I’m new to Collective2 and am beginning to create a system.
Assuming a system with many subscribers places a limit order on a thinly traded stock. It seems highly likely that a couple of subscribers would have their order execute while the majority would be left in the cold. If this were an opening order, I assume it wouldn’t be such a big deal. However, if it’s a closing order, the majority of subscribers would continue to hold the stock (because the limit price is no longer available to everyone).
This seems to be a tricky issue. Has anyone faced this and how did they address it?
Hi Chris,
I’m assuming that you mean a system with many subscribers who are autotrading, because if they are not autotrading it doesn’t matter. Your C2 system will reflect the limit price when it is triggered.
If you have a number of autotrading subscribers, what happens is that when your limit order is triggered, the order will be filled in as many autotrading subscribers’ accounts as possible. In a fast moving market, however, every account will most likely not be filled for the entire order.
What C2 does in that event is convert your limit order to a market order after a few seconds elapse… The price that your C2 system gets for the fill will then be the average price that all of your autotrading subscribers received in their accounts.
Unfortunately, in a fast moving market the average fill price could be fairly significantly different than your limit price and there is no way for you to control that.
Jim
[LINKSYSTEM_61939915]
Hi Chris,
I’m assuming that you mean a system with many subscribers who are autotrading, because if they are not autotrading it doesn’t matter. Your C2 system will reflect the limit price when it is triggered.
If you have a number of autotrading subscribers, what happens is that when your limit order is triggered, the order will be filled in as many autotrading subscribers’ accounts as possible. In a fast moving market, however, every account will most likely not be filled for the entire order.
What C2 does in that event is convert your limit order to a market order after a few seconds elapse… The price that your C2 system gets for the fill will then be the average price that all of your autotrading subscribers received in their accounts.
Unfortunately, in a fast moving market the average fill price could be fairly significantly different than your limit price and there is no way for you to control that.
Jim
[LINKSYSTEM_61939915]
Yes, I meant for subscribing autotraders.
OK, good to hear that it converts to a market order.
I didn’t want to see subscribers missing orders altogether.
Is this limit-to-market process only for closing orders?
If it also applies to opening orders, then it may cause subscribers to get into positions after the price has moved against them according to the system.
Hi, Chris:
The Gen3 AutoTrade synchronization methodology (all autotraders follow all trades, and convert to market orders if there is not sufficient liquidity at the the specified limit price once the price is touched) applies to both entry and exits.
MK
I’m noticing that if a “All-in-one profit target / stop loss” signal API is sent (which is based on a limit order) and it gets converted to a market order that the two child orders get lost and never appear as open orders.
Chris:
I don’t understand your post. The conversion-to-market-order procedure has nothing to do with how C2 processes your orders here on C2. (Or, to say this another way, the procedure only occurs within real-life broker-accounts – not in C2’s hypothetical reckoning of your fills.)
So when you write that “the two child orders get lost and never appear as open orders” - I do not really know what you mean. Perhaps you can give very specific examples, using specific signal ID #s, and describing what you think you are seeing, and where you are seeing it. Then I can try to help more.
When a limit order is correctly entered, as your API document states: "When you create an order with a stop loss and profit target all-in-one, you are creating one parent order (the entry order) and two conditional (children) orders. (The children are the stop loss and profit target.)"
However, when that parent order gets converted into a market order, the two conditional child orders never occur.
A parent order is never converted into a market order on C2.
Thus I do not understand what you mean.
If you have a specific example that you think happened to you, by all means let me know the specific signal ids, etc.
Otherwise, I think we must be talking about different things, because I do not understand what you are asking.