SmartQuant Discussion

Automated Quantitative Strategy Development, SmartQuant Product Discussion and Technical Support Forums
It is currently Sun Apr 05, 2020 11:03 pm

All times are UTC + 3 hours




Post new topic Reply to topic  [ 2 posts ] 
Author Message
PostPosted: Mon Jul 27, 2009 3:50 pm 
Offline

Joined: Mon Jul 27, 2009 3:28 pm
Posts: 24
Location: Ukraine
The problem is that orders are executed not exactly in right time(according to my strategy). You see on screenshort that Buy order executed even on wrong price (not on market price). I guess that it was executed on previous bar - but arrow is on the next bar - and time of order's execution.
I think reason is that I have some problems with history.
I want arrows to be drown in the bar, when order was executed.


Attachments:
File comment: Screenshot
Snap1.JPG
Snap1.JPG [ 107.98 KiB | Viewed 2056 times ]
Top
 Profile  
 
 Post subject:
PostPosted: Tue Jul 28, 2009 6:01 am 
Offline

Joined: Thu Jun 08, 2006 3:56 pm
Posts: 537
Location: BC Canada
The charting engine has problems identifying the bar that orders are associated with, sometimes. It seems to me that when you're doing bar trading, the arrow should intuitively follow the FillOnBarMode setting.

For example, if you place an order at the end of a bar, should the order arrow be placed on that bar, or on the (opening) of the next bar, where the order would actually be filled in real life?

Anyhow, the order arrows are usually offset by one bar, in bar trading. The timestamps on the orders are usually valid, but pay attention to the bar.BeginTime and bar.EndTime values and compare them to the order values, so that you understand what times are being shown everywhere.

If it helps any, in my debugging code (Console.WriteLine stuff), I always print out bar.EndTime first on each line, so I can have a consistent time reference.


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 2 posts ] 

All times are UTC + 3 hours


Who is online

Users browsing this forum: No registered users and 1 guest


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
Powered by phpBB® Forum Software © phpBB Group