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Negative prices? #480070
05/18/20 11:15
05/18/20 11:15
Joined: Feb 2017
Posts: 984
Chicago
AndrewAMD Online OP
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AndrewAMD  Online OP
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jcl,

You might have heard about this incident: there was an oil futures contract that traded at negative prices due to delivery issues.

Sure enough, there was an unfortunate trader using the Interactive Brokers platform. The platform said it was trading for one cent when it was in fact very negative:
https://markets.businessinsider.com...ns-on-brokerage-glitch-2020-5-1029186688

Does Zorro have the ability to trade assets with negative prices? Assume of course that the broker and plugin supports it too.

I seem to recall some shuffled-price curve backtests where prices did indeed go negative - and Zorro denied trading when the price was negative with some kind of illegal price error. In live trading, I'm hoping that I can close out such unfortunate positions instantly and not after I get the phone call from my broker.

And if not, perhaps Zorro should support this?

Re: Negative prices? [Re: AndrewAMD] #480117
05/21/20 12:07
05/21/20 12:07
Joined: Jul 2000
Posts: 27,225
Frankfurt
jcl Offline

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jcl  Offline

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I believe Zorro cannot trade negative prices - they would trigger an error message. But even if it could, it would not have helped in that case because the price by the API would still have been 1 cent.

Re: Negative prices? [Re: AndrewAMD] #480135
05/21/20 18:08
05/21/20 18:08
Joined: Mar 2019
Posts: 141
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danatrader Offline
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IB said they will fix it and show negative prices in the future if they occur.

Re: Negative prices? [Re: danatrader] #480136
05/21/20 18:26
05/21/20 18:26
Joined: Feb 2017
Posts: 984
Chicago
AndrewAMD Online OP
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AndrewAMD  Online OP
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Originally Posted by danatrader
IB said they will fix it and show negative prices in the future if they occur.

But if Zorro does not support it, Zorro cannot make use of negative prices.

You need to understand that I am demonstrating the consequences of not supporting negative prices in such black swan events.

Re: Negative prices? [Re: AndrewAMD] #480155
05/22/20 07:18
05/22/20 07:18
Joined: Jul 2000
Posts: 27,225
Frankfurt
jcl Offline

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There would be probably no consequences. Zorro would just not trade.

Re: Negative prices? [Re: jcl] #480161
05/22/20 12:26
05/22/20 12:26
Joined: Feb 2017
Posts: 984
Chicago
AndrewAMD Online OP
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Originally Posted by jcl
There would be probably no consequences. Zorro would just not trade.
If I had a long position open in positive territory, and the price goes negative, it would be a problem if I cannot close my position. It's better to close it at a slightly negative price than a very negative price.

Re: Negative prices? [Re: AndrewAMD] #480169
05/23/20 08:29
05/23/20 08:29
Joined: Sep 2003
Posts: 872
Spirit Offline

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It is closed when the position has a stop.

Re: Negative prices? [Re: AndrewAMD] #480171
05/23/20 19:26
05/23/20 19:26
Joined: Jun 2013
Posts: 1,429
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DdlV Offline
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Or not. If "Zorro would just not trade" because it considers a negative price invalid, an outlier, or whatever, then the Stop isn't considered, the position wouldn't close, and just accumulate more losses...

I guess this assumes the move down is dramatic enough to blow by the Stop, but it seems AndrewAMD has a valid point...

Re: Negative prices? [Re: AndrewAMD] #480174
05/24/20 10:53
05/24/20 10:53
Joined: Sep 2003
Posts: 872
Spirit Offline

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Before a price goes negative it must approach zero, and this will trigger any long stop no matter where it is.

Re: Negative prices? [Re: AndrewAMD] #480186
05/25/20 06:34
05/25/20 06:34
Joined: Mar 2019
Posts: 141
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danatrader Offline
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If the stop gets filled by the broker, afterwards no more.


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