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automated trading - sporadic executions

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    automated trading - sporadic executions

    My backtest and market replay produce the expected executions and I seem to get expected executions if I use a micro timeframe in live Sim101/Gain during the day. However my AT Strategy starts at midnite est and I'm either getting just one fill or no fills going forward in live Sim101 using a 15m timeframe and I've watched it not function in daytime trading on the 15m as well. For instance last night I was filled short at 1am est for a loss then nothing triggered on the next signal at 345am. I ran the strategy analyzer and the executions were there.

    Also maybe these are related maybe not but when entering the strategy from the strategy tab the stop gets accepted immediately but the order entry doesn't execute and if I remove the stop from the strategy the entry executes. Then one question, can I run the DOM during autotrading?

    I'll leave it at this for now I would very much appreciate advice on a direction to pursue in order to correct this. Thank you.

    #2
    We have written up some "tips" to provide some guidance on debugging a strategy which is what you will need to do. The links are below. You can watch orders in the SuperDOM while autotrading. Keep in mind, do not change strategy generated orders in the DOM, you may see unexpected behaviour such as order prices changing back to a prior price set by the strategy.

    RayNinjaTrader Customer Service

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      #3
      Alright thanks Ray I'll have at it, I guess. May be a bit steep for me.

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        #4
        functioning as expected

        I felt I owed NT and the forum since I posted this to say I cleaned up my code yesterday and it functioned as expected through tests and live Sim through the night.

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          #5
          Excellent! Thanks for reporting back to us and the community.
          RayNinjaTrader Customer Service

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