Support Board
Date/Time: Thu, 13 Feb 2025 20:24:33 +0000
Resubmission not working properly in live trading
View Count: 572
| [2020-12-15 19:01:32] |
| JDMontero - Posts: 34 |
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Hi, I have a spreadsheet trading strategy that resubmits limit orders every minute. In SIM it works just fine, but in live trading orders get cancelled right after they are created. What I do is this in the cancel working orders cell: AND(J84=1, A3>J93, J8=0) If working orders, and 1 minute elapsed, and no positions, then cancel. Then if conditions are true, column K resubmits the limit order and child orders for the next bar. What could be happening that makes it work on SIM but not on live? Thanks I attach the text from the Trade Activity Log, if copied and paste in a notepad it looks perfect. ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID HighDuringPosition LowDuringPosition Note AccountBalance ExchangeOrderID ClientOrderID Orders 2020-12-15 13:40:00.446 ESH21_FUT_CME SC Futures Order Routing/Data order update (Canceled). Info: TT order update (Canceled) | ExchID: 647750312718 | SenderSubID: AMPT125122. Text: Parent order 791947 4310302 Limit 3 Buy 3681.00 Canceled AC125122 Open Parent order 0.00 b0f90ed3-bebc-4cbc-9963-c6f6f2884d9b 791947.75107 Orders 2020-12-15 13:40:00.445 ESH21_FUT_CME SC Futures Order Routing/Data order update (Canceled). Info: Canceling child orders of internal order ID 4310302. Internal cancel. Text: Attached order. Parent: 791947 791949 4310304 Stop Sell 3677.75 Canceled AC125122 Close 791947 Attached order. Parent: 791947 0.00 791949.96620 Orders 2020-12-15 13:40:00.444 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: Canceling child orders of internal order ID 4310302. Internal cancel. Text: Attached order. Parent: 791947 791949 4310304 Stop Sell 3677.75 Pending Cancel AC125122 Close 791947 Attached order. Parent: 791947 0.00 791949.96620 Orders 2020-12-15 13:40:00.443 ESH21_FUT_CME SC Futures Order Routing/Data order update (Canceled). Info: Canceling child orders of internal order ID 4310302. Internal cancel. Text: Attached order. Parent: 791947 791948 4310303 Limit Sell 3681.75 Canceled AC125122 Close 791947 Attached order. Parent: 791947 0.00 791948.15561 Orders 2020-12-15 13:40:00.442 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: Canceling child orders of internal order ID 4310302. Internal cancel. Text: Attached order. Parent: 791947 791948 4310303 Limit Sell 3681.75 Pending Cancel AC125122 Close 791947 Attached order. Parent: 791947 0.00 791948.15561 Orders 2020-12-15 13:40:00.441 ESH21_FUT_CME Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | Canceling all orders | Source: Cancel Working Orders cell | Bar start date-time: 2020-12-15 13:40:00.002 791947 4310302 Limit 3 Buy 3681.00 Pending Cancel AC125122 Open Parent order 0.00 b0f90ed3-bebc-4cbc-9963-c6f6f2884d9b 791947.75107 Orders 2020-12-15 13:40:00.441 ESH21_FUT_CME Not directly canceling server side pending order because parent is being canceled 791949 4310304 Stop Sell 3677.75 Pending Child-Server AC125122 Close 791947 Attached order. Parent: 791947 0.00 791949.96620 Orders 2020-12-15 13:40:00.441 ESH21_FUT_CME Not directly canceling server side pending order because parent is being canceled 791948 4310303 Limit Sell 3681.75 Pending Child-Server AC125122 Close 791947 Attached order. Parent: 791947 0.00 791948.15561 Orders 2020-12-15 13:40:00.441 ESH21_FUT_CME Initiating: Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | Canceling all orders | Source: Cancel Working Orders cell | Bar start date-time: 2020-12-15 13:40:00.002 791947 4310302 Limit 3 Buy 3681.00 Open AC125122 Open Parent order 0.00 b0f90ed3-bebc-4cbc-9963-c6f6f2884d9b 791947.75107 Orders 2020-12-15 13:40:00.212 ESH21_FUT_CME Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | BuyEntry | Formula: Buy Entry at row 3 is TRUE. | Bar start date-time: 2020-12-15 13:40:00.000 | Last: 3682.25 | AO=1. Attached Order | Server side bracket order 791949 Stop Sell 3677.75 Order Sent AC125122 Close 791947 0.00 Orders 2020-12-15 13:40:00.212 ESH21_FUT_CME Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | BuyEntry | Formula: Buy Entry at row 3 is TRUE. | Bar start date-time: 2020-12-15 13:40:00.000 | Last: 3682.25 | AO=1. Attached Order | Server side bracket order 791948 Limit Sell 3681.75 Order Sent AC125122 Close 791947 0.00 Orders 2020-12-15 13:40:00.212 ESH21_FUT_CME Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | BuyEntry | Formula: Buy Entry at row 3 is TRUE. | Bar start date-time: 2020-12-15 13:40:00.000 | Last: 3682.25 | AO=1 | Server side bracket order 791947 Limit 3 Buy 3681.00 Order Sent AC125122 Open 0.00 Orders 2020-12-15 13:39:59.808 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: TT order update (New) | ExchID: 647750312718 | SenderSubID: AMPT125122. Text: Parent order 791947 4310302 Limit 3 Buy 3681.00 Open AC125122 Open Parent order 0.00 b0f90ed3-bebc-4cbc-9963-c6f6f2884d9b 791947.75107 Orders 2020-12-15 13:39:59.807 ESH21_FUT_CME SC Futures Order Routing/Data order update (New). Info: Order from DTC client #54406. Sierra Chart. 186.4.59.130 | Client text: Parent order. Text: Parent order 791947 4310302 Limit 3 Buy 3681.00 Pending Open AC125122 Open Parent order 0.00 791947.75107 Orders 2020-12-15 13:39:59.806 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: Order from DTC client #54406. Sierra Chart. 186.4.59.130 | Client text: Attached order. Parent: 791947 | Attached Order | Client side bracket order | Client side OCO order. Text: Attached order. Parent: 791947 791949 4310304 Stop Sell 3677.75 Pending Child-Server AC125122 Close 791947 Attached order. Parent: 791947 0.00 791949.96620 Orders 2020-12-15 13:39:59.805 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: Order from DTC client #54406. Sierra Chart. 186.4.59.130 | Client text: Attached order. Parent: 791947 | Attached Order | Client side bracket order | Client side OCO order. Text: Attached order. Parent: 791947 791948 4310303 Limit Sell 3681.75 Pending Child-Server AC125122 Close 791947 Attached order. Parent: 791947 0.00 791948.15561 Orders 2020-12-15 13:39:00.885 ESH21_FUT_CME SC Futures Order Routing/Data order update (Canceled). Info: TT order update (Canceled) | ExchID: 647750304597 | SenderSubID: AMPT125122. Text: Parent order 791944 4310260 Limit 3 Buy 3680.00 Canceled AC125122 Open Parent order 0.00 7190b2d2-55c7-4eb0-9877-bb13a9280461 791944.15048 Orders 2020-12-15 13:39:00.884 ESH21_FUT_CME SC Futures Order Routing/Data order update (Canceled). Info: Canceling child orders of internal order ID 4310260. Internal cancel. Text: Attached order. Parent: 791944 791946 4310262 Stop Sell 3676.50 Canceled AC125122 Close 791944 Attached order. Parent: 791944 0.00 791946.70827 Orders 2020-12-15 13:39:00.883 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: Canceling child orders of internal order ID 4310260. Internal cancel. Text: Attached order. Parent: 791944 791946 4310262 Stop Sell 3676.50 Pending Cancel AC125122 Close 791944 Attached order. Parent: 791944 0.00 791946.70827 Orders 2020-12-15 13:39:00.882 ESH21_FUT_CME SC Futures Order Routing/Data order update (Canceled). Info: Canceling child orders of internal order ID 4310260. Internal cancel. Text: Attached order. Parent: 791944 791945 4310261 Limit Sell 3680.75 Canceled AC125122 Close 791944 Attached order. Parent: 791944 0.00 791945.43260 Orders 2020-12-15 13:39:00.881 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: Canceling child orders of internal order ID 4310260. Internal cancel. Text: Attached order. Parent: 791944 791945 4310261 Limit Sell 3680.75 Pending Cancel AC125122 Close 791944 Attached order. Parent: 791944 0.00 791945.43260 Orders 2020-12-15 13:39:00.880 ESH21_FUT_CME Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | Canceling all orders | Source: Cancel Working Orders cell | Bar start date-time: 2020-12-15 13:39:00.670 791944 4310260 Limit 3 Buy 3680.00 Pending Cancel AC125122 Open Parent order 0.00 7190b2d2-55c7-4eb0-9877-bb13a9280461 791944.15048 Orders 2020-12-15 13:39:00.880 ESH21_FUT_CME Not directly canceling server side pending order because parent is being canceled 791946 4310262 Stop Sell 3676.50 Pending Child-Server AC125122 Close 791944 Attached order. Parent: 791944 0.00 791946.70827 Orders 2020-12-15 13:39:00.880 ESH21_FUT_CME Not directly canceling server side pending order because parent is being canceled 791945 4310261 Limit Sell 3680.75 Pending Child-Server AC125122 Close 791944 Attached order. Parent: 791944 0.00 791945.43260 Orders 2020-12-15 13:39:00.880 ESH21_FUT_CME Initiating: Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | Canceling all orders | Source: Cancel Working Orders cell | Bar start date-time: 2020-12-15 13:39:00.670 791944 4310260 Limit 3 Buy 3680.00 Open AC125122 Open Parent order 0.00 7190b2d2-55c7-4eb0-9877-bb13a9280461 791944.15048 Orders 2020-12-15 13:39:00.360 ESH21_FUT_CME Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | BuyEntry | Formula: Buy Entry at row 3 is TRUE. | Bar start date-time: 2020-12-15 13:39:00.000 | Last: 3681.5 | AO=1. Attached Order | Server side bracket order 791946 Stop Sell 3676.50 Order Sent AC125122 Close 791944 0.00 Orders 2020-12-15 13:39:00.360 ESH21_FUT_CME Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | BuyEntry | Formula: Buy Entry at row 3 is TRUE. | Bar start date-time: 2020-12-15 13:39:00.000 | Last: 3681.5 | AO=1. Attached Order | Server side bracket order 791945 Limit Sell 3680.75 Order Sent AC125122 Close 791944 0.00 Orders 2020-12-15 13:39:00.360 ESH21_FUT_CME Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | BuyEntry | Formula: Buy Entry at row 3 is TRUE. | Bar start date-time: 2020-12-15 13:39:00.000 | Last: 3681.5 | AO=1 | Server side bracket order 791944 Limit 3 Buy 3680.00 Order Sent AC125122 Open 0.00 Orders 2020-12-15 13:38:59.956 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: TT order update (New) | ExchID: 647750304597 | SenderSubID: AMPT125122. Text: Parent order 791944 4310260 Limit 3 Buy 3680.00 Open AC125122 Open Parent order 0.00 7190b2d2-55c7-4eb0-9877-bb13a9280461 791944.15048 Orders 2020-12-15 13:38:59.955 ESH21_FUT_CME SC Futures Order Routing/Data order update (New). Info: Order from DTC client #54406. Sierra Chart. 186.4.59.130 | Client text: Parent order. Text: Parent order 791944 4310260 Limit 3 Buy 3680.00 Pending Open AC125122 Open Parent order 0.00 791944.15048 Orders 2020-12-15 13:38:59.954 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: Order from DTC client #54406. Sierra Chart. 186.4.59.130 | Client text: Attached order. Parent: 791944 | Attached Order | Client side bracket order | Client side OCO order. Text: Attached order. Parent: 791944 791946 4310262 Stop Sell 3676.50 Pending Child-Server AC125122 Close 791944 Attached order. Parent: 791944 0.00 791946.70827 Orders 2020-12-15 13:38:59.953 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: Order from DTC client #54406. Sierra Chart. 186.4.59.130 | Client text: Attached order. Parent: 791944 | Attached Order | Client side bracket order | Client side OCO order. Text: Attached order. Parent: 791944 791945 4310261 Limit Sell 3680.75 Pending Child-Server AC125122 Close 791944 Attached order. Parent: 791944 0.00 791945.43260 Orders 2020-12-15 13:38:00.872 ESH21_FUT_CME SC Futures Order Routing/Data order update (Canceled). Info: TT order update (Canceled) | ExchID: 647750283288 | SenderSubID: AMPT125122. Text: Parent order 791941 4310218 Limit 3 Buy 3680.00 Canceled AC125122 Open Parent order 0.00 886b8e5a-66e7-47ec-ad75-74dcb1e72dea 791941.49465 Orders 2020-12-15 13:38:00.871 ESH21_FUT_CME SC Futures Order Routing/Data order update (Canceled). Info: Canceling child orders of internal order ID 4310218. Internal cancel. Text: Attached order. Parent: 791941 791943 4310220 Stop Sell 3676.75 Canceled AC125122 Close 791941 Attached order. Parent: 791941 0.00 791943.77609 Orders 2020-12-15 13:38:00.870 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: Canceling child orders of internal order ID 4310218. Internal cancel. Text: Attached order. Parent: 791941 791943 4310220 Stop Sell 3676.75 Pending Cancel AC125122 Close 791941 Attached order. Parent: 791941 0.00 791943.77609 Orders 2020-12-15 13:38:00.869 ESH21_FUT_CME SC Futures Order Routing/Data order update (Canceled). Info: Canceling child orders of internal order ID 4310218. Internal cancel. Text: Attached order. Parent: 791941 791942 4310219 Limit Sell 3680.75 Canceled AC125122 Close 791941 Attached order. Parent: 791941 0.00 791942.53807 Orders 2020-12-15 13:38:00.868 ESH21_FUT_CME SC Futures Order Routing/Data order update (Order update). Info: Canceling child orders of internal order ID 4310218. Internal cancel. Text: Attached order. Parent: 791941 791942 4310219 Limit Sell 3680.75 Pending Cancel AC125122 Close 791941 Attached order. Parent: 791941 0.00 791942.53807 Orders 2020-12-15 13:38:00.867 ESH21_FUT_CME Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | Canceling all orders | Source: Cancel Working Orders cell | Bar start date-time: 2020-12-15 13:38:00.722 791941 4310218 Limit 3 Buy 3680.00 Pending Cancel AC125122 Open Parent order 0.00 886b8e5a-66e7-47ec-ad75-74dcb1e72dea 791941.49465 Orders 2020-12-15 13:38:00.867 ESH21_FUT_CME Not directly canceling server side pending order because parent is being canceled 791943 4310220 Stop Sell 3676.75 Pending Child-Server AC125122 Close 791941 Attached order. Parent: 791941 0.00 791943.77609 Orders 2020-12-15 13:38:00.867 ESH21_FUT_CME Not directly canceling server side pending order because parent is being canceled 791942 4310219 Limit Sell 3680.75 Pending Child-Server AC125122 Close 791941 Attached order. Parent: 791941 0.00 791942.53807 Orders 2020-12-15 13:38:00.867 ESH21_FUT_CME Initiating: Auto-trade: ESH21_FUT_CME [CBV][M] 1 Min #2 | DefaultSpreadsheetSystemForTradingStudy | Canceling all orders | Source: Cancel Working Orders cell | Bar start date-time: 2020-12-15 13:38:00.722 791941 4310218 Limit 3 Buy 3680.00 Open AC125122 Open Parent order 0.00 886b8e5a-66e7-47ec-ad75-74dcb1e72dea 791941.49465 |
| [2020-12-15 19:47:02] |
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