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I have searched far and wide for similar posts but have not found anything. For the automated traders out there using Tradestation, do you have issues with strategy fills? Seems like every few days I have what should be a strategy fill that doesn't get a signal until I reload the strategy or restart the application (only in automated execution. I also get issues where the strategy generates a fill but I do not get an order generated. I find myself missing trades more than I would like and I cannot figure out why. Could it be related to the fill logic? I am using "Strategy will fill non-historical orders only when the TradeManager reports them as filled" and only the "Wait for UROut confirmation before sending a subsequent entry order for the same signal to the market". All of these orders are market orders on the next bar (no intrabar order generation). Any help at all would be greatly appreciated.
Can you help answer these questions from other members on NexusFi?
If they are all market orders - not stop orders or limit orders, it should be fairly straightforward to diagnose.
Show a few examples that show the fill time on the strategy, and the Trade Manager messages tab which does not show the fill.
The restart issue could be if you use daily bars, and the settlement price is posted after the strategy calculates the code and generates order (based on last price traded).
Thanks Kevin! I will definitely look into the message log further when this happens. I find myself just manually managing a trade based on my strategy when I do not get filled which makes me feel like I need to babysit every second.
What about for issues where the strategy does not fill at all? Meaning the signal is never generated from the strategy to even fill an order. I have tested with having multiple charts up with one chart running the strategy in automation and the other with automation off just to see if one fills and not the other, and the non automated strategy works flawlessly. This happens a few times a week. The strategy will not fill until I reload the strategy on the automated chart or restart Tradestation. I assume this will show nothing in the message log as its like the strategy never fired the order. This is not a code issue as far as I can tell as it happens on every strategy I run and I do get a lot of orders generated.
That is weird if you are running 2 identical charts, and the strategy fills in one, and not the other.
Try this an an experiment. First, delete the non-automated chart. Then, copy the automated one, and paste it right next to automated one. You will get an error saying 2nd one has automation disabled.
Then run both, and when you see a strategy fill on one or not the other, take a screenshot and post it.
I definitely had times where weird things have happened, but usually there was an explanation (in my case usually it is some snafu I created!)...
I too have had completely missed trades on a daily basis. I am running roughly 60 strategies at a time and I have a friend who is running over 160+ strategies and TS seems to miss trades every day. Sometimes its an exit that doesn't get sent. Sometimes an entry. There doesn't seem to be any rhyme or reason to it. Our solution for now is to literally restart TS 5 times per day based on when we most likely will get missed trades. Usually it is around the open of the particular market being traded. Currently I am working on a solution to use MultiCharts to send the orders to another broker. When I was only running 10-20 strategies I would only sometimes get issues with missed orders but it seems once you get above 30 the missed orders are just too frequent. I wish there was an easy solution but so far I think this is just the limitation of a retail platform that tries to do it all (provide data, analyze the data, send signals, and fill orders) I will report back with any progress made in using MC instead of TS
Have you dug into the "TradeManager - Messages" log at all? It shows (in gory detail) pretty much everything that was sent/received to TS timestamped to the second (why they haven't bothered including milliseconds like MultiCharts is beyond me). When I had to convert an EasyLanguage strategy to an indicator-equivalent version (to get proper tick-level/IOG support on Renko charts), I recall a lot of pain having to deal with partial fills (among other things) that the Messages log helped me to resolve.
This was all on TS 9.5 BTW - haven't bothered much with 10.x yet...
@ShadowFox - did you ever get to the bottom of your issue? Im finding a similar problem of missing strategy fills and the messenger is not showing any attempted trade but the strategy shows a historical position. Simple entries like buy on a monday is getting missed.
