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Direct MessagesDate/Time: Thu, 25 Apr 2024 08:23:09 +0000
[User Discussion] - Alerts generating trades that open & close instantly
View Count: 707
| [2019-11-07 17:07:11] |
| j4ytr4der_ - Posts: 918 |
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I found a thread from a little while back (Immediate entry/exit in spreadsheet system) that seemingly addressed this issue but it was specifically dealing with Spreadsheet trading which I'm not, so I thought I should probably start my own post. I'm exploring auto trading based on alerts, so have set up a fairly simple entry & exit signal to learn on. But something is behaving very wrong. I'm using a Flex Renko chart on RTY, setting of 10-7-7 with Gap Fill All Bars and no new bar at session start. I have an 8 period EMA at ID16. My Short entry signal is = and(ID0.SG23 < ID16.SG1, ID0.SG23[-1] < ID16.SG1[-1])
My short exit signal is = ID0.SG23 > ID0.SG23[-1]
Set to trigger only on bar close, so go short if the last 2 bars both close below the 8 EMA, and cover if the bar closes above the previous bar's close. Seems simple enough, but I'm running into two major problems. 1. Trades trigger (as seen in Trade Activity Log and displayed on chart) where there is no valid signal at all and no alert was issued (no alert in Alert Manager) 2. These trades open & close nearly instantly, always exactly 0.004 seconds apart. These trades always occur within the first 2 hours of my allowed trading time, and I've experimented with different start times with the same result except that they are much less frequent if my start time is later in the day (10am) vs earlier (5, 6, 7am...) I don't understand why trades are triggering where there is no alert, or why they are then also closing immediately. I've got to figure out what's causing this in order to move forward with developing an actual system. I've been scouring the documentation, this forum, and Google but am completely stuck. Any ideas? Date Time Of Last Edit: 2019-11-07 18:38:27
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| [2019-11-07 18:11:36] |
| j4ytr4der_ - Posts: 918 |
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On further investigation, this is somehow related to using the EMA as part of my entry criteria. When I switch to a simple price action based trigger, there are no erroneous trades. I'll continue playing with this but if anyone has any pointers on what I'm doing wrong using the EMA as a trigger, I'd appreciate your insights. EDIT: And on that note I believe I've solved it. The EMA was using Last and not Renko Close for its input. Switched it and no more spurious trades. Unless they come back, I'll consider this one solved! Date Time Of Last Edit: 2019-11-07 18:14:45
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| [2019-11-07 18:37:07] |
| j4ytr4der_ - Posts: 918 |
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Well so much for that. They're back and I still can't figure out why.
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| [2019-11-07 19:03:58] |
| j4ytr4der_ - Posts: 918 |
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OK I really can't explain this but... I removed another study I had hidden on the chart, which is just a simple High/Low of the opening hour (6:30 to 7:29:59) and now the spurious trades are gone. Put it back in, and they return. Really crazy.
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| [2019-11-08 04:11:22] |
| j4ytr4der_ - Posts: 918 |
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Well I've moved on to a completely different approach using Frederik's SST, and these weird phantom trades are back. AND they are executing at crazy prices the market never got anywhere near, generating huge losses in 0.004 seconds. Anyone have any ideas here?
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| [2019-11-08 11:34:39] |
| @sstfrederik - Posts: 403 |
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Email an example chartbook and I will have a look on what is happening. Burst posting here won’t help yr case. Frederik |
| [2019-11-08 22:51:32] |
| j4ytr4der_ - Posts: 918 |
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Thanks so much for your assistance, your SST study is awesomely robust and flexible and I'm thoroughly enjoying working with it (and you).
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