The sample strategy is a modified copy of “SampleMACrossOver”. This strategy uses StopMarket orders to enter and exit the market.
When I run the strategy, with Order fill resolution = Standard I get these results: CL##-## Net Profit = $1200, YN ##-## Net Profit = $3,500
When I run the strategy, with Order fill resolution = High (1 minute) I get these results: CL##-##, Net Profit = -$3,880, YN ##-##, Net Profit = $5,480
CL ##-## Log Error: Strategy 'MySampleXCross/-1': A Sell stop order placed at '1/23/2015 3:00:00 AM' has been ignored since the stop price is less than or equal to the close price of the current bar. This is an invalid order and subsequent orders may also be ignored. Please fix your strategy.
YM##-## Log Error: Strategy 'MySampleXCross/-1': A BuyToCover stop order placed at '1/28/2015 10:30:00 AM' has been ignored since the stop price is less than or equal to the close price of the current bar. This is an invalid order and subsequent orders may also be ignored. Please fix your strategy.
Notice the Net Profit results are different by $1000`s of dollars and the error messages.
When you look at the code, the Stoploss orders are calculated from the Entry order AverageFillPrice +/- 15 ticks, and only fail when Order fill resolution = High.
Can you pls have look at the upload and test the sample strategy at you end, and let me know if this is an NT8B10 bug/issue when running Order fill resolution = High...
Why the results are so completely different when using Order fill resolution = High ?
What is causing the Stoploss order Errors on the log ?
Thank you
Comment