Hello Matthew,
Since its inception I have been autotrading my system Cassiopeia with an OEC account and I have been able to monitor closely the behaviour of autotrading at C2 knowning both sides’ timings: as signal provider and autotraded party.
Now, I have observed that the conversion from a limit order to a market order when C2 detects that the limit price has just been touched is rather slow.
I have nothing against the conversion in itself which I realise that is necessary to keep autotraded accounts in sync with what C2 believe to be happening.
However I have realised that sometimes it take several minutes for such a conversion to occur and be executed and in that time the price moves significantly. If the conversion were nearly instantaneous then the slippage could be minimised.
I wonder why that happens and whether there is no way to improve C2’s autotrading performance in this respect. I guess that there are technical limitations but which are they and why do they cause such lengthy effects?
Thank you for your time and for your plattform. It is great!
Hi Jose,
There should be no delay for open orders. Please send me a few SignalIDs + System Name so we can look into it more closely.
BTW If you do not have an open order when C2 fills then PositionSync will need to kick in to sync your account and in this case a few minutes is not unseasonable.
Francis
Hi Francis,
I am not sure whether I understand you right. The situation I described above (the long delays) occurs specially often with limit orders to close an open position.
I will need a specific signal and system to be able to research an example.
Francis
Hi Francis,
the system is Cassiopeia (31126530).
Try please with the following two signals:
32141585 STC 1 BDM8 @ LMT 114.92 GTC 5/9/08 3:16 5/9/08 3:26 114.86
32183772 BTC 1 BDM8 @ LMT 114.96 GTC 5/12/08 10:13 5/12/08 10:37 114.99
These however maybe not the best examples as I have had significantly longer lasting conversions to market orders after the limit price was touched than in these two cases.
Right now however I am not sure of any other good past days’ example.
Hope this helps.
Jose,
Both were backfills. You can detected backfills when you see an execution time with zero seconds (e.g. 3:26:00). You mentioned you saw this often, and if so that’s not normal. Please notify us here the next time it happens so Matthew can look into it.
Here is an explanation that Matthew typed almost two years ago:
"There are literally thousands of pending limit orders in C2’s database. Since C2 isn’t an exchange, it needs to check whether each limit order has been filled at the real exchange, in turn. We use lots of “smart” algorithms to help with the scheduling, and we do devote a lot of CPU resources to making sure C2 learns about fills in a timely fashion.
The reason for this is that when C2’s servers are busy, they often “backfill” a limit or stop fill. That is, it might be 10:38 am when we figure out that a limit was filled at 10:37 am. No matter how smart our scheduling algorithms are, there will be times when C2 is late to figure out that a limit order has been hit. In other words, let’s say C2 is 60 seconds late to figure out that a limit has been hit… that delay is added to the time it takes for the trading server to be informed of a fill and thus convert to a market order. "
Hello Francis,
please have a look at the following signal of the Cassiopeia system:
32241738 BTC 1 BDM8 @ LMT 113.28 GTC 5/15/08 2:45 5/15/08 2:47 113.38
This is an excellent example of what I mean, namely:
a) according to the OEC chart, the limit price 113.28 was reached in the bar of 02:47. The limit price order had been previous set with the openning of the position in the bar of 02:44.
b) the execution as a market order in my autotraded account took place in the bar of 02:55 !!
I believe that 8 minutes to implement the conversion from limit to market after the price was touched is simply too long. Furthermore, I believe that two in the morning US East Time is not exactly rush hour for C2’s servers, is it?
I hope you can find something about it. Thank you very much in advance.
[LINKSYSTEM_31126530]
Jose:
You are absolutely right. This should have been filled right away. Francis and I are exchanging some info and we will try to get to the bottom of this asap. When we have an answer we’ll let you know.
Hello,
any news?
Sorry, yes. We think we found the source of the bug and fixed it. It was an unusual case in which closing orders were not submitted in a timely way. We believe it is now solved.
