Hello,
I'm having an issue with the SubmitOrder() and Exit on Close
While backtesting my strategy I noticed the first few days worked fine, but by the end of the strategy an exit was acting as an entry and throwing everything else off. I tracked it down to 8/9 when there was a Exit on Close called by NT that exited one of my positions. I trade with two contracts 1 for short gains and 1 for long gains. In this example the 2 longs were filled at 14:53:34. At 15:32:46 the Quick exited. The Runner entry shows to have exited at 18:06:59, but in fact there was an Exit on Close at 16:00:00 that exited the Runner entry. So the Exit at 18:06:59 turned into an entry and everything was messed up from that point forward.
Now I'll probably never hold a position after trading hours and I know I can specify the time to exit and perhaps that's the only option, but I'm wondering if someone knows another way to have the SubmitOrder() identify this Exit on Close and not enter the next order?
Thanks
I'm having an issue with the SubmitOrder() and Exit on Close
While backtesting my strategy I noticed the first few days worked fine, but by the end of the strategy an exit was acting as an entry and throwing everything else off. I tracked it down to 8/9 when there was a Exit on Close called by NT that exited one of my positions. I trade with two contracts 1 for short gains and 1 for long gains. In this example the 2 longs were filled at 14:53:34. At 15:32:46 the Quick exited. The Runner entry shows to have exited at 18:06:59, but in fact there was an Exit on Close at 16:00:00 that exited the Runner entry. So the Exit at 18:06:59 turned into an entry and everything was messed up from that point forward.
Code:
8/09 14:53:34 -- ID: NT-00588, BullQuickIII Enter, Action: Buy, AvgFillPrice: 691.8 8/09 14:53:34 -- ID: NT-00589, BullRunnerIII Enter, Action: Buy, AvgFillPrice: 691.8 8/09 15:32:46 -- ID: NT-00588, BullQuickIII Exit (RMI), Action: Buy, AvgFillPrice: 691.9 8/09 15:32:46 -- ID: NT-00590, BullQuickIII Exit (RMI) Order, Action: SellShort, AvgFillPrice: 697.7 8/09 18:06:59 -- ID: NT-00589, BullRunnerIII Exit (VMAZones), Action: Buy, AvgFillPrice: 691.9 8/09 18:06:59 -- ID: NT-00592, BullRunnerII Exit (VMAZones) Order, Action: SellShort, AvgFillPrice: 693.5 8/09 18:49:19 -- ID: NT-00593, BullQuickIII Enter, Action: Buy, AvgFillPrice: 693 8/09 18:49:19 -- ID: NT-00594, BullRunnerIII Enter, Action: Buy, AvgFillPrice: 693
Thanks
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