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Date/Time: Thu, 16 May 2024 00:42:37 +0000

Post From: Replay With ASCIL Trading Strategy Causes Phantom Executions

[2019-02-07 22:13:50] Link To Thread - Link To Post [Go To First Post]
User41727 - Posts: 124
Happens since upgrading from the previous stable version to 1870. When running an ACSIL trading strategy with two pairs of attached target and stop orders, the target limit orders are filled immediately after the entry stop order was triggered and filled. The LMT orders are filled at the their given prices even though the market has not even remotely touched those levels and never actually will reach either. Has only been observed with long positions and happens with standard replay, back test mode and "calculate at every tick". Only seems to happen if a previous short position was closed in one of the recent periods. EDIT: Happens regard off replay speed and also does happens with shorts positions and without a recent trade. Date Time Of Last Edit: 2019-02-07 22:36:25