It is a spread strategy with 2 simmetric signals:
in the first group of 4 couples there is the first signal:
Code: Select all
ratio= c/c data2;
if ratio > level then sellshort this bar c;
Code: Select all
ratio= c data2/c ;
if ratio > level then buy this bar c;
I have checked if the condition is actually met in both instruments via a simple print debug and everything is ok.
Waht is not expected is that for some symbols the order is NOT SENT even if the condition is met.
It is not rejected nor it's not filled, it is really NOT SENT so it cannot be a broker issue.
All instruments are using SMART routing of Interactive Brokers.
In order to make shure to have an entry at the close i have set for all of them the session ENDTIME to 5 minutes before the regular exchange endtime..
I have checked that the price was ticking is these last five minutes and it was, so the reason cannot be the lack of events.
Any advise on how to inestigate this annoying problem would be appreciated. Thanks in advance.
-Giuseppe