Last week was the first week that I ran my strategy live. I ran a scan each evening after the market closed to see if the live results matched the back testing results and unfortunately they didn’t. On May 31st a trade should have executed live but it didn’t.
I ran the EXACT same script that I run live in Market Replay on that symbol and the trade executed as intended so I don’t see how it could be a problem with the script. The strategy was enabled and green prior to the start of the session and stayed green the entire session. There were no connection losses at the time the trade should have executed nor were there any errors in the log tab. I’m using the recommended versions of IQ Feed and TWS and I have tested the connections by executing a number of live trades using a stripped down version of the script.
As it was my first week running live I kept a close eye on the hardware resources and the CPU utilization stayed below 100% approximately 98% of the time and I only used up 25% of my RAM so I don’t think I was overtaxing my system. It’s a multi-instrument script that had approximately 600 additional data series/symbols, 30 days of historical 1 minute bars loaded per symbol, set to calculate on each tick, total lines of code is approximately 900 although I make generous use of return commands so for all practical purposes it was only running about 450 lines on 98% of the symbols that day.
Unfortunately, I can’t share the script with NT for troubleshooting purposes although as I mentioned already it works fine in Market Replay so I don’t see it being a coding issue (I could be wrong).
I am hoping NT can provide some guidance on how to troubleshoot this issue.
Thanks in advance,
WallSt.
Comment