Intraday Trading can allow fills of two sequential
Author: gfparker
Creation Date: 11/18/2008 10:00 AM
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gfparker

#1
I'm trading a dip strategy on 5 minute bars that puts a limit order in every bar until it gets a fill. According to the Guide, the previous bars limit order should be canceled when the new order is placed. However with Auto Trading enabled, this can allow both the old and new orders to be filled if for some reason Fidelity's system doesn't cancel the previous bars order instantly. This happened to me on Nov 11th trading DIA at 2:55Pm in the afternoon. After going over with Fidelity they told me that the limit order for the 2:50PM bar was filled at 2:55:14Pm and the limit order for the 2:55Pm bar was filled at 2:55:28. Fidelity suggested I enter the sequential orders as Cancel and Replace to prevent this from happening again. Can anyone tell me how to code an order entry this way to use in Auto Trading?

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Cone

#2
QUOTE:
However with Auto Trading enabled, this can allow both the old and new orders to be filled if for some reason Fidelity's system doesn't cancel the previous bars order instantly.
Wealth-Lab's Orders tool is designed such that the "replacement" stop or limit order is not placed until the previous order is confirmed canceled. Therefore, it should *not* be possible per the design.
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gfparker

#3
Sorry but it happened, and when it did I reviewed it with the Fidelity's WealthLab group and they agreed it was a double fill. Fortunately I've just been operating in a testing mode, only trading 200 shares so the impact wasn't significant. By the way today in the WealthLab order que I noticed at about 3pm that one of the limit orders placed earlier in the day, around 12:30pm was still showing as Pending Cancel, even though several later limit orders from the same strategy had been placed and canceled. I hit the Update button and the que updated the 12:30 order to Cancelled. I think WealthLab sends a cancel order at the beginning of the next bar but it doesn't wait for any confirmation of cancel before sending the next limit order. Do you want me to open a ticket on this?
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Cone

#4
I wasn't disagreeing that it happened, rather, I was informing you that the design is such that it should never happen for Auto-Trading.

QUOTE:
Do you want me to open a ticket on this
Didn't you already report it to Fidelity? We're sort of a middleman in that regard.
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gfparker

#5
QUOTE:
Didn't you already report it to Fidelity? We're sort of a middleman in that regard.

Yea I did report it, but Fidelity told me to come to the WealthLab website and ask if anyone knew how to code a cancel and replace order instead of letting the Order Manager cancel the old order and enter a new order. Is there a way in WL5 to code a cancel and replace order specifically?
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Cone

#6
Cancel = absence of a trading signal. In other words, if you don't re-execute the trading Alert on a subsequent bar, the order is canceled.

Cancel + Replace = same as above, but since the price chances, the first order is canceled and the second is placed - but the Orders tool must wait to verify the Cancel before replacing the order...

... at least this was the way it was with Version 4, but now I'm recalling that Cancel & Replace was integrated for Version 5 and it's possible (ever quite likely) that the Orders tool is using that new method.


Bottom line: Please create a ticket.