Stop entry in live rejected

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05/22/2018 at 10:03 AM #71082 quote

Dymjohn
Participant

Senior

Hi

Yesterday, I had two separate strategies fall over with the description “Rejected: Order level too close to market”. The formulas used for these two strategies was

BuyPrice = High[0]+1.1*pointsize -5min

and the second

BuyPrice – High[0]+2*pointsize – 4Hr

They were both on the Dax in normal trading hours.

Can you help, is this a coding or system problem?

regards

Dymjohn

05/22/2018 at 10:04 AM #71083 quote

Nicolas
Keymaster

Master

The minimal stop distance with DAX is 5 points, if I remember correctly.

05/22/2018 at 11:15 AM #71088 quote

Eric
Participant

Master

whit monday

http://www.xetra.com/xetra-en/newsroom/trading-calendar

05/22/2018 at 4:05 PM #71114 quote

Dymjohn
Participant

Senior

This was a “stop entry” not a “stop loss” order so would have thought would have gone through possibly at an inferior price?

05/22/2018 at 4:09 PM #71115 quote

Dymjohn
Participant

Senior

Thanks Eric

05/22/2018 at 4:14 PM #71118 quote

Nicolas
Keymaster

Master

Even with a “stop entry”, you must place your order at a minimal distance away from current Close, otherwise your orders will be rejected.

05/23/2018 at 8:10 AM #71139 quote
Vonasi
Moderator

Master
Just use MAX to ensure you are never too close:
```
MinStopDistance = 5

StopLoss = MAX(MinStopDistance, Your calculated stoploss distance)
```
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Stop entry in live rejected

ProOrder: Automated Strategies & Backtesting

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Dymjohn @dymjohn Participant

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This topic contains 6 replies,
has 4 voices, and was last updated by Vonasi
7 years, 9 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	05/22/2018
Status:	Active
Attachments:	No files

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