Matchstick engine
What does your trading bot think happened?
An order goes out twice. A cancel doesn't actually cancel. A stop someone counted on isn't there anymore. Usually nobody can say for sure what happened, because the software only knows what it meant to do.
I'm building a small trading engine that keeps a receipt for every order: what it sent, what the broker said back, and what's still open. When it isn't sure, it says so instead of guessing. Right now it only runs on paper accounts. In development
- 09:30:00.120 Sent Buy 2 @ 101.25
- 09:30:00.180 Came back Accepted
- 09:30:04.510 Sent Cancel
- 09:30:04.510 Still open Open Not sure
No answer to the cancel yet, so the receipt says so instead of guessing.
Tell me what happened
If this has happened to you, tell me about it below. It's free, and I read every one. If you build a trading tool yourself and want a second pair of eyes on how it handles orders, say so here too.
Matthew Hendricks. The longer version is on my blog.
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