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Consider a MSFT option contract with spread of $0.70 / $0.75, and I want to submit a LIMIT SELL order for 10 contracts with a $0.75 Limit price.? However, I?only want that order to be active when the price of a completely different security (let's say an AAPL option with a spread of $0.10 / $0.30) meets a certain condition:?Let's say I want my MSFT limit order active whenever the Ask on that AAPL contract is at or below $0.20...so I want to tell TWS "Activate my MSFT order whenever I'm able to buy that other AAPL option for $0.20 or better, but I don't want it active when that's not the case."

I've figured out the 1st part of that problem: I simply attach a Condition to the MSFT order ticket, selecting the trigger method as a $0.20 price of the unrelated AAPL option contract.?However, the problem is that while I can get my $0.75 MSFT Limit Sell order to activate when that condition is met, it may not execute, and I want to DE-activate when the condition stops being met. So if the AAPL option contract Ask briefly lowers to $0.20?(my condition), my conditional MSFT Limit order gets activated -- good -- but if the AAPL Ask then jumps back to $0.30, my MSFT Limit order is still sitting there live, when I don't want it to be.

In summary, I?only want my $0.75 MSFT Limit Sell to be active when there's an opportunity to buy that AAPL contract for $.20, but not at any other time. But I don't know how to de-activate the order if a condition is no longer being met.

I had a similar problem. I wanted to execute a limit order only when some other condition is satisfied. I ended up real time streaming all the required tick data and look for all the conditions, including the limit condition. When all conditions are satisfied, I issue a MARKET order to ensure execution. I also check lot sizes, before I issue my market order.

If someone else has a better solution, I would like to know that too.

Fatih

On Fri, Oct 6, 2017 at 12:02 pm, Fatih Ulupinar wrote:

I issue a MARKET order to ensure execution

You may wish to look into the priority that Limit orders vs. Market orders get filled.
For stocks, I submit Limit orders, then monitor best bid/ask and update unfilled orders' limits based on best bid/ask and the delta-best velocity. I check for best bid/ask beyond order limits every 1/8 second.

Once you have submitted an order and it is not yet filled you have a few ways of handling that order: (i) let it work as it is, (ii) modify it, or (iii) cancel it. There are some limitations when you want to modify an existing order. As far as I recall can you change the quantity and the LMT price. I don't remember a parameter that would allow you to pause an order (i.e. make it inactive, but don't cancel it). item (i) does not fullfill your conditions, so can be ignored here. What you could do is either item (iii): to cancel your order once the condition on the other security is not fulfilled and issue a new order when the time is right. Or, in case you want to keep your existing order (item (ii)), modify the LMT price to a level such that you're pretty sure hat it won't get filled. If the condition is met you make the LMT price a valid one, and when the condition is not met you set the LMT price far away from where the market is such that the order won't be filled.
You need to subscribe to live market data for both securities and track your order line according to your conditions in your software.