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| Working out slippage of an order |
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[sparkz]
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| Post subject: Working out slippage of an order |
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Posted: Tue 08 Sep, 2009, 16:13
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User rating: 0
Joined: Thu 27 Aug, 2009, 12:09
Posts: 23
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Is there any way of working out what the slippage was on an order without storing the bid/ask in a variable at time of creating the order.
I want to be able to pick up the slippage after the strategy has been restarted.
Thanks
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[sparkz]
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| Post subject: Re: Working out slippage of an order |
Post rating: 0
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Posted: Tue 08 Sep, 2009, 22:36
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User rating: 0
Joined: Thu 27 Aug, 2009, 12:09
Posts: 23
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Is there no way of doing this?
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API Support
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| Post subject: Re: Working out slippage of an order |
Post rating: 0
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Posted: Wed 09 Sep, 2009, 13:49
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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Unfortunately it is not possible.
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RoadRunner
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| Post subject: Re: Working out slippage of an order |
Post rating: 0
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Posted: Thu 10 Sep, 2009, 07:21
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User rating: 3
Joined: Wed 18 May, 2011, 16:25
Posts: 331
Location: SwitzerlandSwitzerland
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@DukasCopy.Support:
Implementation of a function
IOrder.setComment(String comment)
would provide us the possibility of a workaround to this issue.
A setComment(..)-function would allow us to save whatever trade related information we need in our strategies in a structured way (i.e. in string tokens, ...) and read it back in from there later on even after a new login, should a trade have continued after exiting a strategy.
Thanks a lot for considering,
RR.
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[sparkz]
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| Post subject: Re: Working out slippage of an order |
Post rating: 0
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Posted: Fri 11 Sep, 2009, 01:38
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User rating: 0
Joined: Thu 27 Aug, 2009, 12:09
Posts: 23
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I did think about putting the bid/ask price in there when the order was created.
I think you're right that would be very useful to set it at any time.
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API Support
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| Post subject: Re: Working out slippage of an order |
Post rating: 0
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Posted: Mon 14 Sep, 2009, 14:47
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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Currently we would not want to add such functionality (IOrder.setComment(String comment)) because of possible high working load on the trading servers.
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RoadRunner
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| Post subject: Re: Working out slippage of an order |
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Posted: Mon 14 Sep, 2009, 15:23
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User rating: 3
Joined: Wed 18 May, 2011, 16:25
Posts: 331
Location: SwitzerlandSwitzerland
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How about saving this information locally on the client side?
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[sparkz]
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| Post subject: Re: Working out slippage of an order |
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Posted: Mon 14 Sep, 2009, 16:28
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User rating: 0
Joined: Thu 27 Aug, 2009, 12:09
Posts: 23
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I did think about that but my Java isn't up to that level yet!  Even setting the comment to the bid/ask price at the time of creating the order might be useful.
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API Support
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| Post subject: Re: Working out slippage of an order |
Post rating: 0
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Posted: Wed 16 Sep, 2009, 11:59
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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