After being copied to follower accounts, a limit order might not be filled due to the market price not reaching the specified limit, insufficient liquidity, the order's position in the queue, or partial fills when not enough contracts are available at the limit price.
The responsibility for an unfilled order doesn't lie with the trader, the copier or the broker; it's a result of market conditions and the dynamics of supply and demand. Brokers execute orders based on set conditions but don't control market prices or liquidity. Understanding market conditions and the nature of traded futures is essential for managing expectations around limit orders.
Why a limit order may not be filled
- Market price hasn't reached the limit price: the most common reason. If the market does not move to or beyond your limit price, the order will not execute.
- Lack of liquidity: even if the market price reaches your limit price, if there isn't enough liquidity your order may not be filled.
- Order priority (FIFO): the market operates on a first-come, first-served basis. If there are orders placed before yours at the same limit price, those orders may be filled first, especially in a fast-moving market where the price hovers around the limit price only briefly. This can lead to the leader's order being filled and the followers' not.
- Partial fills: in some cases your order might be partially filled if there are not enough contracts available at your limit price to complete the order in full. The unfilled portion of the order remains active until the market can fulfill it or until you cancel the order.
- Order rejections: a follower account's order might be rejected if it is too close to the current market price and is therefore copied at an invalid price, or if the market moves too quickly for the order to be successfully filled.
How to prevent this in Replikanto
ATM Copy
ATM Copy uses NinjaTrader's ATM strategy to manage the follower's exit orders instead of copying them from the leader account. This requires the trade to be submitted within the NinjaTrader desktop. It is useful if you're using an ATM strategy in the leader account's trades.
Follower Guard
Follower Guard was created to protect follower accounts. Its option Cancel the follower entry order if it is not filled (Replikanto Properties..., Follower Guard group; off by default) cancels a follower's entry order that has not filled at all a few seconds after the leader's entry fills. It also cancels the exit orders Replikanto copied for that entry. An entry that is already partially filled is not cancelled.
- The delay is set in Cancel the follower entry order after X seconds (5 seconds by default). It must be lower than Flatten the follower if it becomes out of sync after X seconds (10 seconds by default).
- Starting with Replikanto 1.7.0.0, the follower account's other working orders, such as orders on another instrument, orders you placed by hand, or orders copied by another Replikanto tab, are left in place. On earlier versions they could be cancelled too, so update to 1.7.0.0 if you share a follower account between tabs or trade other instruments on it.
- If Disarm Followers is enabled, the follower is also disarmed and does not copy new trades until you re-arm it.
Market Only
If your priority is to ensure that the follower accounts enter the market at the same time as the leader account, even with potential price slippage, the Market Only feature may be beneficial. If you are using limit orders to enter on the leader account, the Market Only feature will prevent your limit orders from being copied to the follower accounts at the front, but they will be copied to the follower accounts as a market order once the leader entry limit order is filled by the market.
Which feature fits your goal
- Managing follower exits with your ATM strategy → ATM Copy
- Avoiding followers left in a position the leader isn't in → Follower Guard
- Ensuring followers enter alongside the leader, accepting potential slippage → Market Only
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