ChangeOrder

[ScottB]

Hi,

Can anyone tell me if ChangeOrder using the TT adapter against the CME 6E/ES, etc. does a cancel/replace (atomic action on CME) vs. a cancel and submit (two separate actions)?

Thanks in advance.

[NinjaTrader_Matthew]

Hello,

This will vary from FCM. I would suggest following up with your broker to clarify if a changed order will use an atomic action on the CME.

[ScottB]

Matthew, are you saying it is broker dependent as opposed to something NinjaTrader controls? Under the covers you are either making a native API call or sending a FIX message depending on the connection.

So in the case of Trading Technologies accessing the CME, my understanding is that is FIX. What I am trying to determine is in that case do you send one cancel/replace FIX message or do you send a cancel and a separate new order message?

It could be either based on how you choose to implement ChangeOrder against TT at the CME. Unless you have shared your internal workings with the broker, I don't think they can know which you chose short of monitoring the actual FIX messages.

So if possible, could you check with development or whatever department that would know the answer?

Thanks
Scott

[NinjaTrader_Matthew]

It is a FIX cancel/replace message that is sent.

Whether you will keep your place will depend on the type of change that is made. If you change the price of the order, we will do what we can to preserve your place in line, however a change in qty would submit a new order and not cancel.

[ScottB]

Matthew,

Thanks, that is exactly the information I was looking for. One comment though, it appears you have the situation reversed regarding when a cancel/replace vs. a cancel and a new order is issued (unless I misunderstand your reply).

To the best of my knowledge, you cannot maintain a position in the queue if you change price because you are now on a different price level (and therefore in a different queue). The CME exchange rule for volume is based on whether quantity goes up or down (down you can maintain your position, up you cannot).

Best Regards,
Scott

[NinjaTrader_Matthew]

Scott,

Yes, I misunderstood this and you are correct.

To preserve place in line on QTY change instead of changing the order which resets your place in line, we issue a new order.

In the case where price does change then the cancel/replace command is run.

[koganam]

Scott,

Yes, I misunderstood this and you are correct.

To preserve place in line on QTY change instead of changing the order which resets your place in line, we issue a new order.

In the case where price does change then the cancel/replace command is run.

I am reasonably sure that I read somewhere in the NT literature that when you up your order quantity, NT will simply issue only a new order for the difference, thus preserving your initial order in the queue, while placing that new order naturally at the end of the queue. Was that just wishful thinking?

[koganam]

I am reasonably sure that I read somewhere in the NT literature that when you up your order quantity, NT will simply issue only a new order for the difference, thus preserving your initial order in the queue, while placing that new order naturally at the end of the queue. Was that just wishful thinking?

Nope. It was not wishful thinking! Here it is:

ref: http://www.ninjatrader.com/support/h...timization.htm

Very nice!!

[ScottB]

koganam,

That was what I thought as well; CME will preserve your place in the queue if you reduce your quantity. I was trying to determine how intricate I had to make my order handling; you can quite easily get partial fills of oco profit orders that are themselves the result of partial fills of the original entry order (not to mention you might have a strategy with multiple entry orders),

Perfect; thanks!