Posted: Mar 14, 2012 @ 05:57 PM             Msg. 1 of 7

Could someone take a look at this please?

This is the order I am sending:
Command #202262617 Create for Order #202262617 (Buy 1 6EM2 LMT 130.14) updated

As the order goes to working, there is a Modify Order command happening changing the Quantity from 1 to 2, stepping through the code does not reveal what is changing the quantity.


OnOrderStateChanged: -1: Unknown -> Sent
OnOrderStateChanged: -2: Unknown -> Sent
OnOrderStateChanged: -3: Unknown -> Sent
Send order
Sell Short 2 6EM2 STP 130.15 LMT 130.15
OnOrderConfirmed: -1 -> 202262616
OnOrderStateChanged: 202262616: Sent -> Sent
Command #202262616 Create for Order #202262616 (Sell Short 2 6EM2 STP 130.15 LMT 130.15) updated
OnOrderStateChanged: 202262616: Sent -> Sent
Command #202262616 Create for Order #202262616 (Sell Short 2 6EM2 STP 130.15 LMT 130.15) updated
OnOrderConfirmed: -2 -> 202262617
OnOrderStateChanged: 202262617: Sent -> Sent
Command #202262617 Create for Order #202262617 (Buy 1 6EM2 LMT 130.14) updated
OnOrderStateChanged: 202262617: Sent -> Sent
Command #202262617 Create for Order #202262617 (Buy 1 6EM2 LMT 130.14) updated
OnOrderConfirmed: -3 -> 202262618
OnOrderStateChanged: 202262618: Sent -> Sent
The thread '<No Name>' (0x3198) has exited with code 0 (0x0).
The thread '<No Name>' (0x3250) has exited with code 0 (0x0).
The thread '<No Name>' (0x2a00) has exited with code 0 (0x0).
The thread '<No Name>' (0xfac) has exited with code 0 (0x0).
Command #202262618 Create for Order #202262618 (Buy 2 6EM2 STP 130.65) updated
OnOrderStateChanged: 202262618: Sent -> Sent
Command #202262618 Create for Order #202262618 (Buy 2 6EM2 STP 130.65) updated
OnOrderStateChanged: 202262616: Sent -> Accepted
OnOrderStateChanged: 202262617: Sent -> Accepted
OnOrderStateChanged: 202262618: Sent -> Accepted
Command #202262617 Create for Order #202262617 (Buy 1 6EM2 LMT 130.14) updated
OnOrderStateChanged: 202262616: Accepted -> Working
Working
OnOrderStateChanged: 202262617: Accepted -> Working
Working
Command #202262619 Modify for Order #202262617 (Buy 1 6EM2 LMT 130.14) updated
Step into: Stepping over non-user code 'OEC.API.OECClient.FireOnCommandUpdated'
Step into: Stepping over non-user code 'OEC.API.Core.UpdateCommand'
Step into: Stepping over non-user code 'OEC.API.Core.DispatchClientResponse'
Step into: Stepping over non-user code 'OEC.API.Core.FrontLayer_ResponseReceived'
Step into: Stepping over non-user code 'OEC.API.Layers.ExecutionLayer.SendResponseUp'
Step into: Stepping over non-user code 'OEC.API.Layers.OECConnectionLayer.ReadConnection'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbackDo'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbackHelper'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbacks'
OnOrderStateChanged: 202262618: Accepted -> Working
The thread '<No Name>' (0x1f70) has exited with code 0 (0x0).
Working
Step into: Stepping over non-user code 'OEC.API.OECClient.FireOnOrderStateChanged'
Step into: Stepping over non-user code 'OEC.API.Core.AddOrderState'
Step into: Stepping over non-user code 'OEC.API.Core.AddOrderState'
Step into: Stepping over non-user code 'OEC.API.Core.DispatchClientResponse'
Step into: Stepping over non-user code 'OEC.API.Core.FrontLayer_ResponseReceived'
Step into: Stepping over non-user code 'OEC.API.Layers.ExecutionLayer.SendResponseUp'
Step into: Stepping over non-user code 'OEC.API.Layers.OECConnectionLayer.ReadConnection'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbackDo'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbackHelper'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbacks'
Command #202262620 Modify for Order #202262617 (Buy 2 6EM2 LMT 130.14) updated
Step into: Stepping over non-user code 'OEC.API.OECClient.FireOnCommandUpdated'
Step into: Stepping over non-user code 'OEC.API.Core.UpdateCommand'
Step into: Stepping over non-user code 'OEC.API.Core.DispatchClientResponse'
Step into: Stepping over non-user code 'OEC.API.Core.FrontLayer_ResponseReceived'
Step into: Stepping over non-user code 'OEC.API.Layers.ExecutionLayer.SendResponseUp'
Step into: Stepping over non-user code 'OEC.API.Layers.OECConnectionLayer.ReadConnection'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbackDo'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbackHelper'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbacks'
Command #202262619 Modify for Order #202262617 (Buy 2 6EM2 LMT 130.14) updated
Step into: Stepping over non-user code 'OEC.API.OECClient.FireOnCommandUpdated'
Step into: Stepping over non-user code 'OEC.API.Core.UpdateCommand'
Step into: Stepping over non-user code 'OEC.API.Core.DispatchClientResponse'
Step into: Stepping over non-user code 'OEC.API.Core.FrontLayer_ResponseReceived'
Step into: Stepping over non-user code 'OEC.API.Layers.ExecutionLayer.SendResponseUp'
Step into: Stepping over non-user code 'OEC.API.Layers.OECConnectionLayer.ReadConnection'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbackDo'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbackHelper'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbacks'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.WndProc'
Step into: Stepping over non-user code 'System.Windows.Forms.NativeWindow.DebuggableCallback'
Step into: Stepping over non-user code 'System.Windows.Forms.Application.ComponentManager.System.Windows.Forms.UnsafeNativeMethods.IMsoComponentManager.FPushMessageLoop'
The thread 'Reader Order' (0xce4) has exited with code 0 (0x0).
The thread 'Reader Price' (0x2948) has exited with code 0 (0x0).
The thread 'vshost.RunParkingWindow' (0x321c) has exited with code 0 (0x0).
The thread '<No Name>' (0x1190) has exited with code 0 (0x0).
The program '[10392] TradePlatform.vshost.exe: Managed (v4.0.30319)' has exited with code 0 (0x0).


Here is the code I am using to create the linked order:

OEC.API.Order[] draftOrders = OECClient.Global.SendLinkedOrders(mainOrder, profit1Order, stopLossOrder);

profit1Order is the OrderDraft with a Quantity = 1

---

John Gagnon

Posted: Mar 14, 2012 @ 06:09 PM             Msg. 2 of 7

Here's a little more detail from the OEC Advanced Example:

19:06:18.792 202262633 Command Create Buy 1 6EM2 LMT 130.14
19:06:18.792 4246369 State Sent
19:06:18.823 4246372 State Accepted
19:06:18.852 202262635 Command Modify To: Buy 2 6EM2 LMT 130.14
19:06:18.852 4246375 State Working #2829550
19:06:18.878 202262636 Command Modify To: Buy 2 6EM2 LMT 130.14

19:07:15.186 202262638 Command Cancel
19:07:15.211 4246378 State Cancelled

As you can see above when it goes from Accepted to Working the Quantity instantly changes to 2, then there is a second Modify command getting executed, really no idea what is going on here.

---

John Gagnon

Posted: Mar 15, 2012 @ 06:22 PM             Msg. 3 of 7

Am I correct that a limitation of using SendLinkedOrders that if the quantity is not the same as the first order (mainorder) that the system changes the quantity to match that of the mainorder?

For example I just sent the following linked orders:

Command #202263224 Create for Order #202263224 (Sell Short 3 6EM2 STP 130.15 LMT 130.14) updated
Command #202263225 Create for Order #202263225 (Buy 2 6EM2 STP 131.65) updated
Command #202263226 Create for Order #202263226 (Buy 1 6EM2 LMT 130.13) updated
OnOrderStateChanged: 202263224: Sent -> Accepted
OnOrderStateChanged: 202263225: Sent -> Accepted
OnOrderStateChanged: 202263226: Sent -> Accepted
OnOrderStateChanged: 202263224: Accepted -> Working
Working
OnOrderStateChanged: 202263225: Accepted -> Working
Working
Command #202263227 Modify for Order #202263225 (Buy 2 6EM2 STP 131.65) updated
Command #202263226 Create for Order #202263226 (Buy 1 6EM2 LMT 130.13) updated
OnOrderStateChanged: 202263226: Accepted -> Working
Working
Command #202263228 Modify for Order #202263226 (Buy 1 6EM2 LMT 130.13) updated
Command #202263227 Modify for Order #202263225 (Buy 3 6EM2 STP 131.65) updated
Command #202263229 Modify for Order #202263226 (Buy 3 6EM2 LMT 130.13) updated
Command #202263228 Modify for Order #202263226 (Buy 3 6EM2 LMT 130.13) updated

As you can see quantity of Order 202263224 = 3
quantity of Order 202263225 = 2
quantity of Order 202263226 = 1

Yet the system changed all quantities to match the main order quantity.

I originally had quantities (2, 2, 1) and it was changing the profit target order quantity to 2.

Please confirm.

I will stop using SendLinkedOrders and instead start using SendOCOOrders with hopefully better results.

---

John Gagnon

Posted: Mar 15, 2012 @ 09:49 PM             Msg. 4 of 7

I'm still stuck on this
Trying to figure out what is modifying my linked order once it moves into the "Working" state:

Command #202263346 Modify for Order #202263345 (Buy 1 6EM2 LMT 130.09) updated
Step into: Stepping over non-user code 'OEC.API.OECClient.FireOnCommandUpdated'
Step into: Stepping over non-user code 'OEC.API.Core.UpdateCommand'
Step into: Stepping over non-user code 'OEC.API.Core.DispatchClientResponse'
Step into: Stepping over non-user code 'OEC.API.Core.FrontLayer_ResponseReceived'
Step into: Stepping over non-user code 'OEC.API.Layers.ExecutionLayer.SendResponseUp'
Step into: Stepping over non-user code 'OEC.API.Layers.OECConnectionLayer.ReadConnection'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbackDo'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbackHelper'
Step into: Stepping over non-user code 'System.Windows.Forms.Control.InvokeMarshaledCallbacks'
Command #202263347 Modify for Order #202263345 (Buy 2 6EM2 LMT 130.09) updated

---

John Gagnon

Posted: Mar 18, 2012 @ 11:05 PM             Msg. 5 of 7

If I send a sell-short 2 contracts and wait for it to fill
Then send an OCO:
1 contract for buy-limit
2 contract for buy-stop

If I kill my program as soon as the order is sent, and then check the progress in the Advanced OEC Example program, the order quantities get modified to be reversed:
2 contract for buy-limit
1 contract for buy-stop

Why is this happening?

---

John Gagnon