Trade occurs without a signal.

[argenusaesalamis]

Excellency,

I am running a Moving Average crossover combined with a Pivot Reverse strategy on an instrument (SKF), using TradeStation as platform, IB as broker and TradeBullet as TradeBullet.

I am also running the same strategy on TradeStation as both platform & broker, and so without TradeBullet.

The strategy is EOD, so the position should be flat at market close.

The TradeStation position is flat, as you can see from the attachment; but with TB & IB I am left with short 410 in hand.

SKF Jan26.JPG (23.06 KiB) Viewed 702 times

The extra 410 short are recorded on the TB log as a short sale @ 12:43 (there is no corresponding sale in the TS account running the same strategy).

2010-01-26 12:43:20:525 (2010-01-26 17:43 UTC) TBId#TB724742 (OrderId=832726060) Filled
2010-01-26 12:43:20:525 (2010-01-26 17:43 UTC) Execution: OrderId=832726060 10 @ 24.03
2010-01-26 12:43:20:540 (2010-01-26 17:43 UTC) Execution: OrderId=832726060 300 @ 24.0301
2010-01-26 12:43:20:540 (2010-01-26 17:43 UTC) Execution: OrderId=832726060 100 @ 24.03

But there is no order from TradeStation that would trigger this sale recorded in the tslog, at least not one that I can find; and there is no similar sale recorded by the TradeStation platform/Broker, as evident from the attachment of the Orders Tab below.

The logs are attached. Could you kindly have a look? I can't figure out where the order came from. It seems abnormal.

Thanks,

RN

[TradeBullet]

Hi,

The order origin (when it was sent) is not in this log. It looks like an order from a previous day. TWS reports should have more details as to when the order was placed, but the fastest way to find it is to search for the OrderID in previous TB log files. Let me know if you have more questions.

[argenusaesalamis]

OK, thanks for the clue. I'll track it down and report back.

RN

[argenusaesalamis]

It appears as if the order for the trade had been placed the previous day at market close (15:58) but failed to execute.

2010-01-25 15:58:04:622 (2010-01-25 20:58 UTC) Processing new TradeStation order: TB Order TB724742 U764672 PLACE SELL SHORT 410 SKF STOP 24.03 GTC, System: PivRevSE , Signal: 6 min. , Source: TradeStation8
2010-01-25 15:58:04:622 (2010-01-25 20:58 UTC) TBId#TB724742 (OrderId=TB724742) Initialized
2010-01-25 15:58:04:622 (2010-01-25 20:58 UTC) Sending TB Order TB724742 U764672 PLACE SELL SHORT 410 SKF STOP 24.03 GTC, TradeBulletId: TB724742, System: PivRevSE , Signal: 6 min. , Source: TradeStation8
2010-01-25 15:58:04:669 (2010-01-25 20:58 UTC) TBId#TB724742 (OrderId=TB724742) Pending Submit
2010-01-25 15:58:04:685 (2010-01-25 20:58 UTC) TBId#TB724742 (OrderId=832726060) Accepted
2010-01-25 15:59:59:939 (2010-01-25 20:59 UTC) TBId#TB596540 (OrderId=832726054) Accepted

The odd thing (odd to me at least) is that it did not execute until the next day @ 10:43; why not at market open?

I have moved the setting (on TS) to 3 minutes before market close rather than 2. Should I make the orders GTC or Day orders on TB? Any opinion?

Thanks,

RN

[TradeBullet]

It was a stop order resting at the broker so it will only fill then the price hits the stop. You should use market orders if you want to ensure a fill. If you need to close all your positions at market close, I recommend using the End of Day feature in TB (see options).