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PostPosted: Sat Aug 04, 2012 11:25 am 
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Joined: Sat Feb 25, 2012 8:51 pm
Posts: 154
Could someone please help?

I’m wondering the behaviour of orders when using multiple timeframes.

I have a FX strategy that uses 1 hour signalling bars, and then uses 1 min to execute orders against.

At this stage it is a first cut of the strategy, I’m using market orders. During backtests I’m seeing market orders rejected. This is confusing as market orders should get you into the market regardless of the price. The particularly confusing thing is that the prices are showing as all zeros (0.0000).

I’ve checked my data for this date both the 1 min and the 1 hourly data for the period of back test, it appears to be fine.

Any advice anyone could give would be greatly appreciated.

Thanks and regards,

drolles


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PostPosted: Fri Aug 17, 2012 5:35 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6750
You really mean these orders get rejected during backtest by the simulator, not during live tradign on paper account? What kind fo reject message do you get?

Regards,
Anton


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PostPosted: Thu Dec 01, 2016 2:04 pm 
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Joined: Tue Oct 13, 2009 12:19 pm
Posts: 148
Hi,

where could I find, what the message is for rejected market orders during simulation with multi Time Frame?

Thx
Mike


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PostPosted: Sun Dec 04, 2016 2:59 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6750
Hi Mike,

could you descrive what you are trying to do / achieve? In general a rejection message is a normal/standard ExecutionReport, which looks and works the same for simulation and realtime (providers).

Regards,
Anton


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