Handling Delayed Position Data in Crypto Futures Execution
Summary
The document describes a crypto futures execution problem: after a limit order fills, the exchange’s position endpoint may still report the earlier position. A strategy that relies on that stale response can conclude the order did not execute and place additional orders, unintentionally building a larger position. The author recounts seeing this happen during a long trade, where the outcome depended on a favorable market move.
It compares three ways to reduce the risk: place one aggressively priced limit order, use an exchange’s market-order feature where supported, or keep limit orders while checking whether an order disappeared from the open-order list. In the third approach, a disappeared order may have filled or been cancelled, so the strategy recalculates the remaining amount from position data and waits when the observed position has not changed as expected. The accompanying example also shows order cancellation and position-management routines. This is a proposed beta template, not evidence of robust performance; the author notes that exchange data delays may persist and that the approach may need further refinement.
Key ideas
- Stale position responses can make a strategy repeat an order that has already filled.
- A disappeared open order may have been executed or cancelled, so order status alone does not confirm a fill.
- One proposed safeguard is to compare position changes with the intended amount and wait before placing more orders.
- Aggressively priced limits and exchange market orders are alternative ways to reduce reliance on repeated position checks.
- The example is presented as a beta implementation without systematic performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.