I'm sending to mkt this short trades (2)
SubmitOrderUnmanaged(0, OrderAction.SellShort , OrderType.Market, 3, 7.638,25, 0, '', CTT_0);
SubmitOrderUnmanaged(0, OrderAction.Buy , OrderType.StopMarket, 3, 0, 7.710,75, CTT_0-OCO, CTT_0);
SubmitOrderUnmanaged(0, OrderAction.Buy , OrderType.MIT, 3, 0, 7.602,00, CTT_0-OCO, CTT_0);
SubmitOrderUnmanaged(0, OrderAction.SellShort , OrderType.Market, 3, 7.630,75, 0, '', CTT_1);
SubmitOrderUnmanaged(0, OrderAction.Buy , OrderType.StopMarket, 3, 0, 7.647,75, CTT_1-OCO, CTT_1);
SubmitOrderUnmanaged(0, OrderAction.Buy , OrderType.MIT, 3, 0, 7.622,25, CTT_1-OCO, CTT_1)
Why system match crossing different OCO orders, what's wrong in my code?
Thanks!
PD :
1/4/2020 11:36:00 Strategy 'CTT/-1': Entered internal SubmitOrderUnmanaged() method at 1/4/2020 11:36:00: BarsInProgress=0 Action=SellShort OrderType=Market Quantity=3 LimitPrice=7638,25 StopPrice=0 SignalName='CTT_0'
1/4/2020 11:36:00 Strategy 'CTT/-1': Entered internal SubmitOrderUnmanaged() method at 1/4/2020 11:36:00: BarsInProgress=0 Action=Buy OrderType=StopMarket Quantity=3 LimitPrice=0 StopPrice=7710,75 SignalName='CTT_0'
1/4/2020 11:36:00 Strategy 'CTT/-1': Entered internal SubmitOrderUnmanaged() method at 1/4/2020 11:36:00: BarsInProgress=0 Action=Buy OrderType=MIT Quantity=3 LimitPrice=0 StopPrice=7602,00 SignalName='CTT_0'
1/4/2020 11:56:00 Strategy 'CTT/-1': Entered internal SubmitOrderUnmanaged() method at 1/4/2020 11:56:00: BarsInProgress=0 Action=SellShort OrderType=Market Quantity=3 LimitPrice=7630,75 StopPrice=0 SignalName='CTT_1'
1/4/2020 11:56:00 Strategy 'CTT/-1': Entered internal SubmitOrderUnmanaged() method at 1/4/2020 11:56:00: BarsInProgress=0 Action=Buy OrderType=StopMarket Quantity=3 LimitPrice=0 StopPrice=7647,75 SignalName='CTT_1'
1/4/2020 11:56:00 Strategy 'CTT/-1': Entered internal SubmitOrderUnmanaged() method at 1/4/2020 11:56:00: BarsInProgress=0 Action=Buy OrderType=MIT Quantity=3 LimitPrice=0 StopPrice=7622,25 SignalName='CTT_1'
1/4/2020 11:56:00 Strategy 'CTT/-1': Cancelled OCO paired order: BarsInProgress=0, orderId='NT-00004-271' account='Backtest' name='CTT_1' orderState=Working instrument='NQ 06-20' orderAction=Buy orderType='Stop Market' limitPrice=0 stopPrice=7647.75 quantity=3 tif=Gtc oco='CTT_1-OCO' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2020-04-01 11:56:00' gtd='2099-12-01' statementDate='2020-06-28'
1/4/2020 12:40:00 Strategy 'CTT/-1': Cancelled OCO paired order: BarsInProgress=0, orderId='NT-00001-271' account='Backtest' name='CTT_0' orderState=Working instrument='NQ 06-20' orderAction=Buy orderType='Stop Market' limitPrice=0 stopPrice=7710.75 quantity=3 tif=Gtc oco='CTT_0-OCO' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2020-04-01 11:36:00' gtd='2099-12-01' statementDate='2020-06-28'
Comment