SmartQuant Discussion

Hi,

What happens exactly if a fill is sent by a broker while OQ is disconnected from the execution provider?

For example:
1- OQ sends a limit order which is not immediately filled
2- 1 mn later, the execution provider unexpectedly disconnects (OnDisconnected event called because Internet is down for example)
3- the market moves and the order is filled (while OQ is disconnected)
4- OQ automatically reconnects (OnConnect event called, internet is back up).

In this specific case, OQ is not stopped/restarted so it has all order IDs, etc...

In my case, the execution provider is either IB or Integral.
Do they send fill reports when OQ automatically reconnects?

Thanks!

Yes for Integral FIX and no for IB.

Thanks.

Can I expect the same behaviour if OQ has Persistent option ON, it is restarted after disconnection and the strategy is run again?

Regards,
PBJ

Hi,

existing (in OQ) orders and fills get stored in OQ database (and loaded next time on startup) if you enable persistent option. It has nothing to do with fills existing on a broker server (and missing in OQ) in case OQ gets disconnected from a broker.

FIX protocol / FIX engines normally send missing fills after reconnect. Behavior of API based plugins depends on the broker API implementation.

Regards,
Anton

Thanks.

So if persistent mode is ON all orders and their IDs are saved.
So I guess when I reconnect to a FIX based broker and receive fills that happened when the session was down, OQ will change the status of these orders (that were persisted and restored at start) to reflect that, right? Does OnOrderFilled get called then?