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Hello all.
We are with Refco using their RefcoExpress, trading based on *daily*
price data. So obviously our ideal approach would be (and is)
entering orders for the day before markets open. However, this works
smoothly only for CME. For all the other exchanges, we used to see a
lot of errors and rejected orders because (!!!) our order price was
apparently not in the day's range. Well, if we place an order
*before* the market opens then obviously it cannot be in the day's
range and thus the relatively random results in successfully filled
orders.
In order to overcome this problem, RefcoExpress's tech support told us
to enter the "Good Through Date" for the orders so they would not get
rejected and this is what we have been practicing. With the exception
that in our case the GTD orders are for one day only and will get
cancelled at the end of the day. Well apparently someone somewhere
does not like this; they want us to use GTD only when that date is
further in the future than just the current day, so we have been under
fire from Refco lately because they want us to stop this practice that
their own tech support taught us... However, our day orders without
the GTD date specified still work consistently only for CME and for
none of the other exchanges...
So I was wondering what some of the other brokers' practice is
regarding the day orders? Should we expect our day orders to stay
there for the duration of the trading hours without their price being
in the day's range or is this an unreasonable expectation from our
part? What about IB? TS? Others?
TIA,
Ivo Karindi
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