ECN, order execution, aggregators, liquidity. - page 7

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MetaDriver:

I'm not implying denial, I'm honestly asking because I'm not aware of it. // didn't write for the exchange

No, wrongly expressed, under btc-e, not under the exchange. There are no positions there. I.e. there is only currency portfolio and orders, you may do what you want with it. Plus, in order to sell something you don't want, you have to buy something you don't want.
 
MetaDriver:

What is the difference?

I'm not implying denial, I'm honestly asking, because I'm not aware of it. // didn't write for the exchange

there are many things to consider, including partial execution.
 
TheXpert:
No, I misspoke, under btc-e, not under the exchange. There are no positions there. I mean, there's only a currency portfolio and orders, so you do what you want with it. If you sell something you don't need, you first have to buy something you don't need.
it's pretty much the same for an exchange, only there's no FUCKING hashing and no FUCKING POST-queries
 
MetaDriver:
The general case is this:
https://www.mql5.com/ru/forum/12342/page3#comment_543724
Interesting from the point of view of the TC logic to handle such situations:

There was a Limit with a Take:

- The Limit Line was partially executed several times, generating several open positions with the Take Line. At the same time the remaining volume remained in the form of the Limit.

- Each of the positions was partially closed by a take.

How to write TS, so that such things do not break the logic?
In any TS, there should be a signal to cancel the entry. By timeout or price action. The conditions necessary for entry have changed and the limiter is removed (if it is still hanging). I.e. conditions of cancellation depend on the logic of the TS
 
MetaDriver:
The general case is this:
https://www.mql5.com/ru/forum/12342/page3#comment_543724
Interesting from the point of view of the TC logic to handle such situations:

There was a Limit with a Take:

- The Limit Line was partially executed several times, generating several open positions with the Take Line. At the same time the remaining volume remained in the form of the Limit.

- Each of the positions was partially closed by a take.

How do I write a TS so that such things don't break the logic?
I have not written such complex systems. If we need to track each position, the task will be non-trivial. In such a case, I would switch to STP. There we can prohibit partial execution, and then the orders will be sent as Fill-or-Kill.
 
MetaDriver:
The general case is this:
https://www.mql5.com/ru/forum/12342/page3#comment_543724
Interesting from the point of view of the TC logic to handle such situations:

There was a Limit with a Take:

- The Limit Line was partially executed several times, generating several open positions with the Take Line. At the same time the remaining volume remained in the form of the Limit.

- Each of the positions was partially closed by a take.

How do I write my TS so that such things do not break the logic?
If the trading engine is well designed, these problems are solved by themselves. Specifically, my engine has the manager of active positions. The logic of the TS itself is described in a separate module. The manager searches through positions and fits each of them to the TS logic in turn. The strategy works with the position without thinking where it's coming from. Thus, it does not matter how many positions were generated by partial execution. It is only important that all of them are in the list of positions, and then they will be processed according to the same rules implemented in the system.
 
Rann:
I have not written such complex systems. If you need to track every position, it will be a non-trivial task. In that case, I would switch to STP, where we can prohibit partial execution, then the orders will be sent as Fill-or-Kill.
It would be nice if such situations on the demo were simulated in real time
 
sumkin75:
It would be nice if these situations were simulated in the demo in real time
All trade settings are simulated in the demo.
 
I'm sure that in real life too )
 
sanyooooook:
I'm sure it's the same for real as well)

By "simulated" I mean that it works the same way as in real life.

If you are subtly suggesting by this post that nothing is going anywhere, I suggest arguing for money (now that's fashionable).

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