Profile Picture

Tick Data

Posted By ywlee 2 Years Ago
Message
Posted Thursday June 11 2015
1/ Is the only way to call Tick Data in live trading using "Bars.PartialItem.Close"?  

2/ Is PositionManager.MaxOpenPositionsPerSymbol the only way to limit the open positions?

The reason I'm asking is that I'm getting unusual results in that the trading system opens multiple concurrent positions even though I have a "PositionManager.MaxOpenPositionsPerSymbol = 2" condition.

I'm trying to track down the reason for the multiple execution (some as many 10 concurrent executions with the same symbol, size and time stamp)

http://www.rightedgesystems.com/forums/uploads/images/9d6c2cc0-2271-406b-8474-81da.jpg
Posted Thursday June 11 2015
Hi,

Probably your system is submitting a bunch of orders all at once, before any of them are filed.  By default RightEdge will only stop you from opening a new position if you are already at the limit of positions opened, but it won't take into account whether there are pending positions with open orders that haven't been filled.  This is mainly so that a band violation system can submit limit entry orders for all symbols each bar instead of being limited by the total maximum number of open positions.

You can set the "Restrict Open Orders" system property to true to change this behavior, or write code to check for this when submitting a position.

Thanks,
Daniel


Similar Topics


Reading This Topic


2005-2017 © RightEdge Systems