What this mail from IG mean?
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What´s the difference from before?
I got the same email.
I see the difference from before as … now the price we get filled at can be ‘slipped / moved’ from the price when we pressed the button (manual trade) or code was executed (AutoTrade).
Prior to the email and 28 Mar 24, if price slipped / moved then our orders would be Rejected and a System stopped after 11 Rejections.
Both scenarios above refer to at Market Orders.
I’m happy to be corrected re above.
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I reckon Stop and Limit Orders will still get Rejected for the minimum distance error.
Buy / Sell at Market means bang on the price at market now … so an at Market Order will nearly always be inside the minimum distance limits.
When an at Market Order gets Rejected for min dist error … its IG telling us (with an imperfect error message) that they are not accepting any Orders (due to unbalanced books / very high volatility).
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An example will aid understanding …
We click the button (or code executes) to Buy at Market, price when button clicked is 39,875.
Due to Latency & Volatility, when IG executes the Order, price has risen to 39,878.
Up to 28 March 24, the Order would get Rejected (39,875 / price no longer available).
After 28 March 24, we would get filled at 39,878.
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Yeah last week I had a algo buy trade on Wall Street Cash which traded 15 points away from where the instruction was given. The problem is that if you have a fixed stop loss it will then calculate from the position price which is 15 points higher/lower from where it should have been. So the correlation between back tests and live trading will be be even less. My suggestion is to not consider back tests but rather demo tests before going live (I presume the rule change will be applicable on the demo live). I have asked IG markets if there is some kind of protection for a runaway market for example the market moves 50 points away from the order price and they confirmed no there is not. Perhaps somebody can suggest some code which can be used to get protection from such a scenario for algos?
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This is the text I created when only TempusFugit’s post was there. This thus does not incorporate GraHal’s ideas about it. Therefore it may give other insights or ideas (I am guessing myself, as you will see below).
I did not post it yesterday because I was working out something else in the same post, but that became too vague to post. So without that :
My interpretation (coincidentally worked out an hour ago, also with the help of the old version of that email and the new version a couple of days later) :
We may recall from only recently that IG told to PRT (I was involved there myself) *and* to a user – both maybe 6 weeks ago only – that all orders are treated like Limit orders. We were very surprised, but it was – as it seemed – IG’s deadening of some happenings on stop distances too far from the price, their “but this also counts for Limit orders” (huh ?!?) and let’s say that I have my own interference because I don’t even have Stop orders while the systems get rejected before the trade is opened (receives position).
Sorry for that long sentence.
Maybe we also recall that PRT support told me to let work out IG this one example I had, which was too far out to be normal (so PRT asked IG to work out this example without “we don’t like to” for an answer).
It now is my conclusion that this (email) came from it.
In the text you can “see through” that IG (prior to 28-03) used a means to give you the best price, which would be a Limit Order indeed, no matter you placed a Market Order. This is a bit vague because real Limit Orders can be given too (which I do too, apart from Market orders) and then what. But it will be about this former, your Market Orders which were turned into Limit orders and where their own “distance rule” creates their own pitfall.
[…]
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If at market order is ‘a good one’ it may work out better.
If price zooms up 4 points between us pressing the button to Buy and IG executing the Order and then price goes on zooming to 40 points higher. which would we prefer …
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Get filled anyway and gain 36 points?
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Not get filled and gain 0 points, maybe even Algo closed after 11 Rejections.
MAXDIF = 3
During high volatility, it be hard to predict what value would always work for MaxDIF as IG often implement a minimum distance of > 100 points when News is imminent etc etc.
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