Bracketed trades and Fidelity
Author: heech
Creation Date: 11/6/2008 11:36 AM
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heech

#1
Does bracketed trades actually work with Fidelity?

My strategy just tried to do a simultaneous sell stop at 12.30, and a sell limit at 12.50. The sell stop is active, but the sell limit call came back with an error saying "the number of shares you entered is greater than number of shares available".
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heech

#2
PS. This is with auto-trade. I can see both orders (one 'Active' one 'Error') stamped with 12:30 PM in my orders box.
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heech

#3
Another PS that might be relevant... there *had* been a stand-alone stop order on this symbol from an earlier bar. I was planning to keep one, at a significant discount, in the system just to defend against "ARMAGDEDDON!" (as my signal is called) in-between bars.

Is it possible that the new stop order "replaced" the old stop bar, and the limit bar was dropped in the process? Not easy for me to test this, hopefully you guys can replicate and let me know.
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Cone

#4
If you can't provide the code, let's try to nail this down. Is the case that you own a Position of say 100 ABC and the strategy places a stop order. Then, on a later bar, the strategy places the bracketed exits orders?
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heech

#5
Cone,

Yes, that's right. I had 1000 shares of STP, along with a stop order from some time this morning at some very low number.

I can give you the part of the code related to this:

CODE:
Please log in to see this code.

And as I said, the limit order error'ed out, the new (tighter) stop order was placed.
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heech

#6
Cone,

I can give you another data point, of another similar (failed) bracketed trade... failed more completely, actually. As far as I can tell, WealthLab itself is fine. I'm logged in, and streaming data in the status bar shows "connected".

- At 3:30 PM, the strategy issued/placed a sell stop at $11.87 (the same "ARMAGEDDON" stop).

- At 4:00 PM, my strategy issued *alerts* of (as seen right now in the Strategy Monitor tool):
- sell limit, $12.50
- sell stop, $11.87

These were auto-staged, auto-placed. However, orders screen shows:

3:30 PM stop order, "CancelPending".
4:00 PM limit order, "Error", "Number of shares entered is greater than the number available..."

There's no sign of the 4:00 PM stop order... although the CancelPending suggests the order tool tried to process it.

Help please.
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heech

#7
PS. Another very relevant fact.

I don't know what actually happened to the 3:30 PM stop order. It doesn't actually show up in my orders list on Fidelity or Fidelity ATP. It does show "canceled" 3:00 PM and 2:30 PM stop orders (from earlier in the day), but not the one at 3:30.

Maybe it wasn't actually placed, and this managed to screw up the follow-up bracket sell? I don't know, I wasn't in front of the screen at the time.
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heech

#8
Hmm, maybe I'm an idiot.

Let me ask the question this way. Does Wealth Lab place any after-market trades, for open of market the next day? Do any orders, limit/market/stop carry over from one day to the next?

UPDATE: Let me save Cone some time. Chapter 7.3 from the user's guide:

QUOTE:
Partial Fills for Entry Orders
For intraday Strategies, the Orders tool cancels the remaining shares at the end of
the intraday interval. Likewise, the trading exchange will cancel any order at the
close of the session.


So, as far as I can tell, this means there's no way to have any orders (even stop orders) active at the open + first bar of the day. Is that right? If so, it's a pretty significant weakness.
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Cone

#9
QUOTE:
These were auto-staged, auto-placed.
If Auto-Trading is selected, then they are Auto-Placed. Otherwise they're Auto-Staged. Was Auto-Trading enabled?

QUOTE:
"Number of shares entered is greater than the number available..."
This is indicating that the Position Size you've selected in the sizing control is greater than the shares available. You can't exit more shares than you have. Either you have to set the sizing to match your actual Position, to be less than your Position, or, you can select the appropriate Trading Preference (F12) so that exit alerts always match the size in your account.

QUOTE:
I don't know what actually happened to the 3:30 PM stop order.
Maybe you enabled "Auto-Remove"?

QUOTE:
So my strategy *would* expect a stop/limit order at open of day tomorrow, but will now get neither.
Right. There's no way to place a GTC order for Strategies. However, orders for Weekly strategies are GTC for the week, etc.

QUOTE:
Would that work? Would Fidelity accept a bracketed order, after-market for open of market tomorrow?
I think you know the answers to these questions already. Right?
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heech

#10
Cone,

I have auto-trading enabled, I do not have Auto-Remove enabled.

QUOTE:
I think you know the answers to these questions already. Right?

A lot of the stuff I've been coming across is counter-intuitive, so I really didn't.

It looks like things all look okay now, after I ran the strategy (by hand again) at 4:30 PM... after the exchange had canceled all of the existing stop orders. So, that's *really* what I want Wealth-Lab Pro to do. Skip the execution at 4 PM, and instead execute at 4:30 PM. (That coincidentally is also the solution for the 60 minute bar problem that I had yesterday.)

But I'm coming to realize not many "wishes" get met here, so I'll look around for some other solution to automate that part of it.