I have an event today where a stoploss and target order (OCO, in Unmanaged mode) were working on a position on stock TJX. Here are the submissions:
11/18/2015 9:37:54 AM|1|32|Order='12009304300/865009022' Name='SE_TJX_msStockGroupRenkoScalpV2' New state=Accepted Instrument='TJX' Action=SellShort Limit price=0 Stop price=0 Quantity=735 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
11/18/2015 9:37:54 AM|1|32|Order='12009304300/865009022' Name='SE_TJX_msStockGroupRenkoScalpV2' New state=Working Instrument='TJX' Action=SellShort Limit price=0 Stop price=0 Quantity=735 Type=Market Filled=0 Fill price=0 Error=NoError Native error=''
11/18/2015 9:37:54 AM|1|32|Order='12009304300/865009022' Name='SE_TJX_msStockGroupRenkoScalpV2' New state=Filled Instrument='TJX' Action=SellShort Limit price=0 Stop price=0 Quantity=735 Type=Market Filled=735 Fill price=67.84 Error=NoError Native error=''
11/18/2015 9:37:54 AM|1|16|Execution='12009304356' Instrument='TJX' Account='865009022' Exchange=Default Price=67.84 Quantity=735 Market position=Short Operation=Insert Order='12009304300' Time='11/18/2015 9:37:54 AM'
11/18/2015 9:37:54 AM|1|32|Order='d001ca39258e49789f6be4346f301649/865009022' Name='SS_TJX_msStockGroupRenkoScalpV2' New state=PendingSubmit Instrument='TJX' Action=BuyToCover Limit price=0 Stop price=68.41 Quantity=735 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
11/18/2015 9:37:54 AM|1|32|Order='NT-27/865009022' Name='ST_TJX_msStockGroupRenkoScalpV2' New state=PendingSubmit Instrument='TJX' Action=BuyToCover Limit price=67.42 Stop price=0 Quantity=735 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
11/18/2015 9:37:54 AM|1|64|Instrument='TJX' Account='865009022' Avg price=67.84 Quantity=735 Market position=Short Operation=Insert Currency=UsDollar
11/18/2015 9:37:56 AM|1|32|Order='12009304701/865009022' Name='SS_TJX_msStockGroupRenkoScalpV2' New state=Accepted Instrument='TJX' Action=BuyToCover Limit price=0 Stop price=68.41 Quantity=735 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
11/18/2015 9:37:56 AM|1|32|Order='12009304701/865009022' Name='SS_TJX_msStockGroupRenkoScalpV2' New state=Working Instrument='TJX' Action=BuyToCover Limit price=0 Stop price=68.41 Quantity=735 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
11/18/2015 9:37:56 AM|1|32|Order='12009304702/865009022' Name='ST_TJX_msStockGroupRenkoScalpV2' New state=Accepted Instrument='TJX' Action=BuyToCover Limit price=67.42 Stop price=0 Quantity=735 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
11/18/2015 9:37:56 AM|1|32|Order='12009304702/865009022' Name='ST_TJX_msStockGroupRenkoScalpV2' New state=Working Instrument='TJX' Action=BuyToCover Limit price=67.42 Stop price=0 Quantity=735 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
Sometime later, the target received a partial fill (which was only fully filled over an hour later), but the stoploss was cancelled immediately (and not by my code). The position was now unprotected. I would have expected the stoploss order to be reduced by the amount of the fill rather than being cancelled.
Is this standard procedure for the TD Ameritrade API? Can it be prevented?
11/18/2015 11:06:15 AM|1|32|Order='12009304701/865009022' Name='SS_TJX_msStockGroupRenkoScalpV2' New state=Cancelled Instrument='TJX' Action=BuyToCover Limit price=0 Stop price=68.41 Quantity=735 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
11/18/2015 11:06:15 AM|1|32|Order='12009304702/865009022' Name='ST_TJX_msStockGroupRenkoScalpV2' New state=PartFilled Instrument='TJX' Action=BuyToCover Limit price=67.42 Stop price=0 Quantity=735 Type=Limit Filled=48 Fill price=67.42 Error=NoError Native error=''
11/18/2015 11:06:15 AM|1|16|Execution='12009884486' Instrument='TJX' Account='865009022' Exchange=Default Price=67.42 Quantity=48 Market position=Long Operation=Insert Order='12009304702' Time='11/18/2015 11:06:15 AM'
11/18/2015 11:06:16 AM|1|64|Instrument='TJX' Account='865009022' Avg price=67.84 Quantity=687 Market position=Short Operation=Update Currency=UsDollar
11/18/2015 11:06:19 AM|1|32|Order='12009304702/865009022' Name='ST_TJX_msStockGroupRenkoScalpV2' New state=PartFilled Instrument='TJX' Action=BuyToCover Limit price=67.42 Stop price=0 Quantity=735 Type=Limit Filled=248 Fill price=67.42 Error=NoError Native error=''
11/18/2015 11:06:19 AM|1|16|Execution='12009884715' Instrument='TJX' Account='865009022' Exchange=Default Price=67.42 Quantity=200 Market position=Long Operation=Insert Order='12009304702' Time='11/18/2015 11:06:19 AM'
Thanks,
saltminer
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