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Today in live trading the algo used liquidate() to liquidate a short holding at the beginning of market open. The filled price was $2.95 with $1 fees with a market long order. But the highest price in Yahoo's data of today was much less than $2.95. Though it should have been profitable it turned into a loss. I believe there is a microstructural problem.
Log:
New Order Event: Time: 4/20/2018 9:30:00 AM OrderID: 10 Symbol: MTEX Status: Filled Quantity: 61 FillPrice: 20.95 USD OrderFee: 1 USD Message: Interactive Brokers Order Fill Event.
Yahoo Screen Shot:
Weiheng Liang
Sorry a mistake the filled price is 20.95.
Michael Manus
yesterdays volume shown by IB is 9,2K shares.
can you tell me the fill price? because you mention it was not profitable???? you see yourself on your picture that avg volume is 5,6k shares. you will never get the price you want with market order with 5,6k shares a day or 9,2k.....
which order type was it?
Weiheng Liang
I just used Liquidate(), so it was a market order. The filled price was 20.95. I knew the volume was shallow and there would be a slippage. But my question is the highest of EOD data is only 20.55.
Michael Manus
IBs daily candle shows 20,7 as highest on that day.....the same as google finance. dont trust yahoo data
to answer your question i would need to be a professional trader but maybe someone from the quantconnect community can answer this....
lets try......because the quantity of 63 is very small i dont think its worth a tick on this planet.
second guess:
you couldnt see the order because it was hidden......so maybe :
Michael Manus
Michael Manus
you should definitely take a look at this youtube videos
at least to minute 8 !
George Briggs
MTEX is a low float stock with low daily volume. Take a look at the bid/ask spread of your screenshot and confirm the fill price on IB.
I'm not seeing any evidence QuantConnect is the root of the problem for the information given about this trade.
Weiheng Liang
I am saying it is a problem from QuantConnect. I was saying I believe it is microstructural problem such as dark pools or not worthy to be recorded in a tick mentioned by Manus.
But the problem happened and disappeared in the EOD data. I am changing the liquidating way for that.
Michael Manus
hmm so both of you are correct :)
or not :):):)
but for IB it was too less volume to make a tick .. its no ones fault
everyone is saying that: always use limit orders...always.....now we know it
Weiheng Liang
Yes, I am using limit orders to build the portfolio with market orders to liquidate because the leverage is easier to manage. For now I have to think of a more complex liquidation by using limit orders.
Weiheng Liang
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