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标题: 平仓单有没有可能会Reject？ [打印本页]

作者: cold-river 时间: 2010-11-5 15:48
标题: 平仓单有没有可能会Reject？
开仓下单的时候经历过Reject，一次下单被拒，第二次才成功。那是在非农数据价格剧烈波动时，Reject也情有可原。但我想知道，在平仓的时候会不会也出现Reject的情况？还没有见到过，不知有没有老鸟遇到过这种情况。

作者: onetrader 时间: 2010-11-5 16:43
我自己还没有，但我认识有一个朋友在交易四个月后遇到过你同样的一次遭遇。当时他下了一个5K的小单。改用了一次十万的大单之后，立刻成交。
个人认为，虽然这类情况比较罕见，但这很可能与dukas的成交机制有关。
1，dukas官方工作人员告知过我，提供流动性的银行只接受一定额度以上的单子，不会给1K的小单直接成交。因此小单是dukas进行打包之后捆绑成交。如果当时没有打包，估计被reject,相反，正如外汇工厂上反映的，如果是大单，则即时成交。2，另据非官方的资深dukas汇友普及，dukas把小单的成交是直接递交给fxopen平台，这和盈透的成交机制一致，盈透对于小单是直接递交给自己的MM平台，而dukas则递交给非直营的MM平台。差别是：盈透会拉大点差，同时有最低佣金限制，即高佣金。dukas是点差一致，同时佣金无最低限制。因此，我揣测，如果扔给fxopen的小单被reject是有可能的。
综上，我个人根据一些信息总结为dukas的成交机制很可能是这样的：1，先在自己平台上把小单打包成大单，交给银行成交。2，如果无法打包，则直接递交给MM平台成交。
至于具体的原因是什么，期待直接和你的帐户经理沟通反映一下。再给大家说说情况。谢谢。

[ 本帖最后由 onetrader 于 2010-11-5 16:53 编辑 ]

作者: cold-river 时间: 2010-11-5 19:07
多谢楼上的详解，其实我也不是在乎reject。我用自动交易系统交易，我只是想知道这种情况是否会发生在平仓过程中，如果发生的话，order的状态会发生怎样的变化，这样我可以在程序中做好应对。虽然这种情况可能很罕见，但做好万全准备才能应付一些突发意外

作者: Devastator 时间: 2010-11-7 19:01
在du开户将近3个月了，上个月经常做5、6k的小单，建仓和平仓没一次遇到被拒

作者: cold-river 时间: 2010-11-8 08:13
前天花了一个上午的时间，仔细读了下官网的wiki，了解了开仓平仓都一样，都是有可能会出现reject的。官网上的建议是注意关注开/平仓时的返回信息，以确保reject时可以作出相应措施。

作者: wyz_js 时间: 2010-11-8 08:55

原帖由 cold-river 于 2010-11-8 08:13 发表
前天花了一个上午的时间，仔细读了下官网的wiki，了解了开仓平仓都一样，都是有可能会出现reject的。官网上的建议是注意关注开/平仓时的返回信息，以确保reject时可以作出相应措施。

在什么情况下会reject订单？

作者: cold-river 时间: 2010-11-8 10:14
官网的解释：http://www.dukascopy.com/wiki/index.php/Close_Order
The unconditional close order is sent to the marketplace server and routed to the liquidity source having the best available price at that time. The order at this point may be executed in full, executed partially, or rejected. The reason for rejection would be that the price at this time was no longer satisfying the embedded conditions when the market order was sent. Remember that unconditional does not mean that the close order will be executed at any price condition.
...

reject发生的概率应该很小，基本上都是因为市场上没有符合你下单价格的单子配对造成。大概在开盘或者数据发布时，流动性较低的时候发生。

作者: onetrader 时间: 2010-11-8 11:07
Execution Process
The unconditional close order is sent to the marketplace server and routed to the liquidity source having the best available price at that time. The order at this point may be executed in full, executed partially, or rejected. The reason for rejection would be that the price at this time was no longer satisfying the embedded conditions when the market order was sent. Remember that unconditional does not mean that the close order will be executed at any price condition. Indeed, if it was the case, orders would run the risk of being executed even if the market would be far away from the market the trader saw or traded when he sent the order. Again, there is a delay between the time the order is sent, and the time the order reaches the marketplace. This delay is understood to be the shortest possible one, but cannot be zero, and the market has no memory of the situation when the order was sent. As a result, the system embeds a maximum value of negative slippage even on unconditional market orders, where the slippage control is disabled on the trader side. This value is fixed and always the same for every client and every market order when the slippage control is disabled on the client application side. This is obviously to prevent executions at prices either far away from the price the trader acted on, or at prices away of the general market level. To avoid risk of multiple executions of a unique order amount, each order is routed on one liquidity source having the best price, but one at once. The order cannot be treated simultaneously by several liquidity sources, or counterparties. By opposition with the market order however, the close order will be resubmitted as long as the original position is not entirely closed. The trader must however follow closely the closing order process, especially when large positions are involved. It is likely that large positions will be closed after several partial executions, and it is wise for the trader to monitor this process.

作者: cold-river 时间: 2010-11-8 13:56
更正一下，reject应该发生在网络延迟+价格剧烈波动的情况下

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