Handling CZCE Order-Type Rejections in VeighNa CTP

Summary

The document explains a CTP rejection reported during automated trading on a CZCE futures contract, despite the strategy working in backtests. It attributes the error to an unsupported order type and recommends sending CZCE orders as limit orders with good-for-day duration. To approximate immediate execution, it suggests pricing beyond the best ask for buys or below the best bid for sells, adjusting by a chosen tick amount and respecting exchange price limits.

It points to VeighNa’s order-type mapping as evidence, distinguishing limit, market, FAK, and FOK requests. It also advises checking whether a strategy or custom engine is sending unsupported types, ensuring stop orders are handled locally and then submitted as limits, and logging the actual CTP fields before submission. The post adds SimNow account and connection checks. These are troubleshooting recommendations, not a controlled test; compatibility may depend on the contract, gateway version, and exchange rules.

Key ideas

• The post attributes the reported CZCE rejection to an order type unsupported by the exchange gateway.
• It recommends limit orders with good-for-day duration for CZCE orders.
• Aggressive limit prices are suggested as a way to seek faster fills while observing price limits.
• Strategies using stop orders should confirm that stops are handled locally before a limit order is sent.
• Logging the submitted CTP fields can help identify the order type that triggered rejection.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.