Support Board
Date/Time: Mon, 06 Jan 2025 10:24:23 +0000
Post From: Possible rare bug in AutoTrade Backtest Exit, True but no Fill
| [2016-05-10 13:58:49] |
| User791263 - Posts: 151 |
|
I've worked long hours daily with S.C. for a year,6 months with autotrade via spreadsheets & studied Autotrade, Sim & fills documentation, including https://www.sierrachart.com/index.php?l=doc/doc_TradeActivityLog.php#QuestionsAboutTradeActivityLogData For 3 months, I've studied backtest slow-motion fills conditions in my scalping intrabar-trades system. My point is: I understand SC autotrade well, and as an ex-programmer & ex-TradeStation programmer, I think I can recognize a possible rare bug that would only be found by exhaustive audit like I've done. I always use the Trade Activity Fills Window to track entries-exits because intrabar trades often don't keep the True state, so I rely on T.A. Fills. but then... I wasn't looking for non-fills. I thought all True's filled because 99.9% do. Normally, fills are always instant-simultaneous in back-testing. The first time I saw this, I thought it was just a 1 in a million odd data & bar-alignment issue not worth worrying about. The 2nd time, I wanted to still believe that. Since watching for it more, I see it could be a $$ problem. Seems only on Exits (as I recall). Note THIS one is subsequent Bar, but seems other two exits were 2-4 bars after entry. Likely this occurs only with intrabar, maybe related to how positions are recorded. Attached, see picture with arrows and notes, comparing Trade Window to Spreadsheet. Clearly there's a short entry in previous bar and a True in next bar N, but no exit Fill, ever, during that entire bar-row. The Trade Service Log has no message in re this last row. It's hard to discover because intrabar True's often disappear. Here it held. My settings don't limit exits (pretty sure): Reset contions on New Bar - Yes Multiple entries same Direction - Yes Signal only once/bar - No Cancel orders on Entries - yes (used both ways, same) Allow Entries with working orders - yes Signal on Bar Close - no SUpport Reversals - No Allow Opposite Entry with Opposing Position - Yes - - - - I previously sent a spreadsheet where you found & fixed a Circular Reference SC Shutdown issue. The example spreadsheet here is no longer in the state, data. |
Private File |