I have a strategy that I have backtested on a chart, and I noticed it is running fine except for one trade (out of about 70) where the strategy enters the same trade multiple times. This is on the 6E on 2 August at 4:50am. On further investigation, I think this is due to a delay in the Position.MarketPosition updating (I have used print statements in my strategy to determine this).
I have re-downloaded the price data for this day, but I am still getting the error.
Is this just a backtesting error or could it occur in real-time trading?
Is there a way to access the order status data so I could add a line in the strategy?
Thanks
I have posted some of the output from the traceorder below. There is more that continues in the same vein:
02/08/2012 4:50:15 AM Entered internal PlaceOrder() method at 02/08/2012 4:50:15 AM: BarsInProgress=2 Action=SellShort OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Trade293' FromEntrySignal=''
02/08/2012 4:50:15 AM Entered internal PlaceOrder() method at 02/08/2012 4:50:15 AM: BarsInProgress=2 Action=SellShort OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Trade2293' FromEntrySignal=''
02/08/2012 4:50:15 AM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='Trade293' Mode=Ticks Value=17 Currency=0 Simulated=False
02/08/2012 4:50:15 AM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='Trade2293' Mode=Ticks Value=17 Currency=0 Simulated=False
02/08/2012 4:50:15 AM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Trade293' Mode=Ticks Value=24 Currency=0 Simulated=False
02/08/2012 4:50:15 AM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Trade2293' Mode=Ticks Value=72 Currency=0 Simulated=False
MarketPosition = Flat
02/08/2012 4:50:15 AM Cancelled pending exit order, since associated position is closed: Order='NT-00021/Sim101' Name='Profit target' State=Working Instrument='6E 09-12' Action=BuyToCover Limit price=1.2258 Stop price=0 Quantity=1 Strategy='ComboSVv3' Type=Limit Tif=Gtc Oco='NT-00012-436' Filled=0 Fill price=0 Token='6c3ea8b44c6f4e4983149a5b58cbeb4f' Gtd='01/12/2099 12:00:00 AM'
02/08/2012 4:50:15 AM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00021/Sim101' Name='Profit target' State=Cancelled Instrument='6E 09-12' Action=BuyToCover Limit price=1.2258 Stop price=0 Quantity=1 Strategy='ComboSVv3' Type=Limit Tif=Gtc Oco='NT-00012-436' Filled=0 Fill price=0 Token='6c3ea8b44c6f4e4983149a5b58cbeb4f' Gtd='01/12/2099 12:00:00 AM'
02/08/2012 4:50:15 AM Cancelled pending exit order, since associated position is closed: Order='NT-00023/Sim101' Name='Profit target' State=Working Instrument='6E 09-12' Action=BuyToCover Limit price=1.221 Stop price=0 Quantity=1 Strategy='ComboSVv3' Type=Limit Tif=Gtc Oco='NT-00013-436' Filled=0 Fill price=0 Token='8bccfe1b22f84cf898c756fa9d3efcea' Gtd='01/12/2099 12:00:00 AM'
02/08/2012 4:50:15 AM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00023/Sim101' Name='Profit target' State=Cancelled Instrument='6E 09-12' Action=BuyToCover Limit price=1.221 Stop price=0 Quantity=1 Strategy='ComboSVv3' Type=Limit Tif=Gtc Oco='NT-00013-436' Filled=0 Fill price=0 Token='8bccfe1b22f84cf898c756fa9d3efcea' Gtd='01/12/2099 12:00:00 AM'
02/08/2012 4:50:25 AM Entered internal PlaceOrder() method at 02/08/2012 4:50:25 AM: BarsInProgress=2 Action=SellShort OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Trade293' FromEntrySignal=''
02/08/2012 4:50:25 AM Entered internal PlaceOrder() method at 02/08/2012 4:50:25 AM: BarsInProgress=2 Action=SellShort OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Trade2293' FromEntrySignal=''
02/08/2012 4:50:25 AM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='Trade293' Mode=Ticks Value=17 Currency=0 Simulated=False
02/08/2012 4:50:25 AM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='Trade2293' Mode=Ticks Value=17 Currency=0 Simulated=False
02/08/2012 4:50:25 AM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Trade293' Mode=Ticks Value=24 Currency=0 Simulated=False
02/08/2012 4:50:25 AM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Trade2293' Mode=Ticks Value=72 Currency=0 Simulated=False
MarketPosition = Flat
02/08/2012 4:50:25 AM Cancelled pending exit order, since associated position is closed: Order='NT-00027/Sim101' Name='Profit target' State=Working Instrument='6E 09-12' Action=BuyToCover Limit price=1.226 Stop price=0 Quantity=1 Strategy='ComboSVv3' Type=Limit Tif=Gtc Oco='NT-00016-436' Filled=0 Fill price=0 Token='dbec659a99a5422bb08272023e602a34' Gtd='01/12/2099 12:00:00 AM'
02/08/2012 4:50:15 AM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00027/Sim101' Name='Profit target' State=Cancelled Instrument='6E 09-12' Action=BuyToCover Limit price=1.226 Stop price=0 Quantity=1 Strategy='ComboSVv3' Type=Limit Tif=Gtc Oco='NT-00016-436' Filled=0 Fill price=0 Token='dbec659a99a5422bb08272023e602a34' Gtd='01/12/2099 12:00:00 AM'
02/08/2012 4:50:25 AM Cancelled pending exit order, since associated position is closed: Order='NT-00029/Sim101' Name='Profit target' State=Working Instrument='6E 09-12' Action=BuyToCover Limit price=1.2212 Stop price=0 Quantity=1 Strategy='ComboSVv3' Type=Limit Tif=Gtc Oco='NT-00017-436' Filled=0 Fill price=0 Token='1065558f391f4d4898ddd4ee4ae8ea86' Gtd='01/12/2099 12:00:00 AM'
02/08/2012 4:50:15 AM Cancelled OCO paired order: BarsInProgress=0: Order='NT-00029/Sim101' Name='Profit target' State=Cancelled Instrument='6E 09-12' Action=BuyToCover Limit price=1.2212 Stop price=0 Quantity=1 Strategy='ComboSVv3' Type=Limit Tif=Gtc Oco='NT-00017-436' Filled=0 Fill price=0 Token='1065558f391f4d4898ddd4ee4ae8ea86' Gtd='01/12/2099 12:00:00 AM'
02/08/2012 4:50:26 AM Entered internal PlaceOrder() method at 02/08/2012 4:50:26 AM: BarsInProgress=2 Action=SellShort OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Trade293' FromEntrySignal=''
02/08/2012 4:50:26 AM Entered internal PlaceOrder() method at 02/08/2012 4:50:26 AM: BarsInProgress=2 Action=SellShort OrderType=Market Quantity=1 LimitPrice=0 StopPrice=0 SignalName='Trade2293' FromEntrySignal=''
02/08/2012 4:50:26 AM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='Trade293' Mode=Ticks Value=17 Currency=0 Simulated=False
02/08/2012 4:50:26 AM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='Trade2293' Mode=Ticks Value=17 Currency=0 Simulated=False
02/08/2012 4:50:26 AM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Trade293' Mode=Ticks Value=24 Currency=0 Simulated=False
02/08/2012 4:50:26 AM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='Trade2293' Mode=Ticks Value=72 Currency=0 Simulated=False
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