SL/TP execution problem

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Bugs
Posts: 6
Joined: 20 Jul 2013

SL/TP execution problem

Postby Bugs » 29 Jul 2013

Hello,

In my strategy I am generating Stop loss & Profit Target after sending initial entry order. It works fine but in some cases SL/TP doesnt execute or executes late. Following are some of its instances

Late execution case:
------Long Signal Generated------
7/29/2013 11:03:12 AM
Close Price = 8357 | takeProfitValue = 8360 | stopLossValue = 8354 | takeProfitAmount = 75 | stopLossAmount = 75
Bar time = 09:13:00 | Close Price = 8354 | Market Position = 0 | High = 8352 | Low = 8332 | tick size = 1 | Big point value = 25
------Long Signal Generated------
7/29/2013 11:03:12 AM
Close Price = 8354 | takeProfitValue = 8357 | stopLossValue = 8351 | takeProfitAmount = 75 | stopLossAmount = 75
Bar time = 09:14:00 | Close Price = 8348 | Market Position = 0 | High = 8352 | Low = 8332 | tick size = 1 | Big point value = 25
...
Bar time = 09:23:00 | Close Price = 8337 | Market Position = 0 | High = 8352 | Low = 8332 | tick size = 1 | Big point value = 25
Bar time = 09:24:00 | Close Price = 8322 | Market Position = 0 | High = 8352 | Low = 8332 | tick size = 1 | Big point value = 25

Stop loss executes at 8322 but it should do at price 8348

No execution
------Short Signal Generated-----
7/29/2013 11:03:12 AM
Close Price = 8330 | takeProfitValue = 8327 | stopLossValue = 8333 | takeProfitAmount = 75 | stopLossAmount = 75
Bar time = 09:29:00 | Close Price = 8330 | Market Position = -1 | High = 8352 | Low = 8332 | tick size = 1 | Big point value = 25
Bar time = 09:30:00 | Close Price = 8324 | Market Position = -1 | High = 8352 | Low = 8332 | tick size = 1 | Big point value = 25

i have also attached portfolio report snapshot.

Here is the code:

Code: Select all

CurSpecOrdersMode = ESpecOrdersMode.PerPosition;
buy_order.Send(_tradeSize); //buy_order is a Market Buy order
double _takeProfitValue=CalculateTakeProfit(closePrice,_takeProfit,_tickSize,"Buy"); //CalculateTakeProfit calculates take profit price using close price and _takeProfit(pips)
double _stopLossValue=CalculateStopLoss(closePrice,_stopLoss,_tickSize,"Buy"); //CalculateStopLoss calculates stoploss price price using close price and _stopLoss(pips)
_takeProfitAmount=GetRiskAmount(closePrice,_takeProfitValue,_tradeSize,_pointValue); //GetRiskAmount calculates risk amount using takeProfitValue price
_stopLossAmount=GetRiskAmount(closePrice,_stopLossValue,_tradeSize,_pointValue); //GetRiskAmount calculates risk amount using stoplossValue price
GenerateProfitTarget(_takeProfitAmount);
GenerateStopLoss(_stopLossAmount);
Thanks
Attachments
Portfolio_report.png
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Henry MultiСharts
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Re: SL/TP execution problem

Postby Henry MultiСharts » 29 Jul 2013

Hello,

Are you referring to backtesting, forward testing or realtime strategy trading?
Have you checked the following article? How Signals are Calculated

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master.aurora
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Re: SL/TP execution problem

Postby master.aurora » 31 Jul 2013

Hello Support,

We are testing the strategy using the MC .NET Portfolio Backtester. Thus, it is backtesting we are referring to. Also, we are using:

Code: Select all

[IOGMode(IOGMode.Enabled)]
at the top of the strategy class. As, explained in the original post, some of the targets work correctly, while others do not.

Please advise.

Thanks
Umer

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Henry MultiСharts
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Re: SL/TP execution problem

Postby Henry MultiСharts » 31 Jul 2013

Hello Umer,

In Portfolio Backtester such options as IOG and Bar Magnifier are not available at the moment. That means backtesting works the following way:
Calculation on historical data. Regular mode (IOG disabled. Bar Magnifier disabled)

The script is calculated on the bar close. It is considered that all prices were within the bar (Intra-bar Price movement assumption is used). Order is filled on any price within the bar.
Source: How Signals are Calculated


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