Position Freezing Can Misclassify Close Orders as Opening Orders

Summary

The document describes a question about order conversion in a trading strategy. When a close order is submitted, the converter calculates frozen volume from the unfilled order quantity. The author says this calculation sets a short-side frozen amount, which then affects the amount of yesterday’s position considered frozen. With a prior-day position present, the available yesterday volume can consequently be calculated as zero.

The reported result is that the converter may treat the remaining volume as an opening order, although the intended action is to close the existing position. The author asks how to handle the case so that the order is converted into a buy-to-close action rather than a buy-to-open action. The post does not include a response, code, or confirmed fix, so it identifies a potential interaction between frozen volume and position availability without establishing the correct remedy.

Key ideas

• The question concerns close-order conversion when unfilled order volume is treated as frozen.
• The author reports that frozen short-side volume can reduce available yesterday position volume to zero.
• The converter may then classify the intended close quantity as an opening order.
• The desired conversion is a buy order that closes an existing position.
• No solution or validation is included in the document.

Tags

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