m confused with the order of the message. The order should be Line 2 -->Line 1, then Line 4 -->Line 3.
Thanks!
No. It is in descending chronological order: most recent up top. Read this way, it makes sense. Perhaps the best thing we could do would be to include seconds in the time stamp.
You are right. I meant was the round trade from open to close. The true sequential order should be the one like you mentionaed:
line 4 --> line 3 --> line 2 --> line 1.
You made a great suggestion to include the second to the time stemps, expecting to see it becomes reality.
Thanks!
Lyan
