hello everyone
I wrote a strategy for Tradestation and it works well in simulation. When I use it to trade the ES on the live side, the order don't always get filled but the strategy thinks it is. Anyone know how to fix this problem? Thanks

Futures864 

hello everyone I wrote a strategy for Tradestation and it works well in simulation. When I use it to trade the ES on the live side, the order don't always get filled but the strategy thinks it is. Anyone know how to fix this problem? Thanks

Hi Futures864

I've moved your thread to the TradeStation section, hoping it will attract viewers able to help your query.

Could be a lot of reasons. Limit order fills for example.

If you give some more detail, it might be possible to diagnose.

kevinkdog 

Could be a lot of reasons. Limit order fills for example. If you give some more detail, it might be possible to diagnose.

In addition to the above comment about a limit order. Here are a few reasons TradeStation stategy did not fill an or for me with a strategy automation.

Reached my stop or limit before entry due to lack of volume depth (scalping and did not get a fill in time)
The "bar" ended. A TradeStation entry is only active on the bar it is executed on.
Internet intermittency
I forgot to turn on automation
I forgot to turn on automation following internet intermittency

Best wishes with your automation.

Hi Futures864,

can you post a screenshot of your automation settings?

Regards,

ABCTG

Futures864 

hello everyone I wrote a strategy for Tradestation and it works well in simulation. When I use it to trade the ES on the live side, the order don't always get filled but the strategy thinks it is. Anyone know how to fix this problem? Thanks

You will experience this when you send limit orders from your strategy.

You can set "Strategy fill logic" in the "Strategy Properties for All Strategies on this Chart" window:


What it does is that if the strategy has filled the order but the actual order is not filled for 15 seconds, it will convert the actual order to a market order.

edgefirst 

You will experience this when you send limit orders from your strategy. You can set "Strategy fill logic" in the "Strategy Properties for All Strategies on this Chart" window: What it does is that if the strategy has filled the order but the actual order is not filled for 15 seconds, it will convert the actual order to a market order.

Thank you so much...I will give that a try!

edgefirst 

What it does is that if the strategy has filled the order but the actual order is not filled for 15 seconds, it will convert the actual order to a market order.

Thanks for the useful response. Does this help account for slippage? In other words, if use these settings, can I eliminate the slippage I add in the settings?

vmodus 

Thanks for the useful response. Does this help account for slippage? In other words, if use these settings, can I eliminate the slippage I add in the settings?

It is subjected to the slippage you will encounter with a market order at that particular time. In addition, the market may move adversely within that 15 seconds. This is the price to pay for the possibility that you may get a fill at your limit price within the 15 seconds.