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Eurex cancellation of stop orders below market price
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Eurex cancellation of stop orders below market price

  #1 (permalink)
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Eurex cancellation of stop orders below market price

I am new to trading Eurex and facing an issue of stop orders getting cancelled which work fine on other exchanges.

e.g
a. Mkt Px for FGBL @ 144.00
b. Buy Stop sent @ 143.9 (10 ticks below market px sent through multicharts to broker IB)
c. Order gets repeatedly cancelled.

The customer support at IB just mentioned that buy stops are mean't to be placed only above the market price but I find it strange as this works fine on other exchanges where the order is just converted to a market order.

a. Thus is this an exchange regulation on stop orders to prevent price spikes?
b. Would also sending a limit order e.g 10 ticks above the current price be also rejected?

Appreciate any input and thanks in advance.

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  #3 (permalink)
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Check the EUREX rules

Answer
This post has been selected as an answer to the original posters question Answer


If you check the rules of EUREX you will find:

"When a stop order is entered, then the stop price of the stop order is validated against the current
market prices. Only buy stop orders the stop price of which is greater than the Best Available Buy
Price, and sell stop orders the stop price of which is smaller than the Best Available Sell Price, are
accepted and saved as stop orders on the order book."


and

"Currently, Eurex and EEX always reject stop orders, which fail the entry validation of the stop price
against current market prices. This applies to all products where stop orders are supported."


For details see http://www.eurexchange.com/blob/exchange-en/467142/488108/2/data/eurex_functional_reference_v110.pdf , Chapter 4.3, page 30 ff

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Thank you fat tails for the detailed reply and the time taken to pointing me to the exact reference on the exact page for this. Will now be looking to modify my orders to workaround this. Very much appreciated.

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Ming80 View Post
Thank you fat tails for the detailed reply and the time taken to pointing me to the exact reference on the exact page for this. Will now be looking to modify my orders to workaround this. Very much appreciated.

Hi Ming80 - Did you get suitable code in place to resolve your issue with order rejection? I am facing the same issue on the EUREX with rejected orders and the same error code.

The buy order code I am using that leads to my orders are being rejected is below;
 
Code
Buy ( "LE" ) next bar at market
Could you share the buy order code that you implemented in order to prevent orders being rejected?

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Hi mrticks,

hmm ... I may be wrong but what I recall was stop orders needed to be based on the best available buy price in the order book for longs and vice versa for shorts. There also might be constraints due to # of contracts as well as deviation from the last reference price. However, in your code since it is a straight forward market order i'm not sure which conditions have invalidated it.

Perhaps someone more experienced could chime in on this.

In the meantime you could try these several workarounds to see if they work since they are close to the last reference price but more importantly check how they would impact the profitability of your system if time urgent or slippage critical.

1) If Close > (definte whatever Condition1) then buy next bar on Open;
2) Buy next bar at Close[1] Limit;

Hope this helps.

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  #7 (permalink)
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Ming80 View Post
Hi mrticks,

hmm ... I may be wrong but what I recall was stop orders needed to be based on the best available buy price in the order book for longs and vice versa for shorts. There also might be constraints due to # of contracts as well as deviation from the last reference price. However, in your code since it is a straight forward market order i'm not sure which conditions have invalidated it.

Perhaps someone more experienced could chime in on this.

In the meantime you could try these several workarounds to see if they work since they are close to the last reference price but more importantly check how they would impact the profitability of your system if time urgent or slippage critical.

1) If Close > (definte whatever Condition1) then buy next bar on Open;
2) Buy next bar at Close[1] Limit;

Hope this helps.

Hi Ming80,

Many thanks for your reply.

I will test out both of those order types tomorrow when the EUREX opens again and see how it goes.

I have the following 4 order types to test out on a live feed tomorrow;
Buy ( "LE" ) next bar at close stop ;
Buy ( "SE" ) next bar open stop ;
Buy ( "LE" ) next bar at Close[1] Limit;
Buy ( "LE" ) next bar on Open;

Back testing shows the limit order to be marginally better but with less trades getting filled. I will see how it fares on a real live market feed though.

Thanks again for your suggestions, appreciate it.

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