Tick Data Executions on TradeStation

[Norm]

Hello,

Today I tried to go live with a strategy using TradeStation. The strategy is inserted onto a tick chart. It works fine in backtesting and in using live data with fake money.

However, when I tried to go live, my trades did not execute at all. These were limit orders and they did not execute even well after the limit had been reached. Not even when the price dipped well below the limit and stayed there for many minutes.

Is there a problem using limit orders with tick data. For example, maybe the strategy is constantly sending a limit order on every tick and that fouls up order entry.

Please let me know if you have experienced similar difficulties or if you understand what is likely to be happening.

Thanks,
Norm

 

[tdoc]

Quote from Norm:

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However, when I tried to go live, my trades did not execute at all. These were limit orders and they did not execute even well after the limit had been reached. Not even when the price dipped well below the limit and stayed there for many minutes.

[/B]

Yes, have had similar problem. Sorry, don't understand why. Another thing you may notice, is that your buy/sell signals will appear on the chart, and show you as being long/short x number of shares, when the order was never actually placed and executed by the software.

The greatest problem with Tradestation has always been its dependence on a completed bar or candle for the given time period, before calculating whether or not to enter a trade. Using a tick chart seemed to be the answer to entering a trade at any given price signal at any given time. As you point out, it just doesn't work. Unless your time frame is at least 2-3 days for a trade, Tradestation just isn't for you. I can't believe Tradestation has never fixed this problem.

Best of luck,

Tom