Hello,
I primarily use WL for futures trading. However I am yet to figure out how to get it to submit orders at the futures market open at 6pm EST each day.
Using the strategy monitor results in an extended processing time at 6pm and no signals. When I then run the strategy manually, it will show the signals, but I cannot place them, as they are called "final order"s. These orders never go through, I usually have to restart WL in order to get rid of this and get the orders to submit to my broker.
I have tried setting the final order delay to "0" and "1" but it does not work.
As we speak I am unable to fix this even with restarting WL. This means I must manually enter the orders, then cancel them at the next streaming bar and hope WL kicks in over this "Final Order" setting.
Thank you,
Dandude
I primarily use WL for futures trading. However I am yet to figure out how to get it to submit orders at the futures market open at 6pm EST each day.
Using the strategy monitor results in an extended processing time at 6pm and no signals. When I then run the strategy manually, it will show the signals, but I cannot place them, as they are called "final order"s. These orders never go through, I usually have to restart WL in order to get rid of this and get the orders to submit to my broker.
I have tried setting the final order delay to "0" and "1" but it does not work.
As we speak I am unable to fix this even with restarting WL. This means I must manually enter the orders, then cancel them at the next streaming bar and hope WL kicks in over this "Final Order" setting.
Thank you,
Dandude
Rename
No, you can't disable it because any order placed right after the market closes will be rejected.
QUOTE:Try something more reasonable that isn't so near the market closing time, like 10 minutes, so that IB (right?) doesn't think you're trying to place an order for the previous session that's closed. The order will be placed after the delay, you have to wait for it.
I have tried setting the final order delay to "0" and "1" but it does not work.
I had a daily strategy that generated orders after the close. I converted that strategy to a 5 minute strategy so that I could manage risk better intraday. The strategy backtests correctly but the problem that I am running into is that orders generated on the last bar of the prior day (i.e. orders that would be executed on the open of the next day) do not get submitted and are marked "Final Order" in the order manager. Is there a way around this?
I'm using TD. When I produce signals with the strategy running daily bars, it produces signals after the close and submits the orders fine. Why does this not work when running 5 minute bars? Aren't the orders the same? Is there a date attached to the orders that differs between the two situations?
So is there any way you can send an order for the open using any timeframe other than daily?
Some brokers require a delay before allowing order submission for the next days session. Did you let these “Final Orders” remain active in the Order Manager for twenty minutes or so? WL should submit them after this delay.
Unfortunately, this issue is not solved for me.
The final order mechanism prevents WL from entering any orders in the futures market at the open. This means I must enter them manually. IB, my broker, allows me to enter orders as soon as the market opens at 6pm ET. There is no delay needed. In fact, a delay is extremely dangerous for my strategies. Any stops or market orders required by my strategies will not be submitted. In the interim, the price may move against me significantly.
Because I must enter these orders manually, my speed of entry is significantly reduced. This means that I am likely to get a price move against me in the extra few seconds it takes me to click the submit button on every single order signaled by my strategy.
There is also the inconvenience of being forced to be at my monitor at the market open, and then again 15 minutes later in order to cancel my manual orders and allow WL to sync up with the broker with the orders it finally submits.
The final order mechanism prevents WL from entering any orders in the futures market at the open. This means I must enter them manually. IB, my broker, allows me to enter orders as soon as the market opens at 6pm ET. There is no delay needed. In fact, a delay is extremely dangerous for my strategies. Any stops or market orders required by my strategies will not be submitted. In the interim, the price may move against me significantly.
Because I must enter these orders manually, my speed of entry is significantly reduced. This means that I am likely to get a price move against me in the extra few seconds it takes me to click the submit button on every single order signaled by my strategy.
There is also the inconvenience of being forced to be at my monitor at the market open, and then again 15 minutes later in order to cancel my manual orders and allow WL to sync up with the broker with the orders it finally submits.
Hi Glitch,
I did not leave them for 20 minutes. I'll give that a try.
Thanks for the response.
I did not leave them for 20 minutes. I'll give that a try.
Thanks for the response.
@dandude,
First, you can select "0" for the Final Order Delay in the IB Provider settings.
Second, if trading futures, select the correct market.
In any case, there is no delay applied to an opening order. The "Final Order" delay is applied to signals/orders placed precisely when the market CLOSES. Are you actually seeing a problem with your 6pm order, or just inferring that there could be one?
First, you can select "0" for the Final Order Delay in the IB Provider settings.
Second, if trading futures, select the correct market.
In any case, there is no delay applied to an opening order. The "Final Order" delay is applied to signals/orders placed precisely when the market CLOSES. Are you actually seeing a problem with your 6pm order, or just inferring that there could be one?
I would certainly not waste your time with a theoretical problem. This is an issue I deal with every day.
As I mentioned in my initial post, using "0" for the final order delay does not change WL behavior. At the 6pm EST (5pm CST) open for futures on the CME (Yes I have selected the correct market), WL processes for an extra ~40 seconds before returning no signals. It will give me the signals when I manually "run now", but will not submit them and holds them in the order manager as final orders.
I imagine this behavior is appropriate for other traders and their applications, however for a futures trader like me, this renders WL nearly useless each day at 5pm CST. I must manually enter the signal trades determined by my strategy at that time.
As I mentioned in my initial post, using "0" for the final order delay does not change WL behavior. At the 6pm EST (5pm CST) open for futures on the CME (Yes I have selected the correct market), WL processes for an extra ~40 seconds before returning no signals. It will give me the signals when I manually "run now", but will not submit them and holds them in the order manager as final orders.
I imagine this behavior is appropriate for other traders and their applications, however for a futures trader like me, this renders WL nearly useless each day at 5pm CST. I must manually enter the signal trades determined by my strategy at that time.
Okay, if it's 40 seconds, this is not the Final Order delay - that's the timeout for accessing data for that bar. Are you actually seeing a "Final Order Wait" status (I can't recall the exact message off hand).
A signal that is placed into the market precisely at 6pm must come from data prior to 6pm - the signal must have occurred at the futures market Close... unless you're using ExecuteSessionOpen(), which is designed for Daily strategies.
Please give me the details required to duplicate what you're seeing.
1. Image of the Strategy's S. Monitor Configuration
2. Image of Data Manager > Historical Providers
3. A minimal strategy that exhibits the issue
A signal that is placed into the market precisely at 6pm must come from data prior to 6pm - the signal must have occurred at the futures market Close... unless you're using ExecuteSessionOpen(), which is designed for Daily strategies.
Please give me the details required to duplicate what you're seeing.
1. Image of the Strategy's S. Monitor Configuration
2. Image of Data Manager > Historical Providers
3. A minimal strategy that exhibits the issue
For Build 40 "Final Order" processing will be bypassed if the value set in the IB configuration is zero or less.
Since it's unclear why Final Order processing is even triggered (it will happen on the Close of the session only) I'd still like to try to duplicate it - please provide 1, 2, and 3 above.
It appears that the final order designation is still causing me problems when using TD as the broker. I tried to place the orders today 5 minutes before the open (as far away from the close as possible) and they still won't submit to the broker for the market open. I receive no error from either the broker or WL.
In Order Manager the trades status is marked FinalOrder.
For some context, the strategy just produces orders on a 30 minute timeframe but is largely driven by daily signals. The lower timeframe allows me to exit intraday and reinvest once positions are sold instead of staying in cash.
It seems all orders generated by the strategy are designated Final Order. Any ideas?
In Order Manager the trades status is marked FinalOrder.
For some context, the strategy just produces orders on a 30 minute timeframe but is largely driven by daily signals. The lower timeframe allows me to exit intraday and reinvest once positions are sold instead of staying in cash.
It seems all orders generated by the strategy are designated Final Order. Any ideas?
Hmmm, the FinalOrder status is intended to be placed at the last bar of the trading day in an intraday strategy. The idea is, these orders are intended to be placed the FOLLOWING day at market open, but certain brokers don't allow order placement for the next day until a certain amount of time has past. The Order Manager will hold these orders as staged for a certain number of minutes AFTER THE CLOSE (default is 15 minutes) and will then submit them.
It appears that orders placed intraday are also getting the final order designation for some reason. It doesn't appear to be reaching TD as I am not seeing any message regarding the orders.
Probably not relevant but the account is an IRA account.
Probably not relevant but the account is an IRA account.
I restarted WL and the strategy is working again. There is still something wrong with the final order of the day (i.e. orders for the next open). Any suggestions would be appreciated. For now I will submit them manually.
Are you seeing trades getting FinalOrder status when it is not the last bar of the trading day? That would be unexpected.
Assuming it's ocurring on the last intraday bar of the trading day, it's expected. And after a 15 minute delay in the Order Manager they should get submitted. Did you allow them to sit there for the full 15 minutes?
Assuming it's ocurring on the last intraday bar of the trading day, it's expected. And after a 15 minute delay in the Order Manager they should get submitted. Did you allow them to sit there for the full 15 minutes?
I was running on 30 minute bars and yes the 9:00am orders had the Final Order designation, but after restarting WL and regenerating the orders it started working correctly.
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