Why is SL-M orders sent to exchange as a Limit order on trigger, instead of Market order execution?

Shaha

Below is the history of SL-M leg of a BO order(order id - 170919000032781). Parent order id - 170919000023768

I was expecting that the SL-M order to get converted to a Market order on trigger. But surprised to see it to get executed as a Limit order. Why so? And if so, doesnt convertion to LIMIT order make it vulnerable to non-execution in fast moving price?
Sorry, if i could not explain my question clearly. But it is a serious consideration in my algos, as depending on the behaviour i will have to handle accordingly. So, intend to get the background clarified.

In [15]: pandas.DataFrame(kite.orders("170919000032781"))[["order_type","status","order_timestamp","order_id"]]
Out[15]:
  order_type                  status      order_timestamp         order_id
0       SL-M  PUT ORDER REQ RECEIVED  2017-09-19 09:15:49  170919000032781
1       SL-M      VALIDATION PENDING  2017-09-19 09:15:49  170919000032781
2       SL-M            OPEN PENDING  2017-09-19 09:15:49  170919000032781
3       SL-M         TRIGGER PENDING  2017-09-19 09:15:49  170919000032781
4      LIMIT                    OPEN  2017-09-19 09:18:47  170919000032781
5      LIMIT                COMPLETE  2017-09-19 09:18:47  170919000032781

Checked that same is the case on a stand alone single legged SL-M order, too.

Shaha

Still unanswered. And this behavior led to huge loss yesterday for some trades.

Shaha

SL-M orders should be executed as Market orders on trigger and not as Limit order... Else whats the difference between SL-M and SL orders.

Shaha

https://support.zerodha.com/kb/faq.php?id=151

Shaha

This is what you have mentioned everywhere... in almost every documentation.

b)Stop Loss Market - In a stop loss market order only the trigger price has to be specified.
Once the trigger price is hit, the order becomes a market order and it will be executed. Stop
Loss market orders will always be filled and will definitely be executed.

Shaha

Yesterdays Order to analyse:

In [17]: Orders_History[Orders_History["order_id"]==171025000042909][["transaction_type","order_type","status","order_timestamp","average_price","price","trigg
    ...: er_price","tradingsymbol"]]^M
    ...:
Out[17]:
     transaction_type order_type                     status      order_timestamp  average_price  price  trigger_price tradingsymbol
1636              BUY       SL-M     PUT ORDER REQ RECEIVED  2017-10-25 09:15:21            0.0    0.0          158.9           PNB
1637              BUY       SL-M         VALIDATION PENDING  2017-10-25 09:15:21            0.0    0.0          158.9           PNB
1638              BUY       SL-M               OPEN PENDING  2017-10-25 09:15:21            0.0    0.0          158.9           PNB
1639              BUY       SL-M            TRIGGER PENDING  2017-10-25 09:15:21            0.0    0.0          158.9           PNB
1640              BUY      LIMIT                       OPEN  2017-10-25 09:15:21            0.0    0.0          158.9           PNB
1641              BUY      LIMIT                       OPEN  2017-10-25 09:15:21            0.0  158.9          158.9           PNB
1642              BUY      LIMIT  MODIFY VALIDATION PENDING  2017-10-25 15:02:30            0.0  158.9          158.9           PNB
1643              BUY      LIMIT             MODIFY PENDING  2017-10-25 15:02:30            0.0  158.9          158.9           PNB
1644              BUY      LIMIT                   MODIFIED  2017-10-25 15:02:37            0.0  158.9          158.9           PNB
1645              BUY     MARKET                       OPEN  2017-10-25 15:02:37            0.0    0.0            0.0           PNB
1646              BUY     MARKET                   COMPLETE  2017-10-25 15:02:37          199.0    0.0            0.0           PNB

sujith

Hi @Shaha,
Is this happening for all the orders?
Ideally, this can happen when circuit limit is hit.

sujith

If it is happening on all orders. Kindly give us order id on the same day of issue. We will look into this and get back to you.

Shaha

All orders, everyday. It looks to be an architecture issue. Check order history of any bracket order where SL is hit..

Shaha

Even single legged, standalone SL-M order example given on 20th Sep, behaved this way.

jayganesh

This happened with me as well. SL Orders shouldn't be converted to Limit Orders. I have to put a manual check and cancel those limit orders.

Shaha

Because there is nothing like market order for exchange. Exchange works on order matching logic. All orders are limit order for exchange.

Shaha

It might surprise you initially. But this is how it is. Also BO order is not a product of Zerodha, Zerodha simply sends the BO order with SL and target to exchange. Entire BO order execution happens at exchange. I am saying this with enough background and having had few healthy discussions with Zerodha RMS on few other related items. Welcome to the world of algo/auto trading. At every stage u are too close but yet somewhat far. :-)