I run a simple reversal strategy. It appears that trailing stop works incorrectly.
CL 12-12, 2min chart, Replay Mode 11/2/2012 8:12:ish AM
{
SetTrailStop(CalculationMode.Ticks, 6.0);
TraceOrders = true;
CalculateOnBarClose = true;
Add(PeriodType.Minute, 1);
}
{
if (Historical)
{
return;
}
if (BarsInProgress == 0)
{
bool longCond = GetCurrentBid() > High[1]
&& Position.MarketPosition==MarketPosition.Flat
&& CONDITION1);
if (longCond)
{
EnterLong(1, 1, "Long");
}
bool shortCond = GetCurrentAsk() < Low[1]
&& Position.MarketPosition==MarketPosition.Flat
&& CONDITION2);
if (shortCond)
{
EnterShort(1, 1, "Short");
}
}
}
Here are the traces:
11/2/2012 8:16:08 AM Entered internal PlaceOrder() method at 11/2/2012 8:16:08 AM: BarsInProgress=1 Action=SellShort OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Short' FromEntrySignal=''
11/2/2012 8:30:00 AM Entered internal PlaceOrder() method at 11/2/2012 8:30:00 AM: BarsInProgress=1 Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Long' FromEntrySignal=''
11/2/2012 8:31:00 AM Amended trail stop order: Order='cf7bb64dee8441e9bb67f794aabdb9da/Replay101' Name='Trail stop' State=Accepted Instrument='CL 12-12' Action=Sell Limit price=0 Stop price=86.81 Quantity=1 Strategy='HeikenAshi1' Type=Stop Tif=Gtc Oco='b97a62d6b60b4dc0bcbd17cace4788f2-1725' Filled=0 Fill price=0 Token='cf7bb64dee8441e9bb67f794aabdb9da' Gtd='12/1/2099 12:00:00 AM'
11/2/2012 8:31:00 AM Cancelled expired order: BarsInProgress=0: Order='cf7bb64dee8441e9bb67f794aabdb9da/Replay101' Name='Trail stop' State=Accepted Instrument='CL 12-12' Action=Sell Limit price=0 Stop price=86.81 Quantity=1 Strategy='HeikenAshi1' Type=Stop Tif=Gtc Oco='b97a62d6b60b4dc0bcbd17cace4788f2-1725' Filled=0 Fill price=0 Token='cf7bb64dee8441e9bb67f794aabdb9da' Gtd='12/1/2099 12:00:00 AM'
What am I doing wrong?
Thanks.
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