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multiple trades same bar
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Created: by GuppyDRV Attachments:1

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multiple trades same bar

  #1 (permalink)
Elite Member
Seattle
 
Futures Experience: Intermediate
Platform: MultiCharts 10
Broker/Data: InteractiveBrokers, IQFeed
Favorite Futures: ES
 
Posts: 52 since Nov 2015
Thanks: 18 given, 2 received

multiple trades same bar

Hello All,

On certain random days (I think Random) while using the Walk Forward Optimization or Back test my strategy will generate multiple trades on the same bar.

Basically, it will take a long trade that enters and exits at the open and then take whatever other trade that would have normally happened on that bar close. I posted a picture showing 1.....the multiple trade and 2....what a normal trade would look like.

Any ideas without having to think to hard. Am I doing something stupid simple wrong or might I need to post some code. Either way I appreciate the help.

I tried searching other threads and found nothing relevant but if there is one just a point in the right direction is all I'll need.

Thank,

GuppyDRV

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multiple trades same bar-multiple-trades.png  

Last edited by GuppyDRV; February 4th, 2017 at 06:36 PM. Reason: Spelling
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  #2 (permalink)
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  #3 (permalink)
 Vendor: www.abctradinggroup.com 
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,781 since Apr 2013
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GuppyDRV,

the explanation is most likely in your code. Check when and why these orders have been triggered (by using print
statements for example for your conditions).

Regards,

ABCTG


GuppyDRV View Post
Hello All,

On certain random days (I think Random) while using the Walk Forward Optimization or Back test my strategy will generate multiple trades on the same bar.

Basically, it will take a long trade that enters and exits at the open and then take whatever other trade that would have normally happened on that bar close. I posted a picture showing 1.....the multiple trade and 2....what a normal trade would look like.

Any ideas without having to think to hard. Am I doing something stupid simple wrong or might I need to post some code. Either way I appreciate the help.

I tried searching other threads and found nothing relevant but if there is one just a point in the right direction is all I'll need.

Thank,

GuppyDRV


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  #4 (permalink)
Market Wizard
North Carolina
 
Futures Experience: Beginner
Platform: NinjaTrader, Tradestation
Favorite Futures: es
 
Posts: 593 since Nov 2011
Thanks: 233 given, 660 received
Forum Reputation: Legendary

This can happen if you use an indicator that is set to calculate/generate trades intrabar. Also, if you use time based entries/exits and you don't exclude last hour, it might happen. It could also be the result of a value being set to true and not resetting. It looks like you are taking longs and shorts. This could be the result of an indicator that crosses both thresholds in the same session. If you have limit orders, you may want to make sure that the last order is closed.

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