I am testing a strategy, and am noticing a couple of odd behaviors only during market replay. During live market conditions it runs fine.
1) During replay, at some point it inevitably creates a naked position that just floats out there, even though the atm strategy is reporting a flat position, and new positions are taken as my checks for open positions return a null value:
if (orderId.Length == 0 && atmStrategyId.Length == 0)
This only happens during replay, and I am only running replay at 1x speed.
2) The other problem is that every so often during a market replay the strategy will close itself out. The only thing in the log related to it is this entry:
10/1/2007 23:58 Strategy "Exit on close handling for strategy 'ZeroLXVer3_0lx5' started."
Any ideas? The log isn't really helping out on this one.
Thanks.
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