I am using MOC orders and about half of them are getting canceled at the end of the day. I suspect there could be a number of legitimate reasons for it (shares not available, initial margin exceeded, etc). I would like to identify the causes and log them though. Does someone know how I can do that? Thank you.
I am seeing a similar issue sokol11. As far as I can tell, the trades are not getting filled and so the system cancels them at the close. I am using a paper account at the moment so it could be related to some logic in the matching engine.
Yes. I can pull the orders by id at the end of the day. Unfortunately, there doesn’t seem to be much info attached to these orders (like warning, or error logs). They are just marked as cancelled with the time of the order update given (at the close).
We have found potential issues regarding the MOC/LOC in paper trading that may miss fills. We are going to fix it.