Rejection due to widened spread

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  • 02/27/2019 at 1:13 PM #92461 quote
    MacroT
    Participant
    Average

    I run an automated strat that often kicks out and rejects orders as the spread of the instrument I am trading widens or if the order level is too close to market.

    Usually for Hang Seng where the  PRT rejection message is ‘Order level is too close to current market. The minimum distance for this market is 100.’

    Note this only kicks out when IG increase their minimum distance from the normal intraday level, all other times the code works.

    Is there a piece of script I can input that looks for such rejections  and then submits the order that complies with the min distance and hence will not be rejected by IG?

     

    Thanks

    02/27/2019 at 1:31 PM #92463 quote
    Nicolas
    Keymaster
    Master

    There is no way to get the stop distance from broker with code and/or if the order you set has been correctly sent to market or not due to this problem.

    An usual way here in forums, to know the spread distance in real time, is to use time of the day.

    02/27/2019 at 1:44 PM #92466 quote
    GraHal
    Participant
    Master
    MacroT wrote:

    IG increase their minimum distance from the normal intraday level,

    I have a few times checked what the Order / Trade would have done had it not been rejected (due to < min distance) and more often than not I have been pleased it was rejected else it would have been a loser! 🙂

    My scenarios above were on low TF (5 min to 1 hour); maybe on > 4H it may not work out as I found?

    Pick 3 of your rejects and let us know what you find … just for the record, might be useful?

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Rejection due to widened spread


ProOrder: Automated Strategies & Backtesting

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MacroT @macrot Participant
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This topic contains 2 replies,
has 3 voices, and was last updated by GraHal
7 years ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/27/2019
Status: Active
Attachments: No files
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