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Old 11-21-2008, 05:37 PM   #1
heech
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Default Strategy suddenly stopping

Hi,

In some of my backtest cases, the execution of a strategy will suddenly stop. I'm wondering if it's related to RealtimeErrorHandling.

Here's what I see in my debugging output:

Quote:
2/28/2008 7:00:00 AM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=15.75 Currency=0 Simulated=False
2/28/2008 7:00:00 AM Amended stop order: Order='NT-00001/Back101' Name='Stop loss' State=Working Instrument='ABH' Action=Sell Limit price=0 Stop price=15.75 Quantity=100 Strategy='ProtectDown' Type=Stop Tif=Gtc Oco='NT-00000' Filled=0 Fill price=0 Token='18121809b90642918fd6e5d11c8401a4' Gtd='12/1/2099 12:00:00 AM'
2/28/2008 7:00:00 AM Entered internal PlaceOrder() method at 2/28/2008 7:00:00 AM: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
2/28/2008 7:00:00 AM Cancelled pending exit order, since associated position is closed: Order='NT-00001/Back101' Name='Stop loss' State=Working Instrument='ABH' Action=Sell Limit price=0 Stop price=15.75 Quantity=100 Strategy='ProtectDown' Type=Stop Tif=Gtc Oco='NT-00000' Filled=0 Fill price=0 Token='18121809b90642918fd6e5d11c8401a4' Gtd='12/1/2099 12:00:00 AM'
I acknowledge there's probably a bug in my code here, since I shouldn't ExitLongAtLimit() and ExitLong() within the same bar... but the response is a little odd.

I get this one last call in my OnOrderUpdate handler:
Quote:
Received cancelled order: Order='NT-00001/Back101' Name='Stop loss' State=Cancelled Instrument='ABH' Action=Sell Limit price=0 Stop price=15.75 Quantity=100 Strategy='ProtectDown' Type=Stop Tif=Gtc Oco='NT-00000' Filled=0 Fill price=0 Token='18121809b90642918fd6e5d11c8401a4' Gtd='12/1/2099 12:00:00 AM'
... and then the execution has simply stopped. OnBarUpdate is no longer called.

I know the docs for RealTimeErrorHandling mentions stopping the strategy (by default) if there is a rejected order... what about during back-testing? What if there's an error in exits as in this case? Could it be the cause for the strategy simply "ending"?
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Old 11-21-2008, 05:59 PM   #2
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And there are no errors in the Control Center log tab just to double check?
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Old 11-21-2008, 06:00 PM   #3
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You're a pro, Ray... that's exactly the issue.

"Reference not set to an instance of an object." I don't really see how that could be happening, but I'll double check.
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