Order rejection
- This topic has 22 replies, 4 voices, and was last updated 3 years ago by
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Hi @micquan
When using this strategy, you must consider that you are trading between two fixed boundaries (grid), in this case a maximum of 20.50 and a minimum of 19.
When your strategy wanted to execute a trade, the VIX was already above 20.50 so it was rejected.
Your time frame is a day and you activated the system January 4th at 18:00
Your first candle closes on January 5 at 18:00 (+ 1 hour time difference) is 19:00.
So, the system tries to make its first trade at 19:00 but it is rejected for the above mentioned reason.
The margin for a 1 euro contract is 20% so total margin for 100 contracts is:
22 x 100 x 20% = 440 euros
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if you’re just starting out with PRT, I would strongly advise you to stick with the DOW, DAX, SP (US 500) or NASDAQ (US tech 100) as they have the lowest spreads. In % terms, the VIX is over 100x more expensive to trade than the DAX (0.725 vs 0.007), it’s like swimming with a rock tied around your leg.
Some of these ’boutique’ indices may seem sexy but the simple fact is that (generally speaking), all indices do the same thing – they go up and they go down and you’re trying to catch some of that movement. There’s no big magic in trading this one as opposed to that one. Don’t make it more difficult for yourself by starting every trade with an enormous hill to climb just to get past the spread.
There are also certain foundational principles that are worth considering. Your stoploss is 5x higher than your target profit. Very difficult to make that work in the real world. I have never seen a successful algo where the stop was greater than the target. It might be possible, but for me it’s a big red flag. Not to mention that your 50% stop would be quickly ruinous.
More typical (and more sane) would be 1% stop, 2% target (or something like that…)
best of luck!
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