Hi there, I have a script running in the live-test environment.
I found that one of my order for 7500HK was closed at $4.77 on 7-Jul. However, I checked other data sources, the lowest price on that day doesn't hit that low.
Is there anything wrong?
It is a common industrial practice to base on bid/ask for TP/SL monitoring.
For example, you purchase 100 shares of stock ABC at $10. Also, you set SL level at $8 such that you want to limit the loss amount to $200 [i.e. 100*($8-$10)].
As it is a long position, your mark-to-market PL will be calculated as 100*(Bid - $10).
| Time | Bid | Ask | Last | Mark-to-market PL |
|---|---|---|---|---|
| 1 | 10 | 10.1 | 10.4 | 0 |
| 2 | 9.5 | 9.8 | 9.6 | -50 |
| 3 | 8.8 | 9.3 | 9 | -120 |
| 4 | 8 | 8.5 | 8.3 | -200 |
| 5 | 7.5 | 8.1 | 8 | -250 |
Therefore, your SL will be triggered at time 4 with a loss amount $200 realized.
However, for SL based on last price, it will be triggered at time 5. The realized loss will be $250, which can be much more than the orginal expected $200.
Our system currently doesn't support TP/SL based on last price.
If you really need to follow this logic, you will need to listen to a higher frequent data stream and monitor in your script.
Original Posted by - b'admin':It is a common industrial practice to base on bid/ask for TP/SL monitoring.
For example, you purchase 100 shares of stock ABC at $10. Also, you set SL level at $8 such that you want to limit the loss amount to $200 [i.e. 100*($8-$10)].
As it is a long position, your mark-to-market PL will be calculated as 100*(Bid - $10).
Time Bid Ask Last Mark-to-market PL 1 10 10.1 10.4 0 2 9.5 9.8 9.6 -50 3 8.8 9.3 9 -120 4 8 8.5 8.3 -200 5 7.5 8.1 8 -250
Therefore, your SL will be triggered at time 4 with a loss amount $200 realized.
However, for SL based on last price, it will be triggered at time 5. The realized loss will be $250, which can be much more than the orginal expected $200.
Our system currently doesn't support TP/SL based on last price.
If you really need to follow this logic, you will need to listen to a higher frequent data stream and monitor in your script.
Thanks for the explanation.
Could you provide an example how to implement?
