Trading system automatically stopped

• 01/02/2020 at 11:27 AM #115742
  JASS

  Two of my strategies are constantly being stopped and I have a hard time finding out why. I never encountered this problem before and the only two differences from other strategies, are that I normally use 5 minutes charts and above and in these two cases I use 1 minute charts. The other difference is that I have set the “DEFPARAM CumulateOrders” to true, which I normally not use.

  It toggles between two error messages, apparently randomly.

  The first error message relates to the preloadbars setting:

  This trading system was stopped because the historical data loaded was insufficient to calculate at least one indicator during the evaluation of the last candlestick. Please increase the number of preloaded bars with the instruction DEFPARAM in the code of your strategy (ex: DEFPARAM Preloadbars = 2000). For additional assistance, please refer to the help text of the DEFPARAM function in the trading systems programming manual.

  The maximum period used in the strategy for calculations is 51 and no matter if I set it for 100, 200 or the default value 2000, it still doesn’t work. I can even delete the parameter without any change.

  The second error message relates to order rejection:

  One of the orders of this trading system was rejected. Due to the type of rejection, the trading system had to be stopped. To see the reason the order was rejected, open the order list, go to the”Canceled/Rejected” tab and place your mouse over the warning icon in the “Status” column.

  This is incorrect, since it never comes to a point where it actually tries to open a trade and the order list is always empty.

  For the Nikkei index I use DEFPARAM FLATBEFORE = 010000 and DEFPARAM FLATAFTER = 073000, but I can start the strategy at e.g. 9.30 and it is stopped a few minutes later.

  I can read in another (very emotional) thread, that this kind of error is believed to reside on IG side, but how can that be the case if the strategy is stopped even before it tries to open a trade? Most likely my lack of knowledge on the interface between IG and PRT, but could someone shed light on this?

  Is there a solution to this problem?

  

  JASS

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  01/02/2020 at 1:15 PM #115759
  GraHal

  Have you got two very similar version of the same strategy running?

  I ask as I do several versions often and I frequently get Systems stopped because it seems IG cannot handle 2 Orders from the same Account for the same Instrument on the same Timeframe at the same time etc.

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  JASS

  

  GraHal

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  01/02/2020 at 1:40 PM #115762
  JASS

  The coding is very similar, but one runs on DOW (Wall Street) between 9.00 and 21.59 and the other one runs on Nikkei (Japan 225) between 1.00 and 7.30. So they do not overlap in time. Of course when you set the cumulateorders to true, you will eventually have 2 orders from the same account, but as I wrote, both strategies are stopped even before they try to place orders.

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  GraHal

  

  JASS

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  01/02/2020 at 2:57 PM #115768
  GraHal

  JASS wrote:

  To see the reason the order was rejected, open the order list, go to the”Canceled/Rejected” tab and place your mouse over the warning icon in the “Status” column.

  What error message does it show when you do above?

  Ah gotcha … there is no entry to show anything??

  Yeah I have had a few of these lately … no entry / no error message.

  Best to restart the System and see if it gets stopped again??

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  JASS

  

  GraHal

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  01/02/2020 at 4:01 PM #115770
  JASS

  Thanks GraHal, but I restarted many times

  

  JASS

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  01/02/2020 at 4:20 PM #115771
  GraHal

  Okay next best thing is to post the code on here and then the coding Wizards may spot something that is making it fail?

  Also I would run the code on my Platform and see if I can spot a fix by trying a few things.

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  GraHal

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  01/03/2020 at 2:05 PM #115833
  Nicolas

  Please post the whole code or give the list of indicators used, thanks.

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  JASS

  

  Nicolas

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  01/06/2020 at 8:19 AM #115990
  JASS

  Hi Nicolas and GraHal

  I spend the weekend trying to find errors in the code, but it became a “needle-in-a-haystack” exercise. I would appreciate if you would take a look at it and see if you can spot any errors.

  By the way: the code works fine in backtesting.

  Thanks

  JASS

  //********************************************************************************** // Title: A107 Pullback Rev JPN 1M v04 // Chart: JAPAN225 / NIKKEI 1M // Note: Exploiting one bar pullbacks in steep trending market //********************************************************************************** DEFPARAM CumulateOrders = True DEFPARAM PreLoadBars = 100 DEFPARAM FLATBEFORE = 010000 DEFPARAM FLATAFTER = 073000 //********************************************************************************** // Variables //********************************************************************************** PositionSize = 1 tp = 138 // Target profit sl = 28 // Stop loss EMAp1 = 34 EMAp2 = 29 EMAp4 = 41 SMAp2 = 40 SP = 1 // Stochastic Period v10 = 10 // Stochastic lower line v90 = 94 // Stochastic upper line emadiff = 1.95 // EMA difference to ensure steep trend MOMp = 51 // Momentum period MOMLv = 40 // Momentum long value MOMSv = -100 // Momentum short value PBLp = 25 // Power bar long period PBSp = 25 // Power bar short period PBLv = 12 // Power bar long value PBSv = 33 // Power bar short value LBL = 20 // Large bar long LBS = 15 // Large bar short COSH = 4 // Count of shares //********************************************************************************** // Indicators and Math //********************************************************************************** // Stochastic C = Close HH = Highest[SP](high) LL = Lowest[SP](low) K = ((C-LL)/(HH-LL))*100 // EMA c01 = exponentialaverage[EMAp1](close) // Momentum c03 = momentum[MOMp](close) // SMA c04 = average[SMAp2](close) // Power bar long - no powerbar for the last PBLp number of periods before entry PBL = close - open IF highest[PBLp](PBL) < PBLv THEN c13 = 1 else c13 = 0 ENDIF // Power bar short - no powerbar for the last PBSp number of periods before entry PBS = open - close IF highest[PBSp](PBS) < PBSv THEN c33 = 1 else c33 = 0 ENDIF c05 = abs(c01[0]-c01[1]) > emadiff c06 = exponentialaverage[EMAp2](((2*close)+open)/3) c07 = exponentialaverage[EMAp4](((2*close)+open)/3) //********************************************************************************** // Entry/exit conditions //********************************************************************************** // Enter long conditions c10 = c01[1] > c01[2] c11 = countoflongshares < COSH c12 = c03 > MOMLv c14 = K[0] < v10 // Exit long conditions c20 = c04[0] < c04[1] c21 = close[0]-open[0] > LBL c22 = c06[0] < c06[1] // Enter short conditions c30 = c01[1] < c01[2] c31 = countofshortshares < COSH c32 = c03 < MOMSv c34 = K[0] > v90 // Exit short conditions c40 = c04[0] > c04[1] c41 = open[0]-close[0] > LBS c42 = c07[0] > c07[1] //********************************************************************************** // Enter Long //********************************************************************************** if c05 and c10 and c11 and c12 and c13 = 1 and c14 then buy PositionSize contract at market endif //********************************************************************************** // Exit Long //********************************************************************************** if longonmarket and (c20 or c21 or c22) then sell at market endif //********************************************************************************** // Enter Short //********************************************************************************** if c05 and c30 and c31 and c32 and c33 = 1 and c34 then sellshort PositionSize contract at market endif //********************************************************************************** // Exit Short //********************************************************************************** if shortonmarket and (c40 or c41 or c42) then exitshort at market endif //********************************************************************************** // Stops and Targets //********************************************************************************** set stop ploss sl set target pprofit tp

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144

  //********************************************************************************** // Title: A107 Pullback Rev JPN 1M v04 // Chart: JAPAN225 / NIKKEI 1M // Note: Exploiting one bar pullbacks in steep trending market //**********************************************************************************   DEFPARAM CumulateOrders = True DEFPARAM PreLoadBars = 100 DEFPARAM FLATBEFORE = 010000 DEFPARAM FLATAFTER = 073000   //********************************************************************************** // Variables //**********************************************************************************   PositionSize = 1 tp = 138 // Target profit sl = 28 // Stop loss EMAp1 = 34 EMAp2 = 29 EMAp4 = 41 SMAp2 = 40 SP = 1 // Stochastic Period v10 = 10 // Stochastic lower line v90 = 94 // Stochastic upper line emadiff = 1.95 // EMA difference to ensure steep trend MOMp = 51 // Momentum period MOMLv = 40 // Momentum long value MOMSv = -100 // Momentum short value PBLp = 25 // Power bar long period PBSp = 25 // Power bar short period PBLv = 12 // Power bar long value PBSv = 33 // Power bar short value LBL = 20 // Large bar long LBS = 15 // Large bar short COSH = 4 // Count of shares   //********************************************************************************** // Indicators and Math //**********************************************************************************   // Stochastic C = Close HH = Highest[SP](high) LL = Lowest[SP](low) K = ((C-LL)/(HH-LL))*100   // EMA c01 = exponentialaverage[EMAp1](close)   // Momentum c03 = momentum[MOMp](close)   // SMA c04 = average[SMAp2](close)   // Power bar long - no powerbar for the last PBLp number of periods before entry PBL = close - open IF highest[PBLp](PBL) < PBLv THEN c13 = 1 else c13 = 0 ENDIF   // Power bar short - no powerbar for the last PBSp number of periods before entry PBS = open - close IF highest[PBSp](PBS) < PBSv THEN c33 = 1 else c33 = 0 ENDIF   c05 = abs(c01[0]-c01[1]) > emadiff   c06 = exponentialaverage[EMAp2](((2*close)+open)/3)   c07 = exponentialaverage[EMAp4](((2*close)+open)/3)   //********************************************************************************** // Entry/exit conditions //**********************************************************************************   // Enter long conditions c10 = c01[1] > c01[2] c11 = countoflongshares < COSH c12 = c03 > MOMLv   c14 = K[0] < v10   // Exit long conditions c20 = c04[0] < c04[1] c21 = close[0]-open[0] > LBL c22 = c06[0] < c06[1]   // Enter short conditions c30 = c01[1] < c01[2] c31 = countofshortshares < COSH c32 = c03 < MOMSv   c34 = K[0] > v90   // Exit short conditions c40 = c04[0] > c04[1] c41 = open[0]-close[0] > LBS c42 = c07[0] > c07[1]   //********************************************************************************** // Enter Long //**********************************************************************************   if c05 and c10 and c11 and c12 and c13 = 1 and c14 then buy PositionSize contract at market endif   //********************************************************************************** // Exit Long //**********************************************************************************   if longonmarket and (c20 or c21 or c22) then sell at market endif   //********************************************************************************** // Enter Short //**********************************************************************************   if c05 and c30 and c31 and c32 and c33 = 1 and c34 then sellshort PositionSize contract at market endif   //********************************************************************************** // Exit Short //**********************************************************************************   if shortonmarket and (c40 or c41 or c42) then exitshort at market endif   //********************************************************************************** // Stops and Targets //**********************************************************************************   set stop ploss sl set target pprofit tp

   

  

  JASS

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  01/06/2020 at 8:58 AM #115993
  Vonasi

  JASS – Please use the ‘Insert PRT Code’ button when posting code to make it easier for others to read.

  I have tidied up your last post 🙂

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  01/06/2020 at 11:59 AM #116025
  GraHal

  Timezone is Denmark (UTC +1) Yes?

  So I am deducting 1 hour from times in the code to get to UK time (UTC +0)?

  Why don’t you use below as Line 8 ?

  DEFPARAM PreLoadBars = 10000 //(not 100 as you used??)

  1	DEFPARAM PreLoadBars = 10000 //(not 100 as you used??)

  I’ve set it going on my Platform so I take I will have to wait until it tries to take a Trade (every few days) then I may get a rejection?

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  JASS

  

  GraHal

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  01/06/2020 at 12:06 PM #116027
  JASS

  Timezone Denmark, correct.

  It really doesn’t matter if I preload 100 or more bars, since my maximum period for calculations is 51.

  Exciting to see if you are stopped out too.

  

  JASS

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  01/06/2020 at 12:08 PM #116028
  JASS

  In UK time will be 00.00-06.30

  

  JASS

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  01/06/2020 at 12:25 PM #116031
  GraHal

  JASS wrote:

  It really doesn’t matter if I preload 100 or more bars, since my maximum period for calculations is 51.

  Well as you are getting the … insufficient preload bars error message … it is worth trying more preload bars.

  Anyway I’ve set my preloads bars = 10000 so we shall see what we get.

  Btw if you leave it off altogether then the default for preload bars is 2000.

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  GraHal

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  01/06/2020 at 12:31 PM #116034
  GraHal

  Hey we don’t have to wait days … I’ve been rejected already … see attached.

  So the reject is when the code is read not when a trade is attempted??  is this what you have been getting also??

  Makes it easier to fault find anyway as it keeps the momentum up as we can keep onto it etc.

  I’ve got 2 versions running now … one with Cumulative = True one with False …

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  GraHal

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  01/06/2020 at 12:41 PM #116037
  GraHal

  Both versions rejected!

  Weird as it is not every minute … I had to wait several minutes for the reject and yet the Timeframe is 1 min so the code would be read every minute (or should be!?).

  No Reject listed in the Orders List so I cant see the exact time of Reject!

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