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Date/Time: Fri, 03 May 2024 11:28:11 +0000

Post From: Automated Trading with Spreadsheet

[2013-10-18 00:07:24] Link To Thread - Link To Post [Go To First Post]
moonmist - Posts: 127
Hi, In the past few days, I have been using the combo: IQ Feed/Interactive Brokers/Spreadsheet for automated trading of crude oil futures. Today, I encountered a problem. When CLX3 dropped to 100.44 around 10:00 AM Eastern Time, the system was supposed to send a BUY market order to NYMEX. What actually happened was: price dived to 100.36; retraced back to 100.67, and nothing was triggered during this period of time. Later, I did a "Trading System Replay Backtest", and a BUY signal was generated at 10:00:30 AM. Is it possible that price was moving too fast for the spreadsheet to handle ? Thanks. Date Time Of Last Edit: 2013-10-18 00:08:26