Why did ALL my active Algo Trading strategies stopped on Christmas Day, at 00:55

Forums › ProRealTime English forum › ProOrder support › Why did ALL my active Algo Trading strategies stopped on Christmas Day, at 00:55

Viewing 15 posts - 1 through 15 (of 35 total)
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  • 12/28/2021 at 9:41 AM #183935
    Absolute

    Since the 10th of October 2021,  40 “mean-reversion scalping” Algo strategies have been running live with great success on Autotrader powered by PRT Ver 11.1.

    They do run 24/7 when markets are open with NO time limitation / restrictions on when to enter / exit trades as per source code.

    The 2 markets involved are  USD/EUR mini and USD/JPY mini, thé most liquid markets in the world and on IG platform.

    Since inception, 10th Of October 2021 to the 24th of December 2021 these systems ran as planned with no adverse effects.

    No system have been aborted over weekends or other holidays like Thanksgiving, the 25th of November 2021 ect. All went well.

    Then came the Christmas weekend:

    I did not monitor emails / any system during Christmas weekend, the 25the and 26th of December 2021.

    I woke up just past midnight Monday morning, 27th December 2021 and checked the IG mobile app on my phone just to find that no positions were open, as was the case late evening of the 24th of December 2021.

    I immediately ran down to my office and started my emails and PRT just to find:

    1. Email that was sent by ProOrder AutoTrading, 25th of December 2021 at 00:55 informing me that all open Algo’s have been aborted. (Attachment 1)
    2. Opened order list that indicated that all open orders have been closed on Sunday evening, 26th of December 2021 between 23:01:58 and 23:02:08 (Attachment 2)

    A total loss of 1,931 pips…a cluster-fuck of note…

    I have reported this via PRT platform and still await feedback from PRT and/or IG.

    Questions to the community and IG / PRT:

    1. According to the recent history, since inception of these Algo’s no transactions took place during week-ends or holidays, prior to Christmas week-end…why the exception ? I thought that USD/EUR mini and USD/JPY mini markets are closed from mid-night, Friday to mid-night, Sunday (00:00 to 00:00) over weekends ?
    2. What can be done to prevent this clusterfuck in future by PRT and/or IG or by myself in terms of additional code ?
    3. This is a very high win rate strategy, 99,24% for the current month (Attachment 3) – so the question would be: The majority of the 1931 pip loss would have ended up in a win later on…can IG / PRT be held liable for losses in this regard ?  The reason: Either the marketmaker IG did not provide enough mandated liquidity till 23:59:59 on Friday evening or the PRT platform was still on and running outside of the designated market hours ?
    12/28/2021 at 10:01 AM #183941
    GraHal

    Did you run short on funds to cover your margin requirement?

    It is likely that margin % was increased over the christmas weekend?

    12/28/2021 at 10:04 AM #183943
    PeterSt

    First off, I am jealous. Maybe not on your performance of the 24th, but on the rest. Hats off.

    Next, this should not have happened. At least I don’t know of any reasons. Unless – unless you were trading too much in your margin, but I assume you don’t and know well what you are doing. Still saying : IG is quite keen on this and for longer weekends (which was not longer than any other anyway) they could tighten things.

    I suppose that the low volatility on the 24th will not have any impact on this (but at least the volatility was so low that I myself stopped the EUR/USD trading because of no direction to be seen).

    FYI : This won’t be a PRT activity IMO, it will be pure IG. And with that :

    You should ask your money back (call IG support to begin with). I’m intrigued to how this would work out, because the trades were just open and how to know that you really lost that money. On that matter, try to prepare well for the proof that these all won’t have lost (your Detailed Report speaks sufficiently).

    These were my 2c. Maybe others are better informed.
    Wishing you luck !

    12/28/2021 at 10:12 AM #183945
    Nicolas

    I’ll try to know what had happened at that time and let you know. But seems rather due to an IG server stop IMO.

    12/28/2021 at 10:14 AM #183946
    PeterSt

    Your Autotrading form (showing the prepared, stopped and running systems) will show orange triangles. You can click on them ONE TIME to see what the reason of the stoppings were.
    What do they tell ? (literally please)

    12/28/2021 at 11:00 AM #183968
    GraHal

    Screenshot what that orange / yellow triangle message is saying BEFORE you okay it … you only get ONE chance to screenshot and you may need this message later as evidence!?

    12/28/2021 at 11:12 AM #183969
    Absolute

    In addition find the price-action graphs below of USD/EUR mini and USD/JPY mini on two of the time-frames that aborted.

    Up to 23:58:43 and 23:58:52 on Friday, 24th of December 2021 the price action and liquidity respectively was seemingly intact. So, why did I got the email early Saturday morning that all open Algo’s have aborted ?

    On Sunday evening, 26th of December 2021 from 23:02:58 to 00:02:05 there was almost no liquidity. So, why did the market / PRT / IG opened a full hour early with almost no liquidity ?

    Ultimately I would like the community’s opinion on this ?

    Thank you in advance !

    12/28/2021 at 11:25 AM #183975
    Absolute

    @PeterSt, below are the screenshots – all yellow triangles message shows below in screenshot and referred me to the “Cancelled/Rejected” tab.

    I did opened that tab but it was empty – that was a huge concern and clue that something was not right…all screenshots was luckily taken at just after 01:10:00 Monday morning are are clearly date stamped / shown in right hand top corner.

    12/28/2021 at 11:33 AM #183980
    Absolute

    @Nicolas, I have supplied other substantive evidence on the scroll that I hope could help to solve the issue.

    This is really one for the FORUM and our community…imagine this was not only a live test, but a full blown trade with 100 contacts instead of 1…

    12/28/2021 at 11:36 AM #183981
    Nicolas

    Indeed, but wait for a reply from your broker. I’m also trying to get technical infos if they exist.

    12/28/2021 at 11:37 AM #183982
    Absolute

    Thanks for you input. I have replied with an answer in another full message reply. Regards.

    12/28/2021 at 11:42 AM #183983
    Absolute

    Thanks – this is a good point – total normal margin woud have been on 23 open mini’s $1150…

    I had total equity of $7,400 in the account – I do not think they would have lifted margin with 7X…but it might be…I will keep this question open until it is answered by Nicolas.

    12/28/2021 at 11:49 AM #183984
    PeterSt

    Just trying a couple of things (so you don’t need to do it yourself).

    First attachment is from the 26th (to 27th). This spans 0.13% over one 7 second bar.
    Second is from the 24th. 0.14%.
    Third is from the 21st. 0.11%. This is less all right, but nothing to write home about for “extra low in comparison to Christmas” ?

    Anyway, I could imagine some protective algorithm at IG somewhere that trips at sudden large changes.

    Oh wait … hmm …
    This very same mechanism DOES exist WITHIN PRT itself ! And if I am well informed it was even made for me (now don’t shoot me);
    This spring the data went bananas and a super spike occurred killing my demo account (I made a profit of 1 million or so in the one bar, and lost 10 million in the next – and then I was broke. I convinced PRT people that this could happen in real live/life just the same (Fx on IF is CFDs – which were the underlaying problem). And with such anomalies the system “should be stopped”. I never learned reality about this (it happened only one time in my PRT life), but this thus would be a PRT cause after all (and not a broker cause, as I suggested earlier). It is only that we don’t know when it trips. I mean, would 0.14% on EUR/USD be the threshold ? can’t imagine that.
    Anyway, if nobody can find the cause, they maybe look there.

    I added a 1 second screenshot (4th attachment) as well. This is 0.14% as well for the 24th.

    12/28/2021 at 11:59 AM #183989
    PeterSt
    Absolute wrote:

    I did opened that tab but it was empty – that was a huge concern and clue that something was not right…

    I understand your thinking, but as of lately this tab remains empty for me as well. Maybe others can tell different or know that indeed this should be filled. I think I only have seen it filled with my Demo account in PRT-IB.
    Another thing I am pretty sure of : the contents of this tab does not last long. For example, after a day it will be emptied.

    All in other words : to me it won’t be an indication that something is really amiss (which in this case clearly is so anyway, and you won’t have troubles with laying that out).

    12/28/2021 at 12:26 PM #183992
    GraHal
    PeterSt wrote:

    this tab does not last long

    Not for me … attached is my Cancelled / Rejected tab on my LIVE account and you can see many in November (also plenty yesterday and today higher up the tab).

    1 user thanked author for this post.
    avatar PeterSt
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