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Direct MessagesDate/Time: Sun, 28 Apr 2024 07:59:39 +0000
[Programming Help] - backtesting incomplete with limit orders
View Count: 422
| [2020-02-13 20:10:05] |
| arruga - Posts: 249 |
|
Got a spreadsheet based system When backtesting it with market orders, all good. When I switch to limit orders via cells J71 and J22, it does all well until 2014 only...then no more orders are placed. Any gral guidance you can provide as to why this may be happening? I can't see anything clarifying from the message logs... here last few lines when it stops in 2014 ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID HighDuringPosition LowDuringPosition Note AccountBalance Order 2013-11-07 00:00:00.000 [Sim]SPY Auto-trade order modification: Bar Backtest: SPY [CBV-D] Daily #4 | Trade Management by Study. Requested Price: 174.52. Requested Quantity: 500 20194 20194 Stop 500 Sell 173.97 Pending Modify Sim1 Close 20192 500 Order 2013-11-07 00:00:00.001 [Sim]SPY Simulated order modify complete 20194 20194 Stop 500 Sell 174.52 Open Sim1 Close 20192 500 Order 2013-11-07 00:00:00.002 [Sim]SPY Trade simulation fill. Bid: 177.63 Ask: 177.64 Last: 177.64 20193 20193 Limit 500 Sell 177.59 Filled 177.59 500 Sim1 Close 20192 500 Fill 2013-11-07 00:00:00.003 [Sim]SPY Trade simulation fill. Bid: 177.63 Ask: 177.64 Last: 177.64 20193 20193 Limit 500 Sell 177.59 Filled 177.59 500 Sim1 Close 20192 20193.1 177.64 174.51 Order 2013-11-07 00:00:00.004 [Sim]SPY Canceling order due to sibling fill 20194 20194 Stop 500 Sell 174.52 Pending Cancel Sim1 Close 20192 Order 2013-11-07 00:00:00.005 [Sim]SPY Simulated order canceled 20194 20194 Stop 500 Sell 174.52 Canceled Sim1 Close 20192 Order 2014-02-13 00:00:00.000 [Sim]SPY Auto-trade: Bar Backtest: SPY [CBV-D] Daily #4 | 5du | BuyEntry | Formula: Buy Entry at row 4 is TRUE. | Bar start date-time: 2014-02-12 00:00:00.000 | Last: 180.84. Attached Order | Client side OCO order 20196 Limit Sell 183.72 Pending Child-Client Sim1 Close 20195 Order 2014-02-13 00:00:00.001 [Sim]SPY Auto-trade: Bar Backtest: SPY [CBV-D] Daily #4 | 5du | BuyEntry | Formula: Buy Entry at row 4 is TRUE. | Bar start date-time: 2014-02-12 00:00:00.000 | Last: 180.84. Attached Order | Client side OCO order 20197 Stop Sell 174.72 Pending Child-Client Sim1 Close 20195 Order 2014-02-13 00:00:00.002 [Sim]SPY Auto-trade: Bar Backtest: SPY [CBV-D] Daily #4 | 5du | BuyEntry | Formula: Buy Entry at row 4 is TRUE. | Bar start date-time: 2014-02-12 00:00:00.000 | Last: 180.84 20195 Limit 500 Buy 180.12 Order Sent Sim1 Open Order 2014-02-13 00:00:00.003 [Sim]SPY Simulated order accepted 20195 20195 Limit 500 Buy 180.12 Open Sim1 Open |
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