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Hi
I'm trying to figure out StopMarketOrder and seem to find strange behaviors, unless I'm completly missing something
The code below places an order on EURUSD and as soon as it is filled places a Stop (loss) market order a few tick below (please note that for the sake of testing I've hardcoded the stop and it is linked to the start date!)
here is what is logged
2017-09-06 00:00:00 : bar - H: 1.19106 L: 1.19101 C: 1.19104
2017-09-06 00:00:00 : OrderEvent: Submitted: Buy 83000.0 EURUSD
2017-09-06 00:00:00 : OrderEvent: Filled: Buy 83000.0 EURUSD - filled @ 1.19116
2017-09-06 00:00:00 : Setting stop loss @ 1.1908
2017-09-06 00:00:00 : OrderEvent: Submitted: Sell -83000.0 EURUSD - STOP @ 1.19080
//so far so good!
2017-09-06 00:01:00 : bar - H: 1.19106 L: 1.19101 C: 1.19104
2017-09-06 00:02:00 : bar - H: 1.19108 L: 1.19102 C: 1.19102
2017-09-06 00:03:00 : bar - H: 1.19106 L: 1.19102 C: 1.19105
2017-09-06 00:04:00 : bar - H: 1.19107 L: 1.19103 C: 1.19106
2017-09-06 00:05:00 : bar - H: 1.19105 L: 1.19103 C: 1.19103
2017-09-06 00:06:00 : OrderEvent: Filled: Sell -83000.0 EURUSD - STOP @ 1.19080 - filled @ 1.19080
2017-09-06 00:06:00 : bar - H: 1.19103 L: 1.19091 C: 1.19092
You can see that the low is 1.19091 and yet somehow my stop at 1.1908 was triggered
Why was the StopOrder triggered whe it was a full tick above... is it a bug? or has it something to do with bid ask and or slippage models?
thanks
Alexandre Catarino
When we are working with Forex, we have quote bar data. So when the algorithm looks for fills for a sell, it is going to look at bid's low. The StopMarketOrder was filled because there was a Bid.Low at 1.19079:
Log("bar - H: " + cBar.High.ToString("#.00000") + " L: " + cBar.Low.ToString("#.00000") + " C: " + cBar.Close.ToString("#.00000")); Log("ASK - H: " + cBar.Ask.High.ToString("#.00000") + " L: " + cBar.Ask.Low.ToString("#.00000") + " C: " + cBar.Ask.Close.ToString("#.00000")); Log("BID - H: " + cBar.Bid.High.ToString("#.00000") + " L: " + cBar.Bid.Low.ToString("#.00000") + " C: " + cBar.Bid.Close.ToString("#.00000"));AlphAngel
ok, thanks
AlphAngel
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