I see lot of posts about order rejections in the community. What are DO’s and DON’Ts while deploying Stratzy algos to minimize order rejections. Whether orders are getting rejected for reasons other than insufficient margins.
Hi @nijinwilson
Most order rejections observed by users are a consequence of the latest exchange regulations, under which API-based orders can only be placed as LIMIT orders. While we’ve continuously optimized our execution mechanism, LIMIT orders are inherently subject to market liquidity and therefore cannot be guaranteed to get filled.
To help minimize order rejections, here are a few best practices:
DO’s
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Maintain the allocated capital in your broker account throughout the trading session.
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Keep your broker session active before market hours.
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Allow the Algo to manage the complete trade lifecycle without interruption.
DON’Ts
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Avoid manually modifying or cancelling Algo-generated orders while they’re being managed by the Algo, especially during the retry window.
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Avoid placing manual orders to recreate a missed leg, as the Algo will only manage positions that it has entered itself.
Apart from insufficient margins due to hedge benefits not being unlocked, orders may also remain pending or get rejected due to factors such as market liquidity and volatility, which are outside the Algo’s control.
We’re continuously improving the execution framework, and the recently introduced Retry Mechanism is one of the steps we’ve taken to further reduce such scenarios.
I hope this helps clarify your query.