Position being closed out incorrectly

schizz · Fri, 13 Mar 2020 10:48:18 +0000

Hi all, I have a strategy running, but there is an issue. It accumulates more than one position simultaneously. For each position there is an initial stop loss order defined at the time of opening. On occasion when this hard stop loss order is hit, and there one or more positions still open, it is waiting until the end of the bar in which the hard stop loss was hit, and then transmitting an order to close the remaining position(s). I cannot see any way in the code it should be doing this, when the bar close is no where near my dynamic stop loss or profit targets. When looking at the ‘Executed order list’ I see the following (please see attachment). At 8:48 there were 2 simultaneous short positions open. At 9:07 one position was correctly closed out as the hard stop loss was hit. BUT why is the position change value “-1 => 0”, surely it should be “-2 =>-1”? Then three minutes later at the close if the bar, the remaining position is incorrectly closed out. Many thanks if anyone can shed light on this, as it is doing my head in!

This topic has 17 replies, 3 voices, and was last updated 5 years ago by GraHal.

Viewing 3 posts - 16 through 18 (of 18 total)

← 1 2

03/15/2020 at 7:07 PM #122195

GraHal

schizz wrote:

should not be having this kind of bug.

We don’t view it as a bug … but the designed in way it works.

schizz wrote:

Does no-one trade strategies with multiple open positions and SET STOP orders?

Yeah but we do it using multiple strategies with 1 x positions each strategy! 🙂

GraHal
Participant

Topics: 222
Replies: 9295
Been thanked: 2462 times

03/15/2020 at 9:08 PM #122197

schizz

“Yeah but we do it using multiple strategies with 1 x positions each strategy”

Wow OK well I can only say try to find, or build, a strategy that pyramids positions when the market is trending favorably, and gets out promptly when it doesn’t. Its truly amazing what happens when you start putting maths in your favour, rather than relying on “here today, gone tomorrow” candle patterns or price-derivative indicators.

Any time frame you care to look at, markets were trending 50 years ago, are trending now, and will still be trending in 5o years time.

This is what my system did in live in its first week of trading the FTSE. Granted the unusual volatility helped it and its one week, but its a thing of beauty watching the a*** fall out of the FTSE whilst your system is adding positions. 1 big move makes up for a good number of scratched trades. This was despite the buggy platform!

schizz
Participant

Topics: 5
Replies: 15
Been thanked: 2 times

03/15/2020 at 9:28 PM #122200

GraHal

Yeah I agree schizz sounds good what you are doing (or would like to do!).

Well you can still scale in, but exit all in one go!?

Feel free to share your System and I’ll give it a go! 🙂

GraHal
Participant

Topics: 222
Replies: 9295
Been thanked: 2462 times
Author

Posts

Viewing 3 posts - 16 through 18 (of 18 total)

← 1 2

Find exclusive trading pro-tools on