Order stops at OrderState.Working when backtesting strategy

[cmarkb]

Hi.

We're debugging and testing our backtest strategy using Historical Fill Processing=High / Tick / 1. Strategy is using our own indicator.

The backtest strategy was able to submit an order:

SubmitOrderUnmanaged(0, OrderAction.Buy, OrderType.Market, _OrderQuantity, 0, 0, string.Empty, signalName);

and it was able to go thru states but appears to stop at OrderState.Working:

27/04/2020 9:55:00 AM Strategy 'Absinthian - BackTesting Strategy/-1': Entered internal SubmitOrderUnmanaged() method at 27/04/2020 9:55:00 AM: BarsInProgress=0 Action=Buy OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Entry/Trade Strategy 1'
Entry Order assigned to entryOrder. orderId='NT-00000-442' account='Backtest' name='Entry/Trade Strategy 1' orderState=Submitted instrument='FDAX 06-20' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2020-04-30 03:59:00' gtd='2099-12-01' statementDate='2020-05-11'
orderId='NT-00000-442' account='Backtest' name='Entry/Trade Strategy 1' orderState=Accepted instrument='FDAX 06-20' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2020-04-30 03:59:00' gtd='2099-12-01' statementDate='2020-05-11'
orderId='NT-00000-442' account='Backtest' name='Entry/Trade Strategy 1' orderState=Working instrument='FDAX 06-20' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2020-04-30 03:59:00' gtd='2099-12-01' statementDate='2020-05-11'

Could it be because we submit the order via event and not directly in strategy.OnBarUpdate():

indicator.OnBarUpdate()
-> indicator.OnCriteria(message) public event

strategy.OnCriteria(message) bound to indicator.OnCriteria(message)
-> call submitorderunmanaged()

Or is there something we missed setting up?

Thanks.

[cmarkb]

Okay after adding Print()s and attaching a debugger on both strategy.OnBarUpdate() and indicator.OnBarUpdate(), looks like strategy goes thru all the bars first then afterwards the indicator goes thru all the bars. I thought both OnBarUpdate()s runs inbetween each other or something like that.

So the order on previous post was submitted when strategy has already gone thru all the bars.

[cmarkb]

Ok seems to be working now. Was just removing and adding Print()s. Orders are getting submitted and filled.

Earlier, I did move the SubmitOrderUnmanaged() calls into OnBarUpdate() -- queued up messages received in OnCriteria() -- but that resulted to nothing.

[cmarkb]

Looks like using the indicator in the strategy.OnBarUpdate() made it work. I added indicator[0] to the Print() to see its output and that's when the orders get started being processed.