ICE + Patsystem = StopLimit Only

[skynetman]

After 10 days of emails with my broker (almost useless) i found the following (looking for myself):

1) ICE (nybot too) has only 2 kind of stop orders ( see https://www.theice.com/publicdocs/ru...ding_Rules.pdf at page 27-7):
A) STOP-LIMIT orders where you specify both stop and limit (maximum range between stop and limit specified by NCR or "no cancellation Range" at page 27-22)
B) “Stop orders with Protection” where you specify STOP price and the exchange translates it to a STOP-LIMIT order with LIMIT the maximum range allowed.

2) PATSystem on ICE can do only STOP-LIMIT DAY orders as confirmed by my broker.
Standard STOP orders both GTC and DAY give errors:
"Combination Order Type Stop and time in force GTC not supported by exchange NYBOT (Order Rejected)" and
"Combination Order Type Stop and time in force DAY not supported by exchange NYBOT (Order Rejected)"

Can you implement the NCR table to auto translate STOP orders to STOP-LIMIT orders inside TB with maximum "stop to limit" range? Else i will have to check for every contract and add to every strategy that table...

[NinjaTrader_RJ]

After 10 days of emails with my broker (almost useless) i found the following (looking for myself):

1) ICE (nybot too) has only 2 kind of stop orders ( see https://www.theice.com/publicdocs/ru...ding_Rules.pdf at page 27-7):
A) STOP-LIMIT orders where you specify both stop and limit (maximum range between stop and limit specified by NCR or "no cancellation Range" at page 27-22)
B) “Stop orders with Protection” where you specify STOP price and the exchange translates it to a STOP-LIMIT order with LIMIT the maximum range allowed.

2) PATSystem on ICE can do only STOP-LIMIT DAY orders as confirmed by my broker.
Standard STOP orders both GTC and DAY give errors:
"Combination Order Type Stop and time in force GTC not supported by exchange NYBOT (Order Rejected)" and
"Combination Order Type Stop and time in force DAY not supported by exchange NYBOT (Order Rejected)"

Can you implement the NCR table to auto translate STOP orders to STOP-LIMIT orders inside TB with maximum "stop to limit" range? Else i will have to check for every contract and add to every strategy that table...

Hello,

Thank you for your post.

1.) Thank you for reporting on ICE and stop order types.

2.) I am not sure what you mean by "NCR table" and "TB." Can you please clarify?

[skynetman]

@stein: sorry typo. i meant ninjatarder (TB is another software)

What i mean with NCR Table is that you could save the "no cancellation Range" list at page 27-22 inside Ninjatrader, to force an automatic LIMIT set and STOPLimit Conversion once you place a STOP order (or to fill the limit field with the maximum range when you select stoplimit).

[NinjaTrader_RJ]

@stein: sorry typo. i meant ninjatarder (TB is another software)

What i mean with NCR Table is that you could save the "no cancellation Range" list at page 27-22 inside Ninjatrader, to force an automatic LIMIT set and STOPLimit Conversion once you place a STOP order (or to fill the limit field with the maximum range when you select stoplimit).

I'm afraid I still don't follow.

1.) What does NCR stand for?
-I don't see this in our help guide on pages 22-27, can you send me a link to what you are referring to?

2.) Is this an automated NinjaScript strategy, or ATM strategy?

[skynetman]

At page 27-7 in that pdf you find:

(a) The allowable price range between the stop price and the limit
 price of a Stop-Limit order will be restricted to 100% of the No 
Cancellation Range (NCR) for the specified Commodity Contract.

At 27-22 the No Cancellation Range (NCR) LIST:

4. NO CANCELLATION RANGE AND REASONABILITY LIMITS
Contract  - Reasonability Limit  - No Cancellation Range

Cocoa Futures $75.00 $15.00
Coffee “C”® Futures $.0199 $.0060
Robusta Coffee Futures $.0199 $.0060
Cotton No. 2 Futures $.0100 $.0040
FCOJ Futures $.0499 $.0150
Sugar No. 11 Futures $.0050 $.0010
Sugar No. 14 Futures $.0075 $.0010
Sugar No. 16 Futures $.0075 $.0010
Pulp Futures $35.00 $15.00
U.S. Dollar Index® Futures
(USDX®)
.750 Index Point .200 Index Point
Minimum tick = .005 of a Point
.....
.....

As only StopLimit orders are allowed you could fill the LIMIT automatically adding (for a buy stoplimit) or subtracting (for a sell stoplimit) the NCR for that future to match as much as possible a standard STOP order so that we can use strategies built for normal STOP orders.

Besides PATS accepts DAY only, so allowing GTC is useless.

Ok?

[NinjaTrader_Jason]

Hello skynetman,

I will forward your suggestion to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.

[ostadler]

Hello all,

I second this request. Especially when trading softs on ICE this would be extremely helpfull!

Thanks for taking this improvement into consideration!

Greetings from Germany,

Yours, Oliver

[momtic]

Patsystems orders trading TF

Hi

I have also had problems in the past. When using Patsystems order types are not supported by the exchange When I place an order its in a state "Accepted" locally simulated on my PC

When I place an order on TF I always always get slipped, If it was held at the exchange, I would have a much better chance of not getting slipped on every order. So I had to stop trading TF

Have this now been sorted?

[NinjaTrader_Kyle]

Hello momtic,

Unfortunately, this behavior can be expected currently.

If the broker or exchange does not natively support an order type, it will be simulated on the local PC.

[momtic]

Hello momtic,

Unfortunately, this behavior can be expected currently.

If the broker or exchange does not natively support an order type, it will be simulated on the local PC.

Hi Kyle

I don't have any problems with any other markets..its only TF Mini Russel

When I place a buy or sell stops or limit buys, my broker don't see nothing their end when
I placed these orders

However, when I place these same orders on YM Mini Dow they see my orders their end

Is there anything I can ask my broker to help them their end, it maybe something simple

sure in this day and age of technology , we should be able to sort this out?

Thanks
momitc

[NinjaTrader_Kyle]

Hello momtic,

This is likely due to TF using the ICE exchange.

With that said, I would suggest contacting your broker to request clarification on what order types would be natively supported on their servers with this instrument.