Daily Strategy Signal Timing and Next-Session Order Execution

Summary

The document describes a timing question in a daily trading strategy. Signals are created in an after-market routine, while orders are submitted in a data handler and intended to fill at the opening price. The author expects a signal generated after one session to produce a position during the next session, but reports that the order appears later and the position quantity is still zero at the following after-market check.

It asks whether the handler runs near the prior session’s close, causing the submitted order to fill at a later open, and whether signal generation should move into the handler. The text provides a concrete sequence of expected and observed events, but no platform explanation or resolution. It therefore highlights the need to verify callback schedules, order submission cutoffs, fill timing, and when position state is updated before changing a strategy’s signal logic.

Key ideas

• The strategy generates signals after trading and submits orders from a separate data handler.
• The author expects next-session opening fills but observes a later execution and no position at the after-market check.
• Callback timing and the platform’s order-processing schedule are central to diagnosing the discrepancy.
• The document poses a design question and does not provide a verified answer.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.