Algo Size Limit is reducing Order Qty to 1

[adnan-trader]

Hi Community,

I ran the following for the first time to set the trade limits:

1. interactive_controls
2. Option 0: Trade limits
3. Option 6: Auto populate trade limits

Note that limits increased from 1 to X for all the instruments. In particular, 1 to 4 for NASDAQ_micro.

So, I had an order change, correctly, from 5 to 4 per the new limit of 4 (see stack_handler echo below).

In stack_handler echo file:
2024-10-21 18:19:11 DEBUG Interactive-Order-Stack {'strategy_name': 'breakout_100', 'instrument_code': 'NASDAQ_micro', 'contract_order_id': 11, 'instrument_order_id': 11} breakout_100/NASDAQ_micro/20241200 trade change from [5] to [4] because of trade limits
2024-10-21 18:19:14 DEBUG Interactive-Order-Stack {'strategy_name': 'breakout_100', 'instrument_code': 'NASDAQ_micro', 'contract_order_id': 11, 'instrument_order_id': 11} Sending order (Order ID:11) Type best for breakout_100/NASDAQ_micro/20241200, qty [4], fill [0]@ price, None Parent:11 Children:no_children to algo sysexecution.algos.algo_original_best.algoOriginalBest
2024-10-21 18:19:14 DEBUG Interactive-Order-Stack {'strategy_name': 'breakout_100', 'instrument_code': 'NASDAQ_micro', 'contract_order_id': 11, 'instrument_order_id': 11} Cut down order to size [4] from [1] because of algo size limit

As you can see, the order was then further reduced to 1 because of algo size limit.

Why is the order size not staying at 4 as originally determined?
Where is the algo size limit set that is overriding the trade limit?

Note: I am currently using delayed market data for paper trading account.

Thanks Adnan

[bug-or-feature]

The message: "Cut down order to size [4] from [1] because of algo size limit" is a bug, should say "Cut down order to size [1] from [4] because of algo size limit"

Both the market and best algos have a size limit of 1 - they only trade one contract at a time. See line 25 of sysexecution/algos/algo_market.py and line 51 of sysexecution/algos/algo_original_best.py

[adnan-trader]

Thanks, I did read somewhere that the algo trades 1 contract at a time, but did not know if that was a parameter/configuration. Thanks for the pointer to the code.

Then, how does the remaining contracts in the order get executed? Will the stack_handler go back and add another trade of 1 until it completes all 4?

Please note that I have commented out in the control_config.yaml the following to enable "manual trading", as per docs (still learning):

# create_broker_orders_from_contract_orders:
#   frequency: 0
#   max_executions: -1

So, would I have to kick off the remaining 3 trades of size 1 myself using the interactive_order_stack module?

[bug-or-feature]

Then, how does the remaining contracts in the order get executed? Will the stack_handler go back and add another trade of 1 until it completes all 4?

Yes

So, would I have to kick off the remaining 3 trades of size 1 myself using the interactive_order_stack module?

Yes. Or, make the trades through IB directly. And then create balance trades for them in PST