Hang seng autosystem

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  • 02/16/2020 at 4:02 PM #119733 quote
    tattby
    Participant
    Average

    Hi,

    Im testing an autosystem on Hang seng cash. But I continuously get rejected orders. With the  status explanation; the order you have chosen is too close to current market level, the minimum distance is 100 points on this market.

    I dont know how to get around this, I have tested both limit order and market order.

    How should I place/ write the code of the order, anyone knows this?

    The system is running perfect on other instruments.

     

    thanks

    Br

    Johan

    02/16/2020 at 5:08 PM #119741 quote
    Vonasi
    Moderator
    Master

    Market orders should work as they just buy at the opening price of the next candle at either the bid or ask price depending whether you are long or short.

    Limit orders will need to be placed at a price better than the current price.

    I imagine it is any STOP orders that you are using that are causing the error. Your broker will have a minimum distance from price (100 pips in this case) and so you must make sure that your strategy is not trying to place any STOP order closer than this 100 pip distance.

    02/17/2020 at 7:50 PM #119799 quote
    tattby
    Participant
    Average

    Hi Vonasi,

    Thanks for your reply.

    No I dont use stop. Yes it should work and it works with my other system, but this break out system fails.

    e.g my short order. I try with limit order with better price;

    atrlimitshort = close+0.1*averagetruerange[10](close)

IF not onmarket and CLOSE < Lo and bear THEN
SELLSHORT size SHARES at atrlimitshort limit
endif
    02/17/2020 at 8:05 PM #119800 quote
    Vonasi
    Moderator
    Master

    Please use the ‘Insert PRT code’ button when posting code to make it easier to read for everyone. I edited your post.

    It would seem then that your broker is setting a minimum distance for placing limit orders on the HangSeng then – which seems rather odd. Have you tried contacting them or sending a technical report via the PRT platform?

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Hang seng autosystem


ProOrder: Automated Strategies & Backtesting

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tattby @tattby Participant
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This topic contains 3 replies,
has 2 voices, and was last updated by Vonasi
6 years ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/16/2020
Status: Active
Attachments: No files
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