Incorrect Stop filled

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PricePuzzle
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Incorrect Stop filled

Postby PricePuzzle » 07 Nov 2011

2 issues.

1) AUDUSD chart execute Sell order at 1.02840 while the lowest price at 1.02841.
The executed price is lower than the lowest of the bar which is not correct.
On the other hand, my real FXCM port with stop is not hit. So this create discrepancy.

2) EURUSD chart has a discrepancy in execution between on charts and order send to broker.

The logs already forwarded by e-mail.
Attachments
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1.png
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Henry MultiСharts
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Re: Incorrect Stop filled

Postby Henry MultiСharts » 08 Nov 2011

Hello Sir.
TradingServer folder in the logs you have provided is empty. Please import the attached registry key to enable all Multicharts logs.
1) Please let us know if you are using Bar Magnifier and Extended backtesting mode.
This issue can occur in case you are using Bar Magnifier and the cached data for this symbol went corrupted.
Please go to Quote Manager->right click on the AUDUSD->Clear cache; Delete data.
Close Multicharts and all its products (i.e. MC, Quote Manager, PL editor, ....).
Make sure that all MC processes are ended.
In the Windows Task manager check these processes:
atCenterServer.exe
Fixserver.exe
MultiCharts.exe
MessageCenter.exe
PLEditor.exe
QuoteManager.exe
StudyServer.exe
tsServer.exe
TradingServer.exe
TPserver.exe
Please end the processes if they are still running after MC close.

Start MultiCharts and plot AUDUSD chart. Apply the script you are using.
If the same order as on the screenshot 1 is generated - please come to our live chat Monday-Friday 6:30 am - 4 pm EST to investigate the issue.
2) That is expected behaviour for Async auto-trading mode.
Order execution by the broker is not guaranteed if the conversion of unexecuted limit/stop entry orders is disabled. It may cause a market position conflict between the chart and the broker. Enabling order conversion guarantees that an order will be filled at the broker, although the executed order price value could be different from the order price plotted on the chart.

PricePuzzle
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Re: Incorrect Stop filled

Postby PricePuzzle » 08 Nov 2011

Hi Henry,

Thank you for your reply.
1) AUDUSD: This is the real time mode with real account. To my knowledge, stop order no matter if the bar magnification is ON or OFF, it is executed right at the price.

When i restart strategy then the trigger time moved from 4:00 (realtime) to 5:10 (historical) as in pic.

2) EURUSD: What unexpected is the order placed in the picture at 3:29 in OPT is at 1.365. But on chart, the lowet price is 1.37. And the chart sell at 1.37. Somehow the communication between charts and order is wrong. I guess the chart trigger the order first and then cancel OPT (It has to execute first before cancel the followed order). The filled order at 7:02 (@1.375) is what i do manually, 4 hrs behind signal.

The source of (2) may caused by the combination of IOG and Stop order. Good to note that when i restart strategy, the (2) signal is still on the same bar.

I decide to change all Stop to Market order to reduce my account risk. Therefore i am not convenience to provide more information on this issue.
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Henry MultiСharts
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Re: Incorrect Stop filled

Postby Henry MultiСharts » 09 Nov 2011

1) How often does the problem reproduce?
Please enable MultiCharts logs so that we can analyze the issue in case it will appear again.
In the attachment is a registry key. Please import AllTracesOn.reg to enable logs.

2) The order on the chart is plotted with the price from the strategy calculation performed on the chart data.
The order price in OPT is the price from the broker.
Discrepancy is expected as you are using AA auto trading mode.
Please use Sync auto trading mode to have the same results on the chart and at the broker.
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PricePuzzle
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Re: Incorrect Stop filled

Postby PricePuzzle » 09 Nov 2011

1) This is the second time. First time is 2 to 3 month ago, but i did not capture the screen.
To enable the logs may not help since i already removed Stop order and change to Market order.

2) In my opinion both cases are similar that is the charts execute sell order above stop price (order send to broker).

If i use sync mode that means i accept Phantom signal which is not generated from algorithm. This is not acceptable. I think MC should have the same standard.

In case you are not interesting to reproduce on your end. We could leave the issue since i do not use anymore Stop order in my strategy.

arjfca
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Re: Incorrect Stop filled

Postby arjfca » 10 Nov 2011

PricePuzzle, Not sure if I understand your question here is few hints

If the price that you where filled was not ever showed on your graph.

If so, I had the same problem with Sonray Capital 2 years ago and their explanation was: Forex is an open market between different banks, If one of their pooled bank did quotes the price, it will be executed even if it is not showed on their own platform. This problem may occured with bucket shop like Saxo Banks, FXCM etc.

Also if the price was not showed on your chart but you where filled, you may have bought at the last asked price while the chart display the last bid price

If the price is not the same after you are reloading a chart:

- Historical price are just historical price. They are not the same as a live price because they are in some way filtered after the fact. So yes, in demo there could be some something different than i real live trading price

- Triggered price not the same as the stop price
After a stop price is hit, the order became a market order and you will be filled with the
asked price at the moment that it became a market order

Hope that one of these input do answer your question. If not then I did not understood your question ( my English is not perfect :) )

Martin


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