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This has been one of my favorite "issues" regarding auto-trading......
handling multiple orders for the same issue/symbol.
In other words, One-Cancels-Other (OCO) orders.
Without this capability, as you discovered, auto-trading becomes
"semi-automated".
The way Tradestation Technologies SHOULD have handled this was to add a
"flag" to the exchange table to indicate whether or not the specific
exchange of the issue/symbol could accomodate OCO orders.
That flag would then determine what set of API calls to the specific trading
platform would need to be made to support this capability. Non-OCO supported
exchanges would force an additional "cancel order" call to be made when the
matched stop or limit is hit.
As you can see, if the exchange order entry API cannot support OCO, then the
layer of software above that API (TS6 in this case) SHOULD HANDLE IT.
Since Easy Language does not support a "Cancel" order statement, you are
effectively hosed....
as that would be the "workaround" required...and of course, causing some
extra coding....but at least this would eliminate a manual order placement.
> -----Original Message-----
> From: Jim Bronke [mailto:jvbronke@xxxxxxx]
> Sent: Saturday, May 18, 2002 11:29 AM
> To: Volker Knapp; Mark Brown; omega-list@xxxxxxxxxx
> Subject: Re: Auto Trading
>
>
> With TS6 there is te option of having Confirmation ON or OFF. A
> confirmation
> box coming up when your criteria have been met, autoexecution when it is
> not. In any Autoexecution program I feel that the more critical concern is
> on exits. If my program just says Buy it is left up to me to
> decide whether
> to consult me first before the execution. However, on exits it needs to be
> defined how multiple exits are handled. I have transitioned from using ATR
> exits to using both an ATR exit and a profit target. The TS6 platform does
> fairly well alerting you if your exit criteria are met even with multiple
> exits. Yet there can be hangups. If your profit target order is already
> placed then it has to be cancelled before the stop order will execute.
> Manual intervention is required. I haven't talked to the TS people about
> this issue, but, it needs to be more accurately defined. It is a nice
> feature that Stop orders don't have to be placed. When your Stop price is
> reached it can be executed as long as no other existing orders
> are in place
> for that security. The feature isn't as well defined as it needs to be for
> limit orders and I need to talk with the TS people about it.
>
> Hope that helps.
>
>
> Jim Bronke
> Phoenix, AZ
>
>
>
> ----- Original Message -----
> From: "Volker Knapp" <vk@xxxxxxxxxxxx>
> To: "Mark Brown" <markbrown@xxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
> Sent: Friday, May 17, 2002 9:51 AM
> Subject: AW: Auto Trading
>
>
> : Hello,
> :
> : It is very kind of MB to ask. Please post the answers of MBs questions
> here
> : on the forum or to me directly. We are planning to include ATE into WLD2
> too
> : very soon (as some of you know already). I did not want to bother the TS
> : list with it, but since MB does post this question here, it seems to be
> : "moraly" ok. We also would like to work with a few TS6 users
> early in our
> : development stage to learn pros and cons of TS6.
> :
> : Best regards.
> :
> : Volker Knapp
> : Wealth-Lab Inc.
> : http://www.wealth-lab.com
> : http://www.wealth-lab.de
> :
> : ++-----Ursprungliche Nachricht-----
> : ++Von: Mark Brown [mailto:markbrown@xxxxxxxxxxxxx]
> : ++Gesendet: Freitag, 17. Mai 2002 17:02
> : ++An: omega-list@xxxxxxxxxx
> : ++Betreff: Auto Trading
> : ++
> : ++
> : ++Hello omega-list,
> : ++
> : ++Using the Pat system for order entry, what would be some
> pitfalls that
> : ++anyone see's in letting t2k auto trade. Besides data
> issues, such as
> : ++bad ticks and all that. What would some desired features
> be and what
> : ++safe guards would you want to see on an auto trade software product.
> : ++
> : ++My thoughts are that you could have a couple of choices.
> One would be
> : ++to let the system place the trade and then notify you
> what it has
> : ++done. The other scenario would be to have a pop up
> box asking if
> : ++indeed you wanted to make the trade. Maybe someone who
> is using ts6
> : ++can comment on how they do it and what pitfalls ts6 order
> entry system
> : ++has that needs to be fixed or improved upon.
> : ++
> : ++--
> : ++Best regards,
> : ++ Mark mailto:markbrown@xxxxxxxxxxxxx
> : ++
> :
>
>
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