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ATM strategy stops on partially filled orders

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    ATM strategy stops on partially filled orders

    Hi!

    I am not entirely clear on the rules about stop orders. In the tip about the difference between strategy position and account position it is pretty clear that if a strategy places an exit order while there is no position in the account you will end up with an opposite order (rather than a rejection). I.e. if a strategy position is long, but the account position is actually flat, then when the strategy tries to sell, you will end up with a short order. That is unfortunate, but quite clear.

    However, I am not clear what happens in the following situation. To start with, let's assume that we have no automated strategy. Just using manual entries with exists managed by an ATM strategy template. For the following questions let's assume that we start off with a flat account position as well as a flat position on anything in NJ.
    1. Now suppose that I put a limit order for a 1000 shares. I also placed a stop order for a 1000 shares 5 ticks below the buy price. The order got partially filled with 500 shares, but then gets whipsawed and we hit the stop price. What happens then? The stop order was for 1000, but we only got filled for 500? Do we end up flat or shorting 500?
    2. The previous one was with a manually entered stop. Suppose now that we have the same scenario, but we used a automatic stop loss and a break even rule in the strategy template. Either one of these price points can be hit by the market while the order is only partially filled. What happens then? I would hope that in either case I end up with a flat account position.
    3. In the third case, we do the same as the above, but use the ATM strategy from an automated strategy? Do we end up with the same results as for #1, and #2, or is anything different?


    #2
    Hello arnonmoscona, thanks for the post.

    1. You would be short 500 then.
    2. The ATM's would submit the stop / target orders for the as reported filled qty's, so you should be flat here.
    3. Same as in 2 as you're also using ATM's for exit management then, the strategy simply calls the ATM methods here.

    In any case inflight executions could still happen though in electronic trading :

    http://www.ninjatrader.com/support/h...trading_wi.htm
    BertrandNinjaTrader Customer Service

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