Closed Sidlercom closed 3 years ago
The samples are provided only to show how to code with the engine. In the samples the position is hard coded to 4 and the exits are hard coded to 4 in the basic samples
I can't see why replay mode would change any of that - as it is hard coded - unless If there were anomalies under fast play back the samples do not attempt to navigate or fix that.
Trade/Testing Modes
Soak/Unit Testing Focused on realtime trading. For replay there was a simple test to see it worked in replay only same for backtest. So maybe you uncovered fast market anomalies which the system does not attempt to fix in replay or something else quirky
Diagnosis - steps to replicate.
@MicroTrendsTom I can confirm that the wrong order sizes for stop-loss & profit-targets are submitted exactly as reported by @Sidlercom. It is not a fast market anomaly. It happens exactly the same regardless of market price rate-of-change or market replay speed. Even though those order sizes do seem to be hard-coded to 4 contracts, orders totaling 8 contracts each are submitted.
@MicroTrendsTom I can confirm that the wrong order sizes for stop-loss & profit-targets are submitted exactly as reported by @Sidlercom. It is not a fast market anomaly. It happens exactly the same regardless of market price rate-of-change or market replay speed. Even though those order sizes do seem to be hard-coded to 4 contracts, orders totaling 8 contracts each are submitted.
ok ty will have to investigate this and resolve. I am due to wheel back to this in fact to use it for a Backtester/Strategy NT8 version of AFT http://www.algofuturestrader.com so i will definitely test and fix as soon as i can get on to that task list.
What Instrument. time series were you using? Any particular settings/time series etc
ES 03-21 8-Renko initially. However, the same thing happens with any instrument, bar-type or time series. It will be easy to reproduce the problem.
removed a double call to place stoploss by means of workflow change
in replay/playback mode, stoploss and profittarget are not calculated correctly, and are usually not the same size as the entry order size. In live sim mode everything seems to be correct