One stop-hit closes ALL cumulated trades

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  • 09/19/2018 at 7:42 PM #80925 quote
    verygrubby
    Participant
    Master

    Hello all,

    I thought I posted this earlier, but it never appeared anywhere, so I’ll try again…

    I have a strategy that cumulates positions. Each position has a stop. In backtesting, if one of the positions hits its stop, it  closes, and the rest carry on until they win/lose. Lovely stuff.

    However, when I demo trade this strategy, if one of the cumulated positions reaches its stop, ALL positions are closed – even if they were nowhere near their individual stops.

    FYI I’m using SET STOP pLOSS for the stop losses – am I using the wrong type of stop, or is this a bug?

    Thanks…

    09/19/2018 at 8:42 PM #80933 quote
    Vonasi
    Moderator
    Master

    That sounds wrong to me. Every time you send a SET STOP PLOSS n order to the market it should set stop orders n pips from each trades opening price. They should only all close at the same time if you use pending orders with SELL or EXITSHORT AT n STOP where n is the price you want to close all trades at.

    09/19/2018 at 8:54 PM #80934 quote
    verygrubby
    Participant
    Master

    There are other SELL AT MARKET conditions (which close all positions once reached), but they were not reached on this occasion. It meant today was a -50 day instead of a +100 day in backtesting… and its not the first time. Frustrating.

    09/20/2018 at 2:29 PM #80963 quote
    Vonasi
    Moderator
    Master

    Normally if there is a difference between back testing and live trading it is down to spread. Back testing uses a fixed spread whereas live trading uses a varying spread. Depends how spread critical your strategy is as to whether this is likely to be an issue.

    09/20/2018 at 3:40 PM #80972 quote
    Nicolas
    Keymaster
    Master

    IG demo server?

    Do your stoploss are dynamically calculated or are fixed? If they are fixed, are they all different for each order?

    09/20/2018 at 4:40 PM #80977 quote
    verygrubby
    Participant
    Master

    I suppose its conceivable that the difference is the spread – if it went to 10 points that would have been enough to trigger the SELL AT MARKET order…didn’t think it went that high on cable though…

    Until they all closed, each trade has a set stop loss at different levels (the individual stops were set correctly) – but the stops were cancelled when all the trades were closed…

    And yes, demo server….

    09/20/2018 at 4:53 PM #80979 quote
    Nicolas
    Keymaster
    Master

    Ok, could you please add a screenshots of the orders list with all these different levels and the time when they were closed all together at once?

    09/20/2018 at 5:34 PM #80984 quote
    verygrubby
    Participant
    Master

    Actually, it was a brent crude robot (not cable as I said before) – so the spread is normally 2.8. The trades were closed at 13:40 – just after the US housing stats – so perhaps the spread could have widened to 10 at that time?

    Is there any way to check the spread at certain times in the past?

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One stop-hit closes ALL cumulated trades


ProOrder: Automated Strategies & Backtesting

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verygrubby @verygrubby Participant
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This topic contains 7 replies,
has 3 voices, and was last updated by verygrubby
7 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/19/2018
Status: Active
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