I am running a system in sim mode(Sim101) on Top Step Trader. The system runs as it is supposed to in backtesting only. However in realtime strange things are happening.
In the onbarupdate event, if the marketposition is flat, I submit a limit order to sell above the market and a buy limit below the market. The levels change on each bar. If there is an existing by and sell limit (i.e the order is not null), I cancel the existing order and resubmit the order. Sometimes the orders just get cancelled. This also is true when I enter a stoploss using the OnExecution even handler. Sometimes the stops don't get entered and I am sitting there with an exposed position
1. What I see happening is that sometimes the order is just cancelled in real time and a new order is not submitted. What I see in the output window (I have trace orders enabled) is that the cancel is pending. Should I be using the change order method rather than just cancelling and resubmitting on each bar?
2. Should I be using a different event to change or cancel and replace the orders?
3. Is this a problem with TopStepTrader's simulation engine in that cancels are not confirmed and I need to find another way to handle changing the order?
4. Could I accomplish the same type of strategy by using managed orders in that one strategy would be for a long only ATS and the other for short only ATS and run the 2 strategies at the same time?
Thank you,
Cowpux
In the onbarupdate event, if the marketposition is flat, I submit a limit order to sell above the market and a buy limit below the market. The levels change on each bar. If there is an existing by and sell limit (i.e the order is not null), I cancel the existing order and resubmit the order. Sometimes the orders just get cancelled. This also is true when I enter a stoploss using the OnExecution even handler. Sometimes the stops don't get entered and I am sitting there with an exposed position
1. What I see happening is that sometimes the order is just cancelled in real time and a new order is not submitted. What I see in the output window (I have trace orders enabled) is that the cancel is pending. Should I be using the change order method rather than just cancelling and resubmitting on each bar?
2. Should I be using a different event to change or cancel and replace the orders?
3. Is this a problem with TopStepTrader's simulation engine in that cancels are not confirmed and I need to find another way to handle changing the order?
4. Could I accomplish the same type of strategy by using managed orders in that one strategy would be for a long only ATS and the other for short only ATS and run the 2 strategies at the same time?
Thank you,
Cowpux
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