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Live strategy broken
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Live strategy broken

  #1 (permalink)
Trading for Fun
Los Angeles, CA
 
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Live strategy broken

Hi,

I have a script that was working beautifully in market replay as soon as I go live, it malfunctions.

It enters 2 short liimits or 2 long limits at certain market conditions.

I have setstoploss and setprofittarget on the script, but heres the problem: it doesnt always place them there!

I have seen that on some instruments, it will do it, then on some it won't.

Like I said, the problem is when live!, why?

Please help!

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  #2 (permalink)
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  #3 (permalink)
Administrator: Retired Backtester
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kidvic View Post
Hi,

I have a script that was working beautifully in market replay as soon as I go live, it malfunctions.

It enters 2 short liimits or 2 long limits at certain market conditions.

I have setstoploss and setprofittarget on the script, but heres the problem: it doesnt always place them there!

I have seen that on some instruments, it will do it, then on some it won't.

Like I said, the problem is when live!, why?

Please help!

Without the code it's impossible to say what's wrong.
You may add some Print() for debugging purposes and see what are the values of the stop/target.

Success requires no deodorant! (Sun Tzu)
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  #4 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
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Is there anything in the log ?
Do you get any error condition back ?

It could be rejected by the broker upon certain conditions, what broker are you using ?

Do you have a concrete example ?

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  #5 (permalink)
Trading for Fun
Los Angeles, CA
 
Futures Experience: Intermediate
Platform: NinjaTrader, ThinkOrSwim
Favorite Futures: Options, Futures
 
Posts: 92 since Mar 2015
Thanks: 13 given, 2 received


rleplae View Post
Is there anything in the log ?
Do you get any error condition back ?

It could be rejected by the broker upon certain conditions, what broker are you using ?

Do you have a concrete example ?

I use AMP.
It's really bizzare.
I used to have it with entries per direction = 2, yet it would put more instances, (mind you, when it entered 4, it actually placed apprppriate stops and profits) (even tho my strategy enters 2 per direction)
Im using Iorders, liveuntil cancelled.
I made the stop and takeprofit so they get created when market position is long or short ( because I thought they were entering too soon before the entry was triggered)

things that I think might be at issue:
I have set it to historical to return, (so it only takes new trades)
I have taken the entries per direction off( this helped as I only see 2 orders at a time now, but this doesnt make sense)
I have entryhandling to uniqueentries
I have also realtime errorhandling to take no action (my script automatically closes an order if it encounters a problem)

the things that I think might be the issue, could be the issue, but I've manipulated them in different variations, yet it still only seems to work with some instruments and not on others. This is what i find puzzling.

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  #6 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,112 since Sep 2013
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kidvic View Post
I use AMP.
It's really bizzare.
I used to have it with entries per direction = 2, yet it would put more instances, (mind you, when it entered 4, it actually placed apprppriate stops and profits) (even tho my strategy enters 2 per direction)
Im using Iorders, liveuntil cancelled.
I made the stop and takeprofit so they get created when market position is long or short ( because I thought they were entering too soon before the entry was triggered)

things that I think might be at issue:
I have set it to historical to return, (so it only takes new trades)
I have taken the entries per direction off( this helped as I only see 2 orders at a time now, but this doesnt make sense)
I have entryhandling to uniqueentries
I have also realtime errorhandling to take no action (my script automatically closes an order if it encounters a problem)

the things that I think might be the issue, could be the issue, but I've manipulated them in different variations, yet it still only seems to work with some instruments and not on others. This is what i find puzzling.

do you get a return error code ?
anything in the log file ?

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  #7 (permalink)
Trading for Fun
Los Angeles, CA
 
Futures Experience: Intermediate
Platform: NinjaTrader, ThinkOrSwim
Favorite Futures: Options, Futures
 
Posts: 92 since Mar 2015
Thanks: 13 given, 2 received


rleplae View Post
do you get a return error code ?
anything in the log file ?

it seems as though it canels, or rejects them. they pop up in the orders then go away.

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  #8 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,112 since Sep 2013
Thanks: 1,511 given, 3,177 received
Forum Reputation: Legendary


kidvic View Post
it seems as though it canels, or rejects them. they pop up in the orders then go away.

Have you studied the trace file ?
~document\ninjatrader 7\trace

This could give you a clue of what is happening.. if the broker is rejecting it

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  #9 (permalink)
Trading for Fun
Los Angeles, CA
 
Futures Experience: Intermediate
Platform: NinjaTrader, ThinkOrSwim
Favorite Futures: Options, Futures
 
Posts: 92 since Mar 2015
Thanks: 13 given, 2 received


rleplae View Post
Have you studied the trace file ?
~document\ninjatrader 7\trace

This could give you a clue of what is happening.. if the broker is rejecting it

Thanks for that, I tihink ill seperate the long and the short, you have always been very helpful.

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