Hi all - not sure exactly what forum this needs to be in, so I'll throw it up and hopefully someone can direct it / me where it will receive the best attention.
I've been playing around with the last stages of paper trading before going live, and I've been noticing that occasionally when I have 2 identical strategies attempting to kick off positions, there will be a significant difference in fill price.
Setup is NT -> TWS (IB), just using simple CrossOver strategies and fill at market prices, but I'm getting one instance of a strategy filling at ~ Market -5pts and one instance filling at ~ Market - 50pts. Trading on the HSI, which IS volatile, but not THAT volatile, given the trades are both filling within a second of each other, and price action doesn't fluctuate anywhere near that much.
This has happened throughout the day using various strategies which have multiple instances trying to kick off at once. Before I go and troubleshoot everything, has anyone experienced anything similar and can point me in the right direction?
Developing profitable strategies to overcome 45pt hurdles is hard, but given I'm nearly breaking even with this, can't wait until I can eliminate that handicap!
Many thanks in advance,
Joe
More information:
There are some 35+ instances of 2 x 1 strategy trying to initialize positions and them filling at _exactly_ 45 points difference. I'm not running any Stops / Limits in the strategy, so is this likely to be a software setting that's allowing me to lose 50 points when filling contracts?
And apologies for my poor / inconsistent use of terminology.
I've been playing around with the last stages of paper trading before going live, and I've been noticing that occasionally when I have 2 identical strategies attempting to kick off positions, there will be a significant difference in fill price.
Setup is NT -> TWS (IB), just using simple CrossOver strategies and fill at market prices, but I'm getting one instance of a strategy filling at ~ Market -5pts and one instance filling at ~ Market - 50pts. Trading on the HSI, which IS volatile, but not THAT volatile, given the trades are both filling within a second of each other, and price action doesn't fluctuate anywhere near that much.
This has happened throughout the day using various strategies which have multiple instances trying to kick off at once. Before I go and troubleshoot everything, has anyone experienced anything similar and can point me in the right direction?
Developing profitable strategies to overcome 45pt hurdles is hard, but given I'm nearly breaking even with this, can't wait until I can eliminate that handicap!
Many thanks in advance,
Joe
More information:
There are some 35+ instances of 2 x 1 strategy trying to initialize positions and them filling at _exactly_ 45 points difference. I'm not running any Stops / Limits in the strategy, so is this likely to be a software setting that's allowing me to lose 50 points when filling contracts?
And apologies for my poor / inconsistent use of terminology.
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