I'm going to be running an automated strategy on ZG and ZI using stops to enter. Given some filters on the system there's a possibility of sending a stop order where the stop price has already been penetrated. Since I know from past experience ECBOT will reject a stop where the price has already been hit I am considering either:
- send a stop limit (which is simulated by IB) where the limit price is a small amount above the last price
- change my code to detect this and use a market order
My preference would be to use stop limits since changing my code could cause unintended problems and would require re-testing the strategy. Changing to use a stop limit would be a small change to the order entry logic and much easier to test.
Does anyone know what the ECBOT limit is on how far away a limit order price can be from the current price? I don't want my stop limit to reject or cause one of their $2000 charges.
Can someone verify that when IB simulates a stop limit it waits for the stop price to hit then submits a limit order. Seems like it would be a no-brainer (how else could they simulate it???) but I don't want to find out at a cost of $1000 that I'm wrong....
- send a stop limit (which is simulated by IB) where the limit price is a small amount above the last price
- change my code to detect this and use a market order
My preference would be to use stop limits since changing my code could cause unintended problems and would require re-testing the strategy. Changing to use a stop limit would be a small change to the order entry logic and much easier to test.
Does anyone know what the ECBOT limit is on how far away a limit order price can be from the current price? I don't want my stop limit to reject or cause one of their $2000 charges.
Can someone verify that when IB simulates a stop limit it waits for the stop price to hit then submits a limit order. Seems like it would be a no-brainer (how else could they simulate it???) but I don't want to find out at a cost of $1000 that I'm wrong....