Trading system automatically stopped

This topic has 35 replies, 4 voices, and was last updated 4 years ago by Vonasi.

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01/02/2020 at 11:27 AM #115742

JASS

Two of my strategies are constantly being stopped and I have a hard time finding out why. I never encountered this problem before and the only two differences from other strategies, are that I normally use 5 minutes charts and above and in these two cases I use 1 minute charts. The other difference is that I have set the “DEFPARAM CumulateOrders” to true, which I normally not use.

It toggles between two error messages, apparently randomly.

The first error message relates to the preloadbars setting:

This trading system was stopped because the historical data loaded was insufficient to calculate at least one indicator during the evaluation of the last candlestick. Please increase the number of preloaded bars with the instruction DEFPARAM in the code of your strategy (ex: DEFPARAM Preloadbars = 2000). For additional assistance, please refer to the help text of the DEFPARAM function in the trading systems programming manual.

The maximum period used in the strategy for calculations is 51 and no matter if I set it for 100, 200 or the default value 2000, it still doesn’t work. I can even delete the parameter without any change.

The second error message relates to order rejection:

One of the orders of this trading system was rejected. Due to the type of rejection, the trading system had to be stopped. To see the reason the order was rejected, open the order list, go to the”Canceled/Rejected” tab and place your mouse over the warning icon in the “Status” column.

This is incorrect, since it never comes to a point where it actually tries to open a trade and the order list is always empty.

For the Nikkei index I use DEFPARAM FLATBEFORE = 010000 and DEFPARAM FLATAFTER = 073000, but I can start the strategy at e.g. 9.30 and it is stopped a few minutes later.

I can read in another (very emotional) thread, that this kind of error is believed to reside on IG side, but how can that be the case if the strategy is stopped even before it tries to open a trade? Most likely my lack of knowledge on the interface between IG and PRT, but could someone shed light on this?

Is there a solution to this problem?

JASS

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01/02/2020 at 1:15 PM #115759

GraHal

Have you got two very similar version of the same strategy running?

I ask as I do several versions often and I frequently get Systems stopped because it seems IG cannot handle 2 Orders from the same Account for the same Instrument on the same Timeframe at the same time etc.

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JASS

GraHal

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01/02/2020 at 1:40 PM #115762

JASS

The coding is very similar, but one runs on DOW (Wall Street) between 9.00 and 21.59 and the other one runs on Nikkei (Japan 225) between 1.00 and 7.30. So they do not overlap in time. Of course when you set the cumulateorders to true, you will eventually have 2 orders from the same account, but as I wrote, both strategies are stopped even before they try to place orders.

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GraHal

JASS

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01/02/2020 at 2:57 PM #115768

GraHal

JASS wrote:

To see the reason the order was rejected, open the order list, go to the”Canceled/Rejected” tab and place your mouse over the warning icon in the “Status” column.

What error message does it show when you do above?

Ah gotcha … there is no entry to show anything??

Yeah I have had a few of these lately … no entry / no error message.

Best to restart the System and see if it gets stopped again??

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JASS

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01/02/2020 at 4:01 PM #115770

JASS

Thanks GraHal, but I restarted many times

JASS

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01/02/2020 at 4:20 PM #115771

GraHal

Okay next best thing is to post the code on here and then the coding Wizards may spot something that is making it fail?

Also I would run the code on my Platform and see if I can spot a fix by trying a few things.

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JASS

GraHal

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01/03/2020 at 2:05 PM #115833

Nicolas

Please post the whole code or give the list of indicators used, thanks.

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JASS

Nicolas

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01/06/2020 at 8:19 AM #115990

JASS

Hi Nicolas and GraHal

I spend the weekend trying to find errors in the code, but it became a “needle-in-a-haystack” exercise. I would appreciate if you would take a look at it and see if you can spot any errors.

By the way: the code works fine in backtesting.

Thanks

JASS

//**********************************************************************************
// Title: A107 Pullback Rev JPN 1M v04
// Chart: JAPAN225 / NIKKEI 1M
// Note: Exploiting one bar pullbacks in steep trending market
//**********************************************************************************

DEFPARAM CumulateOrders = True
DEFPARAM PreLoadBars = 100
DEFPARAM FLATBEFORE = 010000
DEFPARAM FLATAFTER = 073000

//**********************************************************************************
// Variables
//**********************************************************************************

PositionSize = 1
tp = 138 // Target profit
sl = 28 // Stop loss
EMAp1 = 34
EMAp2 = 29
EMAp4 = 41
SMAp2 = 40
SP = 1 // Stochastic Period
v10 = 10 // Stochastic lower line
v90 = 94 // Stochastic upper line
emadiff = 1.95 // EMA difference to ensure steep trend
MOMp = 51 // Momentum period
MOMLv = 40 // Momentum long value
MOMSv = -100 // Momentum short value
PBLp = 25 // Power bar long period
PBSp = 25 // Power bar short period
PBLv = 12 // Power bar long value
PBSv = 33 // Power bar short value
LBL = 20 // Large bar long
LBS = 15 // Large bar short
COSH = 4 // Count of shares

//**********************************************************************************
// Indicators and Math
//**********************************************************************************

// Stochastic
C = Close
HH = Highest[SP](high)
LL = Lowest[SP](low)
K = ((C-LL)/(HH-LL))*100

// EMA
c01 = exponentialaverage[EMAp1](close)

// Momentum
c03 = momentum[MOMp](close)

// SMA
c04 = average[SMAp2](close)

// Power bar long - no powerbar for the last PBLp number of periods before entry
PBL = close - open
IF highest[PBLp](PBL) < PBLv THEN
c13 = 1
else
c13 = 0
ENDIF

// Power bar short - no powerbar for the last PBSp number of periods before entry
PBS = open - close
IF highest[PBSp](PBS) < PBSv THEN
c33 = 1
else
c33 = 0
ENDIF

c05 = abs(c01[0]-c01[1]) > emadiff

c06 = exponentialaverage[EMAp2](((2*close)+open)/3)

c07 = exponentialaverage[EMAp4](((2*close)+open)/3)

//**********************************************************************************
// Entry/exit conditions
//**********************************************************************************

// Enter long conditions
c10 = c01[1] > c01[2]
c11 = countoflongshares < COSH
c12 = c03 > MOMLv

c14 = K[0] < v10

// Exit long conditions
c20 = c04[0] < c04[1]
c21 = close[0]-open[0] > LBL
c22 = c06[0] < c06[1]

// Enter short conditions
c30 = c01[1] < c01[2]
c31 = countofshortshares < COSH
c32 = c03 < MOMSv

c34 = K[0] > v90

// Exit short conditions
c40 = c04[0] > c04[1]
c41 = open[0]-close[0] > LBS
c42 = c07[0] > c07[1]

//**********************************************************************************
// Enter Long
//**********************************************************************************

if c05 and c10 and c11 and c12 and c13 = 1 and c14 then
buy PositionSize contract at market
endif

//**********************************************************************************
// Exit Long
//**********************************************************************************

if longonmarket and (c20 or c21 or c22) then
sell at market
endif

//**********************************************************************************
// Enter Short
//**********************************************************************************

if c05 and c30 and c31 and c32 and c33 = 1 and c34 then
sellshort PositionSize contract at market
endif

//**********************************************************************************
// Exit Short
//**********************************************************************************

if shortonmarket and (c40 or c41 or c42) then
exitshort at market
endif

//**********************************************************************************
// Stops and Targets
//**********************************************************************************

set stop ploss sl
set target pprofit tp

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//**********************************************************************************

// Title: A107 Pullback Rev JPN 1M v04

// Chart: JAPAN225 / NIKKEI 1M

// Note: Exploiting one bar pullbacks in steep trending market

//**********************************************************************************

DEFPARAM CumulateOrders = True

DEFPARAM PreLoadBars = 100

DEFPARAM FLATBEFORE = 010000

DEFPARAM FLATAFTER = 073000

//**********************************************************************************

// Variables

//**********************************************************************************

PositionSize = 1

tp = 138 // Target profit

sl = 28 // Stop loss

EMAp1 = 34

EMAp2 = 29

EMAp4 = 41

SMAp2 = 40

SP = 1 // Stochastic Period

v10 = 10 // Stochastic lower line

v90 = 94 // Stochastic upper line

emadiff = 1.95 // EMA difference to ensure steep trend

MOMp = 51 // Momentum period

MOMLv = 40 // Momentum long value

MOMSv = -100 // Momentum short value

PBLp = 25 // Power bar long period

PBSp = 25 // Power bar short period

PBLv = 12 // Power bar long value

PBSv = 33 // Power bar short value

LBL = 20 // Large bar long

LBS = 15 // Large bar short

COSH = 4 // Count of shares

//**********************************************************************************

// Indicators and Math

//**********************************************************************************

// Stochastic

C = Close

HH = Highest[SP](high)

LL = Lowest[SP](low)

K = ((C-LL)/(HH-LL))*100

// EMA

c01 = exponentialaverage[EMAp1](close)

// Momentum

c03 = momentum[MOMp](close)

// SMA

c04 = average[SMAp2](close)

// Power bar long - no powerbar for the last PBLp number of periods before entry

PBL = close - open

IF highest[PBLp](PBL) < PBLv THEN

c13 = 1

else

c13 = 0

ENDIF

// Power bar short - no powerbar for the last PBSp number of periods before entry

PBS = open - close

IF highest[PBSp](PBS) < PBSv THEN

c33 = 1

else

c33 = 0

ENDIF

c05 = abs(c01[0]-c01[1]) > emadiff

c06 = exponentialaverage[EMAp2](((2*close)+open)/3)

c07 = exponentialaverage[EMAp4](((2*close)+open)/3)

//**********************************************************************************

// Entry/exit conditions

//**********************************************************************************

// Enter long conditions

c10 = c01[1] > c01[2]

c11 = countoflongshares < COSH

c12 = c03 > MOMLv

c14 = K[0] < v10

// Exit long conditions

c20 = c04[0] < c04[1]

c21 = close[0]-open[0] > LBL

c22 = c06[0] < c06[1]

// Enter short conditions

c30 = c01[1] < c01[2]

c31 = countofshortshares < COSH

c32 = c03 < MOMSv

c34 = K[0] > v90

// Exit short conditions

c40 = c04[0] > c04[1]

c41 = open[0]-close[0] > LBS

c42 = c07[0] > c07[1]

//**********************************************************************************

// Enter Long

//**********************************************************************************

if c05 and c10 and c11 and c12 and c13 = 1 and c14 then

buy PositionSize contract at market

endif

//**********************************************************************************

// Exit Long

//**********************************************************************************

if longonmarket and (c20 or c21 or c22) then

sell at market

endif

//**********************************************************************************

// Enter Short

//**********************************************************************************

if c05 and c30 and c31 and c32 and c33 = 1 and c34 then

sellshort PositionSize contract at market

endif

//**********************************************************************************

// Exit Short

//**********************************************************************************

if shortonmarket and (c40 or c41 or c42) then

exitshort at market

endif

//**********************************************************************************

// Stops and Targets

//**********************************************************************************

set stop ploss sl

set target pprofit tp

JASS

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01/06/2020 at 8:58 AM #115993

Vonasi

JASS – Please use the ‘Insert PRT Code’ button when posting code to make it easier for others to read.

I have tidied up your last post 🙂

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JASS

Vonasi

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01/06/2020 at 11:59 AM #116025

GraHal

Timezone is Denmark (UTC +1) Yes?

So I am deducting 1 hour from times in the code to get to UK time (UTC +0)?

Why don’t you use below as Line 8 ?

DEFPARAM PreLoadBars = 10000 //(not 100 as you used??)

1	DEFPARAM PreLoadBars = 10000 //(not 100 as you used??)

I’ve set it going on my Platform so I take I will have to wait until it tries to take a Trade (every few days) then I may get a rejection?

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JASS

GraHal

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01/06/2020 at 12:06 PM #116027

JASS

Timezone Denmark, correct.

It really doesn’t matter if I preload 100 or more bars, since my maximum period for calculations is 51.

Exciting to see if you are stopped out too.

JASS

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01/06/2020 at 12:08 PM #116028

JASS

In UK time will be 00.00-06.30

JASS

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01/06/2020 at 12:25 PM #116031

GraHal

JASS wrote:

It really doesn’t matter if I preload 100 or more bars, since my maximum period for calculations is 51.

Well as you are getting the … insufficient preload bars error message … it is worth trying more preload bars.

Anyway I’ve set my preloads bars = 10000 so we shall see what we get.

Btw if you leave it off altogether then the default for preload bars is 2000.

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JASS

GraHal

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01/06/2020 at 12:31 PM #116034

GraHal

Hey we don’t have to wait days … I’ve been rejected already … see attached.

So the reject is when the code is read not when a trade is attempted?? is this what you have been getting also??

Makes it easier to fault find anyway as it keeps the momentum up as we can keep onto it etc.

I’ve got 2 versions running now … one with Cumulative = True one with False …

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JASS

GraHal

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01/06/2020 at 12:41 PM #116037

GraHal

Both versions rejected!

Weird as it is not every minute … I had to wait several minutes for the reject and yet the Timeframe is 1 min so the code would be read every minute (or should be!?).

No Reject listed in the Orders List so I cant see the exact time of Reject!

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JASS

GraHal

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