MT4 or MT5, FIX trading how to deal with TP & SL order processing logic:
Given I placed one main order with take-profit and stop-loss orders
Once the main order was fully filled
I need to place a LIMIT take-profit order and a STOP stop-loss order
Once either TP or SL order is executed
I need to cancel TP or SL order
My problem is how to deal with my main order
I think that I need to cancel it, but how
do cancel or close a fully filled order?
Which message Do I need to send to MT4/MT5 to cancel a fully filled order?
Related
Order Placing System
A user places an order and the corresponding amount is kept on hold for the order and an order is created. This order is then pushed to some queue to be used by trade matching system. User gets back a reference order id for the order placed in return to the API call.
Trade Matching System
The system feeds on data from the queue generated by order placing system and looks for possible match and if possible to execute, executes them and push to another queue.
User Notification System
The system fetches data from the executed queue and broadcasts it to the user it belonged to. User can also fetch status of the order from the reference id which was shared on first API call
These two systems are right now communicating indirectly via a queue. Now the requirement is, in order placing system, when a user places order, along with order id, we also need to return execution status (i.e. Whether it got executed or not, if yes, rate and fee charged etc).
What should be mode of communication between order placing and trade matching system to make it possible to return execution details in first api call itself ?
Challenges
Matching System being single threaded, we cannot merge it with order engine
Polling and waiting for execution from execution queue, will probably make our order placing API slow
Right now our order placing system and matching system are separate.
Just looking for possible solution and opinion. Please let me know if something is unclear.
I'm working with code that uses a tumbling window of one day, and would like to send early results to a different DataStream on an hourly basis.
I understand that triggers are a way to go here, but don't really see how it would work.
The current code is as follows:
myStream
.keyBy(..)
.window(TumblingEventTimeWindows.of(Time.days(1)))
.aggregate(new MyAggregateFunction(), new MyProcessWindowFunction())
In my understanding, I should register a trigger, and then on its onEventTime method get a hold of a TriggerContext and I can send data to the labeled output from there. But how do I get the current state of MyAggregateFunction from there? Or would I need to my own computation here inside of onEventTime()?
Also, the documentation states that "By specifying a trigger using trigger() you are overwriting the default trigger of a WindowAssigner.". Would my one day window then still fire correctly, or do I need to trigger it somehow differently?
Another way of doing this is creating two different operators - one that windows by 1 hour, and another that windows by 1 day. Would triggers be a preferred approach to that?
Rather than using a custom Trigger, it would be simpler to have two layers of windowing, where the hourly results are further aggregated into daily results. Something like this:
hourlyResults = myStream
.keyBy(...)
.window(TumblingEventTimeWindows.of(Time.hours(1)))
.aggregate(new MyAggregateFunction(), new MyProcessWindowFunction())
dailyResults = hourlyResults
.keyBy(...)
.window(TumblingEventTimeWindows.of(Time.days(1)))
.aggregate(new MyAggregateFunction(), new MyProcessWindowFunction())
hourlyResults.addSink(...)
dailyResults.addSink(...)
Note that the result of a window is not a KeyedStream, so you will need to use keyBy again, unless you can arrange to leverage reinterpretAsKeyedStream (docs).
Normally when I get to more complex behavior like this, I use a KeyedProcessFunction. You can aggregate (and save in state) hourly and daily results, set timers as needed, and use a side output for the hourly results versus the regular output for the daily results.
There are quite a few questions here. I will try to ask all of them. First of all, if You specify Your own trigger using trigger() this means You are going to effectively override the default trigger and thus the window may not work the way it would by default. So, if You for example if You create the 1 day event time tumbling window, but override a trigger so that it fires for every 20th element, it will never fire based on event time.
Now, after Your custom trigger fires, the output from MyAggregateFunction will be passed to MyProcessWindowFunction, so It will work the same as for the default trigger, you don't need to access the MyAggregateFunction from inside the trigger.
Finally, while it may be technically possible to implement trigger to trigger partial results every hour, my personal opinion is that You should probably go with the two separate windows. While this solution may create a slightly larger overhead and may result in a larger state, it should be much clearer, easier to implement, and finally much more error resistant.
With respect to FIX 4.2 or greater:
Q1.a. How are incoming and outgoing sequence #’s correlated/linked? Is there a buyer specific FIX tag a buyer can embed/use explicitly for tracking upon submitting a buy order that is also included in subsequent incoming status message sequences from the broker?
Q1.b. If not, then how does a buyer manage/track individually several IOC buy orders that are submitted in quick succession or concurrently of securities which may or may not be identical, at different price levels, where units or shares are “filled” at varying rates?
Q1.a. How are incoming and outgoing sequence #’s correlated/linked?
They are not linked (i.e. they are independant). Any FIX application/engine (such as the QuickFIX family) maintains two sequence numbers per session, one for incoming and one for outgoing. See also this answer on Stack Overflow which pretty much tells you the same.
When using an engine like any of the QuickFIX family (QuickFIX, QuickFIX/J, QuickFIX/N), these will be managed for you and apart from some configuration vis-a-vis your counterparty you should not bother about managing these.
Q1.a. Is there a buyer specific FIX tag a buyer can embed/use explicitly for tracking upon submitting a buy order that is also included in subsequent incoming status message sequences from the broker?
These tags are already present in e.g. the FIX Order Single message (D) - ClOrdId:
Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) [...]. Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.
This field is mandatory when creating a new order using FIX Order Single, and is used the refer to the order in subsequent messaging (e.g. Execution Report, or Status messages).
Note that the ClOrdId changes when an order is changed using an Order Cancel/Replace Request <G>, i.e. you assign a new ClOrdId to the order when changing or canceling it.
I found time as the best value as event version.
I can merge perfectly independent events of different event sources on different servers whenever needed without being worry about read side event order synchronization. I know which event (from server 1) had happened before the other (from server 2) without the need for global sequential event id generator which makes all read sides to depend on it.
As long as the time is a globally ever sequential event version , different teams in companies can act as distributed event sources or event readers And everyone can always relay on the contract.
The world's simplest notification from a write side to subscribed read sides followed by a query pulling the recent changes from the underlying write side can simplify everything.
Are there any side effects I'm not aware of ?
Time is indeed increasing and you get a deterministic number, however event versioning is not only serves the purpose of preventing conflicts. We always say that when we commit a new event to the event store, we send the new event version there as well and it must match the expected version on the event store side, which must be the previous version plus exactly one. If there will be a thousand or three millions of ticks between two events - I do not really care, this does not give me the information I need. And if I have missed one event on the go is critical to know. So I would not use anything else than incremental counter, with events versioned per aggregate/stream.
Is there any way to get Profit and Loss(daily & total till date) on a particular trade made on IB TWS through its Java API?
You can, but not in the way you seem to be asking. All profit and loss in the API is calculated by you until the trade is closed and then you can use the commissionReport method of the wrapper. A commissionReport is sent after every execDetails. API doc
You can always check your statements for previous profits and losses.
The flow is like this.
place trade and get fill price from execDetails
get opening commission from commissionReport
on every tick calculate open position profit, use bid/ask for realism, but it's all forex has anyway
close trade and get price from execDetails
get commission from commissionReport again
calculate closed trade profit/loss
also note that commissionReport has a field m_realizedPNL you can use, but I've never tried it.
In the TWS v9.72+ API there is a reqPnl method on the EClient which can be used to subscribe to real-time PnL (unrealized and realized) updates for a full portfolio via the associated method on the EWrapper
https://interactivebrokers.github.io/tws-api/classIBApi_1_1EClient.html#a0351f22a77b5ba0c0243122baf72fa45
Additionally, for a single contractID, you can use: reqPnLSingle on the Client.
https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#aebeb008f2b763d7bed2969b66bbd1b33
you may presubmit the order, to see all calculations, like the commission and margin impact of the order.
to do that, set whatIf=True in the order definition.
you'll then receive openOrder events, with all the calculations made for you.