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CTS T4 and Brokers
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CTS T4 and Brokers

  #31 (permalink)
Trading Apprentice
California
 
Futures Experience: Intermediate
Platform: Sierra
Favorite Futures: ES
 
Posts: 2 since Dec 2010
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mattz View Post
We have also added CTS, but did not have a chance to post it on our site.

Nice! What is your total entry level cost for a round trip with CTS/Sierra?

Thanks!

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  #32 (permalink)
Elite Member
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I posted some server-side OCO / Sierra information on this thread, as it was most appropriate, but cross posting as it is very relevant here as well:


I thought this thread might be appropriate to post my recent findings.

OCO orders placed in Sierra Chart through CTS are true server-side OCO.

However, you still have to make sure that your initial order that opens the position has been filled to ensure protection. For example, if you have an open position and use Sierra to place an OCO bracket, then you are good to go--server-side OCO. However, imagine you place a buy limit below the market with your attached orders sent along with the order. Well, the bracket orders have not been sent yet, since there is no open position. So, let's say you walk away from the computer before your limit is filled. After you walk away and before the limit is filled, your internet goes down, your power goes out, or some other catastrophe occurs. Well, you now have a limit order in the market, unprotected, and if you are filled you have a naked position.

Using CTS's interface, you can easily attach an "AutoOCO" to a stop, limit, stop-limit, and probably other types (which I have not yet tested). This order actually contains the OCO instructions, so that in this case if you leave the computer with the aforementioned limit order in place, this time using CTS to attach an AutoOCO, then you are covered in the event of a local failure, as the limit/stop/etc contains the OCO.

I asked Sierra tonight if they could implement attached orders through CTS such that the AutoOCO type was implemented, and the answer was that they had talked with CTS about this and due to technical reasons, they could not. This is disappointing, and for me kind of defeats the purpose of using Sierra for native OCOs through CTS, if the attached orders are not with the original order.

Am I being too demanding here? I mean, IB, CTS, and I guess OEC (from what I read above) are the only ones I know of (there may be others) that provide server-side OCO to begin with. But think about it for a minute--isn't it kind of crazy to trade any kind of leveraged instrument without this? Somehow I get the impression that professionals who trade real size of any kind (okay, "real size" makes me think 50-100 ES contracts for example) are backed up by super redundant internet, power, and other measures to ensure that they do NOT lose money because of a failure. My guess is that they might also use server-side orders as well, but hey, I'm not sure. If the question is, "can't you just call your broker?" the answer is of course yes, but isn't this just another level that can fail more easily than the servers at the broker/exchange?

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  #33 (permalink)
Market Wizard
Boca Raton
 
Futures Experience: Advanced
Platform: Variety
Broker/Data: Optimus Futures, LLC
Favorite Futures: Futures
 
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josh View Post
..........

I asked Sierra tonight if they could implement attached orders through CTS such that the AutoOCO type was implemented, and the answer was that they had talked with CTS about this and due to technical reasons, they could not. This is disappointing, and for me kind of defeats the purpose of using Sierra for native OCOs through CTS, if the attached orders are not with the original order.

Am I being too demanding here? I.........

Josh, I think there are implications that you might not be aware of.
First, did you think what "they could not" means? I personally think that they did not want to.
CTS and Sierra are competitors after all, and why would CTS give up a feature that is available
to them exclusively? I could be wrong but I am seeing that SOME of those that provide feed and platform (CTS, Rithmic) don't release the server side OCO via their API. Server Side OCO via a platform is a competitive edge.

Secondly, there could be legal implications as far as server side OCOs between feed and platforms.
The worst case scenario is where you submit a server side OCO and it never gets submitted...Anything can happen.
Who's fault? The platform? the feed? Does the company that provide the server side OCO trust the platform to deliver it's technology in the right manner? Just giving you potential points based on many years of experience. Implications at stake are beyond what some of us could think of.

Here is something to ponder: Why doesn't the exchange take OCO orders? exchange accepted OCO orders with ticket #s?
wow, what a refreshing thought

Back in the day my floor brokers used to take OCO on a non held basis, never the less, I found most to be reliable and did cancel the other side of the trade. In this day and age where the CME building a mammoth of a data center in Aurora worth hundreds of millions, could they not implement CME server side OCOs? They don't! and for a reason.
Even the CME does not want to take responsibility for this. OCO orders still rely on servers sending a cancel order, and rapid price movements could be so volatile that there isn't enough time to cancel the other side of the trade(flash crash). Essentially, you will still remain with a position in the market. This leads me to believe that you can never just leave your positions whether you have a server side OCO or not.

I have learned that in this business you choose your battles and you choose your partners.
In the end you your choice is never perfect but you could live it without compromising your integrity as a trader. You have made enough observations to decide what is right for you...your posts are comprehensive and do provide insight as to what is ideal, but as you see everything is still work in progress.

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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  #34 (permalink)
Trading Apprentice
Helsinki Finland
 
Futures Experience: Beginner
Platform: evaluating various
Favorite Futures: Currency Futures
 
Posts: 7 since Jul 2012
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mattz View Post
OCO orders still rely on servers sending a cancel order, and rapid price movements could be so volatile that there isn't enough time to cancel the other side of the trade(flash crash).

Could you elaborate on this? I'm new to server side OCO and would like to know more about their scope (single instrument or any in the exchange/market). If their server side implementation details / lack of vary a lot between exchanges that could explain the lacking support.

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  #35 (permalink)
Market Wizard
Boca Raton
 
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avfx View Post
Could you elaborate on this? I'm new to server side OCO and would like to know more about their scope (single instrument or any in the exchange/market). If their server side implementation details / lack of vary a lot between exchanges that could explain the lacking support.

Certainly, and I will use an example this time to illustrate. if let's say you trade oil and you use a 3 tick stop and a 3 tick profit (just exaggerated for illustration), there could be theoretically a situation where both get triggered in an extreme price move and so yo are still left with a position. This applies to all instruments.

Essentially, in an OCO one side needs to get filled before a signal sent from your local machine or a server to cancel the other order. Naturally, speed of execution and connectivity are essential in such instances. According the variables present here such as the distance between stop and target, your net connectivity, etc you have to decide if you want to do on a server or rely on a local machine. The CME does not accept OCO natively, so we have to take that as a given.

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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  #36 (permalink)
Trading Apprentice
Helsinki Finland
 
Futures Experience: Beginner
Platform: evaluating various
Favorite Futures: Currency Futures
 
Posts: 7 since Jul 2012
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mattz View Post
Certainly, and I will use an example this time to illustrate. if let's say you trade oil and you use a 3 tick stop and a 3 tick profit (just exaggerated for illustration), there could be theoretically a situation where both get triggered in an extreme price move and so yo are still left with a position. This applies to all instruments.

Essentially, in an OCO one side needs to get filled before a signal sent from your local machine or a server to cancel the other order. Naturally, speed of execution and connectivity are essential in such instances. According the variables present here such as the distance between stop and target, your net connectivity, etc you have to decide if you want to do on a server or rely on a local machine. The CME does not accept OCO natively, so we have to take that as a given.

By "server side" I understood you meant that both sides are sent to the exchange server as OCO and you'd avoid this issue... ? But it sounds like you're describing OCO that's emulated/simulated as some call them, by having a computer outside the exchange trying to do the cancellations in time.

Now that's as much as I know about this, if you have examples of exchange-executed OCO's acting in unexpected manners, that'd be interesting. I'd be interested in whether CTS T4's API trading support exchange-executed OCO for theICE (intercontinentalexchange) assuming ICE supports those natively, and what about CQG and could support be had for SierraCharts for such OCO's in ICE somehow.

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  #37 (permalink)
Elite Member
Georgia, US
 
Futures Experience: None
Platform: Various
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avfx View Post
By "server side" I understood you meant that both sides are sent to the exchange server as OCO and you'd avoid this issue... ? But it sounds like you're describing OCO that's emulated/simulated as some call them, by having a computer outside the exchange trying to do the cancellations in time.

Now that's as much as I know about this, if you have examples of exchange-executed OCO's acting in unexpected manners, that'd be interesting. I'd be interested in whether CTS T4's API trading support exchange-executed OCO for theICE (intercontinentalexchange) assuming ICE supports those natively, and what about CQG and could support be had for SierraCharts for such OCO's in ICE somehow.

The CME does not support an OCO order type, neither does the ICE (I looked at their rules and could not find it), and neither do most exchanges (also checked the Tokyo and Australian stock exchanges), though I'm sure some exchanges in the world, out of the thousands that exist, would support it.

Thus, a simulation of a "true" OCO must be simulated outside an exchange, if that exchange does not have a native OCO order type. The simulation is simple: there are two orders at the exchange, and when one order fills, the broker (if it's a broker server-side OCO as Rithmic, CTS, IB, etc. have) cancels the other one, or if it's local on the PC, the software (NT, Sierra, or any other software) cancels it. This is not an atomic operation--in other words, it is possible that one order gets filled, and then before the other one is cancelled, something else happens, like the second order being filled. The advantage of a server-side OCO is that it is assumed that the Internet connectivity and general machine reliability of the broker's servers is far higher than that of someone's local PC. However, even if the broker supports an OCO on their servers, it is still a simulation, because one of the orders still must be cancelled. It is easy to see why an exchange does not support an OCO type; I'm not even sure how it would be implemented efficiently. Things could get hairy very quick, and I'm sure that to avoid all race conditions, the locking required would slow things down greatly.

Thus, Matt's example is a good one, as a volatile instrument like crude oil can very possibly see two orders 6 ticks apart filled before even the broker can cancel the other order once the first is filled. Think about how thin the book gets at EIA inventory time, and it's a very possible scenario. The farther apart the two orders are, the less the likelihood that the second order is filled before it can be cancelled. But the point is that it can happen, particularly with close orders in a fast market, because most exchanges do not have any concept of an OCO order type.


Last edited by josh; September 16th, 2012 at 12:03 PM.
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  #38 (permalink)
Elite Member
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hi

I'm looking for a broker w CTS T4 but I need 24h Trade Desk /for Eurex /

Could anybody point at some variants of brokers?

thanx

Scientia Libertas Prosperitas
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  #39 (permalink)
Elite Member
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Futures Experience: Advanced
Platform: TT
Broker/Data: Advantage Futures
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slickiam View Post
hi

I'm looking for a broker w CTS T4 but I need 24h Trade Desk /for Eurex /

Could anybody point at some variants of brokers?

thanx

AdvantageFutures offers Eurex with CTS and has a 24h Execution Desk: Broker-Assisted Execution, Unmatched Clearing Services | Advantage Futures

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  #40 (permalink)
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slickiam View Post
hi

I'm looking for a broker w CTS T4 but I need 24h Trade Desk /for Eurex /

Could anybody point at some variants of brokers?

thanx

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