Example: I have a long position. I set a SELL LIMIT order to take profit and a SELL MARKET TRAILING STOP order. If SELL LIMIT is hit first, TRAILING STOP is cancelled. And vice versa. One Cancels Other Order (OCO).
How long does it take for the other leg of the OCO order to be cancelled? I suppose there is a risk of being filled on the second leg of the order if market moves too fast (10-15 milliseconds?). If my assumption is correct, what would be the advise of TRADOVATE to manage this? Please also let us know if both orders are managed on Tradovate side or at the exchange side.
My understanding is that it is managed at the exchange level and should never be able for both to fill at the same time. However, I would not bet my life on it.
I had this exact thing happen to me today - I was long with an OCO for closing the position, the profit target got hit and then 34ms later my stop loss was hit before the market flew back up causing a pretty decent loss - i have a timed ‘go flat’ set on that strategy though which got me out of the position. I also have a ‘Daily loss limit’ set on my account in case of something like this happening, although the market moved too quickly for it and caused my loss to be greater than my max loss limit
I have also contacted support to see if they have anything to say about it
Support got back to me with:
"While the cancellation request was submitted, the Stop order was already being filled. The CME will prioritize filling an order before a cancellation request should they happen at the same time.
An OCO does not guarantee a cancellation."
No doubt the error is put back onto the trader to manage them self.
In an OCO order on Tradovate, once one leg is executed, the other is typically canceled almost immediately. However, in fast-moving markets, there’s a small risk (a few milliseconds) that the second leg could still get filled before cancellation processes.
Both orders are managed on Tradovate’s side, not directly at the exchange. To minimize risk, consider using stop-limit orders or tighter risk management strategies.
