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Stop orders remain overnight in broker
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Stop orders remain overnight in broker

  #1 (permalink)
Elite Member
Barcelona, Spain
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: ES, FDAX, CL
 
Posts: 2 since Aug 2016
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Stop orders remain overnight in broker

Hi all,

I use NT7 and IB as a broker and trade only during RTH with automated strategies, when my strategy uses stop entry orders I have the following problem.

The stop order is sent to broker during RTH, if the stop price is not reached the stop order remains as an active order in the broker even after RTH, with this situation it may happen that the stop price is reached out of RTH and the order is filled (NT is not aware of that), this is incorrect as it is outside RTH but the order was not cancelled by NT.

I have tried with ToTime() function but it doesn't work, NT places the stop order anyway and leaves it in the broker, the correct way of working should be:

- During RTH NT evaluates the strategy and places stop entry orders if necessary.

- If the stop price is not reached when RTH finishes NT must cancel the existing order in the broker.

- The next day when RTH begins NT should re-instate the stop entry order and then continue evaluating the strategy on each bar update as usual.

I hope I made myself clear, am I the only one experiencing this issue?

Thank you.

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,585 since Feb 2013
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That's not "an issue" but it works as supposed.

You initiate an order and you are liable for its cancellation.
E.g.: How could NT or IB know that you are only trading RTH???

The solution:
Depending on the asset the correct order type would imply using order attributes like GTD.

For the correct handling of ~60 different IB order types see https://www.interactivebrokers.com/en/index.php?f=4985 .
(By implication that means you have to adjust your NT triggers accordingly.)

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