Too many child orders #870

emretezel · 2022-11-30T10:40:18Z

emretezel
Nov 30, 2022

Hi Everyone,

I am trying to force roll 5 NIKKEI contracts from Dec to March. I have noticed that on instrument order stack I have a single spread order for 5 contracts, however when I look at contract or broker order stacks, I noticed that there are 20+ child orders.

Just wanted to check whether this is expected behavior, nothing has filled yet, but want to make sure the stack handler won't overtrade.

Best,
Emre

tgibson11 · 2022-11-30T13:30:20Z

tgibson11
Nov 30, 2022

Sounds like something is definitely wrong there.

My first thought is system config. generate_force_roll_orders should only run once, not in a loop like most of the stack handler functions. (Although as I write that, I think that would only generate the instrument orders, not contract orders...still, I'd check that anyway because it's easy.)

Second, run interactive order stack and paste the instrument and contract order stacks so we can see what you're looking at (picture == 1000 words, etc.)

You'll probably then need to provide the output from the stack handler that caused this.

4 replies

tgibson11 Nov 30, 2022

Looking at the code, generate_force_roll_orders, does indeed create both instrument and contract orders.

My first guess is looking better than I thought.

emretezel Nov 30, 2022
Author

INSTRUMENT STACK

(Order ID:129) Type Zero-roll-order for _ROLL_PSEUDO_STRATEGY NIKKEI, qty [0], fill [0]@ price, None Parent:no parent Children:[106]
(Order ID:130) Type Zero-roll-order for _ROLL_PSEUDO_STRATEGY US2, qty [0], fill [0]@ price, None Parent:no parent Children:[107]
0: View specific order
1: View instrument order stack
2: View contract order stack
3: View broker order stack (stored local DB)
4: View IB orders and fills
9: View positions

Your choice? 2

CONTRACT STACK

(Order ID:106) Type best for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-5, 5], fill [0, 0]@ price, None Parent:129 Children:[152, 153, 154, 155, 156, 157, 158, 159, 160, 161, 162, 163, 164, 165, 166, 167, 168, 169, 170, 171, 172, 173, 174, 175, 176, 177]
(Order ID:107) Type best for _ROLL_PSEUDO_STRATEGY/US2/20221200_20230300, qty [3, -3], fill [0, 0]@ price, None Parent:130 Children:no_children
0: View specific order
1: View instrument order stack
2: View contract order stack
3: View broker order stack (stored local DB)
4: View IB orders and fills
9: View positions

Your choice? 3

Broker stack (from database):

(Order ID:152) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:153) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:154) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:155) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:156) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:157) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:158) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:159) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:160) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:161) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:162) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:163) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:164) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:165) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:166) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:167) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:168) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:169) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:170) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:171) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:172) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:173) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:174) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:175) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:176) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
(Order ID:177) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children

tgibson11 Nov 30, 2022

Ok, so clearly too many broker orders are being created. Rob will probably be better at figuring this out, but I can try to help until he jumps in, if you like.

Were these generated by the stack handler, or interactively?

If they were generated by the stack handler, do you have the output that shows these broker orders being created? It should be in your $ECHO_PATH if you're running the processes like Rob does.

If they were done interactively, you'll have logs in Mongo that you can get from interactive_diagnostics.

Another question: are these orders being submitted to IB? If not, have you deliberately done something to prevent that?

emretezel Nov 30, 2022
Author

The orders are being generated by stack handler, nothing custom, and they seem to have been submitted to IB. I will check the logs.

Thank you

robcarver17 · 2022-11-30T15:56:55Z

robcarver17
Nov 30, 2022
Maintainer

That is weird. Yes please paste in the logs.

4 replies

robcarver17 Nov 30, 2022
Maintainer

OK that isn't helpful - there is nothing in there related to Nikkei! Can you find the portion of the log where the child orders were generated???

emretezel Nov 30, 2022
Author

Please see below, the IB orders keep getting cancelled and new ones sent and the cycle repeats for a long time.

Thanks in advance.

(base) pysystemtrade@emre-OptiPlex-3080:~/echos$ grep NIKKEI run_stack_handler_20221130.arch | more
2022-11-30 00:05:15 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': '', 'instrument_order_id': 0} [Warning] Short of time, so allocating to algo_market
2022-11-30 00:05:15 {'type': 'stack_handler', 'component': 'mongoInstrumentOrderStackData', 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'instrument_order_id': ''} New order (Order ID:no order ID) Type Zero-roll-order for _ROLL_PSEUDO_STRATEGY NIKKEI, qty
[0], fill [0]@ price, None Parent:no parent Children:no_children LOCKED putting on Instrument order stack: mongoData connection for INSTRUMENT_ORDER_STACK/production, 127.0.0.1 with 0 active orders
2022-11-30 00:05:15 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'instrument_order_id': ''} Added parent order with ID 129 (Order ID:no order ID) Type Zero-roll-order for _ROLL_PSEUDO_STRATEGY NIK
KEI, qty [0], fill [0]@ price, None Parent:no parent Children:no_children LOCKED to stack
2022-11-30 00:05:15 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'instrument_order_id': 129, 'contract_order_id': ''} Put child order (Order ID:no order ID) Type best for _ROLL_PSEUDO_STRATEGY/NIK
KEI/20221200_20230300, qty [-5, 5], fill [0, 0]@ price, None Parent:129 Children:no_children LOCKED on stack with ID 106 from parent order (Order ID:no order ID) Type Zero-roll-order for _ROLL_PSEUDO_STRATEGY NIKKEI, qty [0], fill [0]@ price, None Parent:no parent Children:no_child
ren LOCKED
2022-11-30 01:45:03 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'instrument_order_id': 129} Sending order (Order ID:106) Type best for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221
200_20230300, qty [-5, 5], fill [0, 0]@ price, None Parent:129 Children:no_children to algo sysexecution.algos.algo_market.algoMarket
2022-11-30 01:45:03 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'instrument_order_id': 129} Cut down order to size [-5, 5] from [-1, 1] because of algo size limit
2022-11-30 01:45:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'instrument_order_id': 129} Created a broker order (Order ID:no order ID) Type market for _ROLL_PSEUDO_ST
RATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children (not yet submitted or written to local DB)
2022-11-30 01:45:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'component': 'ibExecutionStackData', 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': ''} Going to submit order (Order ID:no order ID)
Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children to IB
2022-11-30 01:45:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'component': 'ibExecutionStackData', 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': ''} Order submitted to IB
2022-11-30 01:45:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'instrument_order_id': 129, 'broker_order_id': ''} Submitted order to IB (Order ID:no order ID) Type mark
et for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
2022-11-30 01:45:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Managing trade (Order ID:152) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/202212
00_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children with market order
2022-11-30 01:45:37 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:46:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:46:37 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:47:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:47:37 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:48:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:48:37 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:49:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:49:37 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:50:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:50:37 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:51:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:51:37 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:52:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:52:37 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:53:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:53:37 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:54:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:54:37 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:55:07 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Run out of time to execute: cancelling
2022-11-30 01:55:08 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 152} Cancelled order
2022-11-30 01:55:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'instrument_order_id': 129} Sending order (Order ID:106) Type best for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221
200_20230300, qty [-5, 5], fill [0, 0]@ price, None Parent:129 Children:[152] to algo sysexecution.algos.algo_market.algoMarket
2022-11-30 01:55:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'instrument_order_id': 129} Cut down order to size [-5, 5] from [-1, 1] because of algo size limit
2022-11-30 01:55:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'instrument_order_id': 129} Created a broker order (Order ID:no order ID) Type market for _ROLL_PSEUDO_ST
RATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children (not yet submitted or written to local DB)
2022-11-30 01:55:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'component': 'ibExecutionStackData', 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': ''} Going to submit order (Order ID:no order ID)
Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children to IB
2022-11-30 01:55:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'component': 'ibExecutionStackData', 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': ''} Order submitted to IB
2022-11-30 01:55:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'instrument_order_id': 129, 'broker_order_id': ''} Submitted order to IB (Order ID:no order ID) Type mark
et for _ROLL_PSEUDO_STRATEGY/NIKKEI/20221200_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children
2022-11-30 01:55:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Managing trade (Order ID:153) Type market for _ROLL_PSEUDO_STRATEGY/NIKKEI/202212
00_20230300, qty [-1, 1], fill [0, 0]@ price, None Parent:106 Children:no_children with market order
2022-11-30 01:55:40 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:56:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:56:40 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:57:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:57:40 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:58:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:58:40 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:59:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 01:59:40 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:00:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:00:40 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:01:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:01:40 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:02:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:02:40 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:03:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:03:40 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:04:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:04:40 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Market order execution current tick oneTick(bid_price=71.0, ask_price=72.0, bid_s
ize=250.0, ask_size=20.0)
2022-11-30 02:05:10 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Run out of time to execute: cancelling
2022-11-30 02:05:11 {'type': 'stack_handler', 'broker': 'IB', 'clientid': 333, 'strategy_name': '_ROLL_PSEUDO_STRATEGY', 'instrument_code': 'NIKKEI', 'contract_order_id': 106, 'broker_order_id': 153} Cancelled order

emretezel Dec 1, 2022
Author

Same problem persists this morning, NIKKEI IB spread orders keep getting cancelled.

emretezel Dec 1, 2022
Author

Seeing the following error repeat in the gateway logs

2022-11-30 01:45:08.127 [FL] INFO [JTS-CCPDispatcherS2-35] - OrderFactory - transmitting order: id=1547083017 mod=0 liq=false, ec=N225M + (1) 167120019 - (1) 168030019 Calendar Spread, price=72.0, size=1, side=2
2022-11-30 01:45:08.147 [FL] WARN [JTS-CCPDispatcherS2-35] - Illegal call for cash Quantity base price by a non cashQuantity capable order:id=1547083017 mod=0 liq=false sym=N225M side=SELL qty=1 tif=DAY orderType=MKT lmtPrice=72.0 stopPri
ce=73.0 offsetAmt=0.01 originator=Socket orderRef=null ruleGroup=[, ] state=jfix.FixOrderState$Submitted acct=. faParams=null cum=0 conid=59343587 exch=OSE.JPN compExch=null best=null goodTil=ExpireDateTime [null] secType=BAG
ddeId=17916 avpx=1.7976931348623157E308 cumFill=0 unallocatedQuantity=NaN preserveDeactivate=false state=jfix.FixOrderState$Submitted chameleonParams=null adjustedAttribs=None 1.7976931348623157E308 1.7976931348623157E308 1.7976931348623157
E308 1.7976931348623157E308 Attributes: AcceptLargeSize=false Hidden=false AutoCancelParent=false OptionAcctAttrib=c GuardRailsOrderTypeStatus=1 ReceiptTime=20221130-01:45:07 NoDarkPools=false OrderCreationTime=20221130-01:45:07 Clearing=/
IB TouchedTrigger=71.0 StartingPrice=1.7976931348623157E308 OptOutSmartRouting=false NotHeld=false FacilitationPct=2147483647 StockRangeLower=1.7976931348623157E308 DarkPoolOnly=false ReferencePriceType=null PeggedChangeAmount=1.7976931348
623157E308 SoftDollars= OutsideRth=false StockRefPrice=1.7976931348623157E308 Volatility=1.7976931348623157E308 ReferenceContractExchange=null TrailingUnit=null AllOrNone=false OpenCloseAttrib=O TriggerMethod=Default StockRangeUpper=1.797
6931348623157E308 ReferenceChangeAmount=1.7976931348623157E308 DisplaySize=2147483647 IsOrderInTransitionalState=false UsePriceMgmtAlgo=false DeltaNeutralOrderType=None PostToAts=2147483647 VolatilityType=null DeltaNeutralAuxPrice=1.7976931
348623157E308 SweepToFill=false ContinuousUpdate=false NonGuaranteed=false MinCompeteSize=2147483647 CrossQuantity=2147483647 ReferenceContractId=2147483647 CompeteAgainstBestOffset=1.7976931348623157E308 RelativeDiscretionary=false Blotte
rPreConfiguredOrder=false Delta=1.7976931348623157E308 BlockOrder=false MinimumQuantity=2147483647 TwoSidedCrossOrderId=null AlgoAttribts: null CompletedAttribs:
2022-11-30 01:45:08.519 [FL] WARN [JTS-CCPDispatcherS2-35] - Illegal call for cash Quantity base price by a non cashQuantity capable order:id=1547083017 mod=0 liq=false sym=N225M side=SELL qty=1 tif=DAY orderType=MKT lmtPrice=72.0 stopPri
ce=73.0 offsetAmt=0.01 originator= orderRef=null ruleGroup=[, ] state=jfix.FixOrderState$Pending acct=. faParams=null cum=0 conid=59343587 exch=OSE.JPN compExch=null best=null goodTil=ExpireDateTime [null] secType=BAG ddeId=1
7916 avpx=1.7976931348623157E308 cumFill=0 unallocatedQuantity=NaN preserveDeactivate=false state=jfix.FixOrderState$Pending chameleonParams=null adjustedAttribs=None 1.7976931348623157E308 1.7976931348623157E308 1.7976931348623157E308 1.797
6931348623157E308 Attributes: AcceptLargeSize=false Hidden=false AutoCancelParent=false OptionAcctAttrib=c GuardRailsOrderTypeStatus=1 ReceiptTime=20221130-01:45:07 NoDarkPools=false OrderCreationTime=20221130-01:45:07 Clearing=/IB Touche
dTrigger=71.0 StartingPrice=1.7976931348623157E308 OptOutSmartRouting=false NotHeld=false FacilitationPct=2147483647 StockRangeLower=1.7976931348623157E308 DarkPoolOnly=false ReferencePriceType=null PeggedChangeAmount=1.7976931348623157E308
SoftDollars= OutsideRth=false StockRefPrice=1.7976931348623157E308 Volatility=1.7976931348623157E308 AutoRouted=false ReferenceContractExchange=null TrailingUnit=null AllOrNone=false RecentSubmitModifyTime=20221130-01:45:08 OpenCloseAttr
ib=O TriggerMethod=Default StockRangeUpper=1.7976931348623157E308 ReferenceChangeAmount=1.7976931348623157E308 DisplaySize=2147483647 IsOrderInTransitionalState=false UsePriceMgmtAlgo=false DeltaNeutralOrderType=None PostToAts=2147483647 M
arketCapPrice=1.7976931348623157E308 VolatilityType=null DeltaNeutralAuxPrice=1.7976931348623157E308 SweepToFill=false ContinuousUpdate=false NonGuaranteed=false MinCompeteSize=2147483647 CrossQuantity=2147483647 ReferenceContractId=2147483
647 CompeteAgainstBestOffset=1.7976931348623157E308 RelativeDiscretionary=false BlotterPreConfiguredOrder=false Delta=1.7976931348623157E308 BlockOrder=false MinimumQuantity=2147483647 TwoSidedCrossOrderId=null AlgoAttribts: null Complet
edAttribs:

robcarver17 · 2022-12-01T08:51:59Z

robcarver17
Dec 1, 2022
Maintainer

Ok, so an order is being submitted, IB doesn't like it, and the algo runs out of time so gives up.

Rinse and repeat.

There are two issues here:

the spawned broker orders should not remain on the stack.
whatever is causing the order to be rejected.

The first I can probably diagnose and fix quite easily. The second is trickier. The only thing that seems odd just off the top of my head is that it's a market order, but has a limit price.

I won't have the time today, but you could try setting up the order as a minimum example just using ib insync and posting to https://groups.io/g/insync/topics

2 replies

emretezel Dec 1, 2022
Author

Thank you I will try with the insync group. Out of curiosity you don't have a position on NIKKEI at the moment which you needed to roll, or had to roll recently?

meldinman Dec 1, 2022

You can check rob's risk report github. Doesn't look like he has on any NIKKEI position.

emretezel · 2022-12-02T09:41:39Z

emretezel
Dec 2, 2022
Author

Hi Rob,

By way of update, I noticed I was couple weeks behind in the latest source tree, synced to the latest yesterday. There have been some updates on exchange times and ib client classes.

Long story short this morning, it rolled NIKKEI positions with no hassle.

I wonder whether this had to do with timing, for some reason previously the stack handler thought that it should give market orders vs. best strategy due to timing, and somehow that didn't work well with force spread rolls. I see now it uses the "best" strategy.

Thanks everyone for their time.

1 reply

robcarver17 Dec 2, 2022
Maintainer

I mean that's great and everything, but it doesn't fix the problem which is that you can't generate spread orders for Nikkei... anyway I've opened an issue so will look at it, but as you seem to be sorted I will treat it was lower priority than I would otherwise have done.

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