I’m programming a multi timeframe (MTF) strategy.
When the strategy open an order and bar on the lower time frame closed the order is cancelled:
- 01.10.2014 07:58:09 Order='0d8a26dcec25434d9e648883d25657ee/Replay101' Name='Buy' State=PendingSubmit Instrument='ES ##-##' Action=Buy Limit price=1962.25 Stop price=0 Quantity=1 Type=Limit Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='0d8a26dcec25434d9e648883d25657ee' Gtd='01.01.0001 00:00:00'
- 01.10.2014 07:58:09 Order='0d8a26dcec25434d9e648883d25657ee/Replay101' Name='Buy' State=Accepted Instrument='ES ##-##' Action=Buy Limit price=1962.25 Stop price=0 Quantity=1 Type=Limit Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='0d8a26dcec25434d9e648883d25657ee' Gtd='01.01.0001 00:00:00'
- 01.10.2014 07:58:09 Order='0d8a26dcec25434d9e648883d25657ee/Replay101' Name='Buy' State=Working Instrument='ES ##-##' Action=Buy Limit price=1962.25 Stop price=0 Quantity=1 Type=Limit Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='0d8a26dcec25434d9e648883d25657ee' Gtd='01.01.0001 00:00:00'
- 01.10.2014 07:58:09 Open: 1963 Close: 1962.5 <- Bar close on lower timeframe
- 01.10.2014 07:58:09 Order='0d8a26dcec25434d9e648883d25657ee/Replay101' Name='Buy' State=PendingCancel Instrument='ES ##-##' Action=Buy Limit price=1962.25 Stop price=0 Quantity=1 Type=Limit Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='0d8a26dcec25434d9e648883d25657ee' Gtd='01.01.0001 00:00:00'
- 01.10.2014 07:58:09 Order='0d8a26dcec25434d9e648883d25657ee/Replay101' Name='Buy' State=Cancelled Instrument='ES ##-##' Action=Buy Limit price=1962.25 Stop price=0 Quantity=1 Type=Limit Tif=Gtc OverFill=False Oco='' Filled=0 Fill price=0 Token='0d8a26dcec25434d9e648883d25657ee' Gtd='01.01.0001 00:00:00'
- 01.10.2014 08:00:13 Open: 1962.25 Close: 1962.5 <- Bar close on lower timeframe
What can I do to fix this problem?
Bye,
Michel
Comment