Real Money Automated Trading Journal

Frosty,

I'd ask for a refund... Could be a nice way to make some extra $$$. Oh, yea... Our servers went crazy last night and like magic $$$ left your account and jumped into ours... Oops... I hope you don't notice that happens often... This cost of trading is gona kill you...

Sorry,
-DD-
 
Quote from ddude:

Frosty,

I'd ask for a refund... Could be a nice way to make some extra $$$. Oh, yea... Our servers went crazy last night and like magic $$$ left your account and jumped into ours... Oops... I hope you don't notice that happens often... This cost of trading is gona kill you...

Sorry,
-DD-
More...

Agree, its a big issue. I have had phantom trades occur every night this week. I rushed some code into production today which uses the following logic:
- Check CBI.Globals for account position
- If true account position = 0, and Strategy position !=0. Disable strategy

Most of my phantom trades occur when the this.Position becomes corrupted after a server reboot and "thinks" it has a position. Later this position is "exited" by my code logic causing a real position in the opposite direction to occur.

By checking the current strategy position against my real position,and disabling the strategy when out of sync. I should avoid most phantom trades.

Its still possible to have phantom trades where real position is !=0. But I have not added the logic to fix that situation. Baby steps.

I just hope I did not rush this code into production too quickly only to wake up with a major hit in the account.
 
Attached is a daily chart of pips gained since starting this thread. It is worth noting, around Day 28 on this chart is when I moved to using all limit orders.

The past 2 weeks have been nasty for my strategy. However, almost half of the losses in this period has been related to phantom trades.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3640559"/>
 

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Down another 70 pips to open the week on 3 phantom trades from last night. I put in code to exit a phantom trade and disable the strategy when detected. The code detected fine, but the disable came too close to the exit, and the phantom positions remained open throughout the night...

That should be correctable. Once complete, I will likely still lose 10 or 15 pips here or there due to phantom trades and the time it takes to detect and close out. But hopefully will stop having the 70 pip+ nights like this.
 
Quote from frostengine:

Down another 70 pips to open the week on 3 phantom trades from last night...........
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a broken record.
fix it and stop the whining.
 

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Quote from shopster:

a broken record.
fix it and stop the whining.
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I am a frostie supporter, but "phantom trades" non-sense would have me on the phone with a broker/vendor and it would be a very serious conversation. This kind of bs is not acceptable for automated trading.
 
Quote from clearinghouse:

I am a frostie supporter, but "phantom trades" non-sense would have me on the phone with a broker/vendor and it would be a very serious conversation. This kind of bs is not acceptable for automated trading.
More...

The phantom trades have been "mitigated" at this point. Code is in place to compare what is "really" in the account, to what the NT strategy thinks is in the account. When a discrepancy is detected, the appropriate orders are sent to exit the position and turn off that particular strategy.

Of my 10 strategies running, nightly it seems 1 or 2 turn off due to this. Its causing some losses due to transaction costs. Also, fast moving markets can be detrimental as the detection algorithm can take upwards of 10 minutes to detect the issue.

However, its a step in the right direction.
 
I also don't understand why you're sticking to NT with all the problems you're getting. I assume since you're using NT that you're somewhat capable in C#, if so why don't you use something like http://www.dinosaurtech.com/ to connect to IB and be done with buggy rubbish like NT. Trading is hard enough without having to code around other peoples mistakes.
 
I have not been doing much with the strategy other than letting it run live. I am getting close to digging my way out of the current draw down, but still have 200 pips or so to go.

Attached is the pip chart from start until now.
 

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