Posted By: madpower2000
Instant execution of limit orders in HFT mode. - 02/06/23 18:22
I stumbled upon strange behaviour of Instant execution of limit orders in HFT mode.
If I placed a limit order with the correct price, it was executed immediately, but it must be pending.
I can’t figure out why it happened.
Should I set up some additional system variables?
Log output:
Code to reproduce:
If I placed a limit order with the correct price, it was executed immediately, but it must be pending.
I can’t figure out why it happened.
Should I set up some additional system variables?
Log output:
Code
Load Demo.csv [0] Demo 10:00:00.43200: Ask 990.00 => 990.00 989.00 [0] Demo 10:00:00.43200: Bid 980.00 => 990.00 10.00 >>[0] 990.000000:980.000000 Enter Long Demo Entry -50.000 at 10:00:00 (Demo::L) Long 1@940.00 Entry limit [Demo::L00002] Long 1@990.00 at 10:00:01 Com 0000 Mrg 10.00 Net 0 Units 10.0000 MTotal 0.00 MCost 10.0000 PCost 10.00000 Opn 0 [0] Demo 10:00:01.86400: Ask 980.00 => 980.00 10.00 [1] Demo 10:00:01.86400: Bid 970.00 => 980.00 10.00 >>[1] 980.000000:970.000000
Code to reproduce:
Code
#define TIME_FORMAT "%Y%m%d %H:%M:%S"
function main()
{
seed(3);
set(LOGFILE+PLOTNOW);
Verbose = 7;
MaxBars = 50;
BarPeriod = 0.1/60.;
Outlier = 0;
assetList("Demo.csv",0); // assetAdd("Demo",0,0,0,0,1,10,0,1,1,0,"Demo.HFT");
Hedge = 2;
Fill = 8;
Slippage = 0;
Lots = 1;
var Quote = 1000.0;
var TimeStamp = wdatef(TIME_FORMAT,"20200101 10:00:00");
int result;
var BidPrice;
while(Bar < MaxBars)
{
TimeStamp += 0.000005;
Quote += sign(random()) * 10;
BidPrice = Quote - 10;
result = priceQuote(TimeStamp, Quote);
if(!result) printf("\npriceQuote(AskPrice:%f) ERROR!", Quote);
result = priceQuote(TimeStamp, -BidPrice);
if(!result) printf("\npriceQuote(BidPrice:%f) ERROR!", BidPrice);
plot("Ask", AskPrice, LINE, RED);
plot("Bid", BidPrice, LINE, BLUE);
printf("\n>>[%i] %f:%f", Bar, AskPrice, BidPrice);
if((NumPendingTotal+NumOpenTotal)==0)
{
Entry = -50;
enterLong();
}
}
exitLong(); exitShort();
}