I´m testing my own developed strategy and during the historical processing the orders are not being processed as I expected.
For example, by analysing my strategy logs, the order was submitted on the bar closed at 14/06/2018 11:05:55, and reached the "working state" almost instantly. But it is filled only on the bar closed at 21/06/2018 22:16:58 (see below).
Is this the normal behaviour? Or am I missing something?
I´ve tested the same strategy on playback connection (historical and market replay data) and in the strategy analyser and the results are OK (as expected).
Regards.
T14/06/2018 11:05:55;O2786,75;H2792,75;L2786,25;C2792,75;V1694 07
orderId='NT-00000-32' account='Sim101' name='MultiHamaBuy' orderState=Submitted instrument='ES 09-18' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=10 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2018-06-22 00:12:01' gtd='2099-12-01' statementDate='2018-06-22'
orderId='NT-00000-32' account='Sim101' name='MultiHamaBuy' orderState=Accepted instrument='ES 09-18' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=10 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2018-06-22 00:12:01' gtd='2099-12-01' statementDate='2018-06-22'
orderId='NT-00000-32' account='Sim101' name='MultiHamaBuy' orderState=Working instrument='ES 09-18' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=10 tif=Gtc oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=-1 time='2018-06-22 00:12:01' gtd='2099-12-01' statementDate='2018-06-22'
T21/06/2018 22:16:58;O2750,5;H2756,5;L2750,5;C2756,5;V9800
orderId='NT-00000-32' account='Sim101' name='MultiHamaBuy' orderState=Filled instrument='ES 09-18' orderAction=Buy orderType='Market' limitPrice=0 stopPrice=0 quantity=10 tif=Gtc oco='' filled=10 averageFillPrice=2758.5 onBehalfOf='' id=-1 time='2018-06-22 00:12:01' gtd='2099-12-01' statementDate='2018-06-22'
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