Diagnosing Unfilled CTA Orders and Managing Local Stop Orders
Summary
This forum exchange discusses a CTA strategy that generates buy or short signals but fails to obtain fills in a no-UI run, despite working in the normal software environment. The suggested first step is to print and inspect market data and strategy logic to find where behavior differs. For active contracts, a local stop order is offered as an order type to investigate when the trader wants a better chance of execution, though the discussion does not guarantee a fill or detail when that order type is suitable.
The thread also clarifies the lifecycle of unfilled orders in a bar-based strategy. When a new one-minute bar arrives, the strategy's cancel-all call removes outstanding orders from the previous minute, after which the strategy may issue new orders based on its logic. Leaving that cancellation call out is raised as a way to keep a stop order working, but the replies do not fully establish the behavior for every strategy configuration or venue. No performance data or general market-order guidance is provided.
Key ideas
- Print market data and strategy decisions to investigate execution differences between no-UI and normal runs.
- A local stop order may be worth exploring for active contracts when execution is a concern.
- A cancel-all call on a new bar removes outstanding orders from the prior bar.
- Whether an unfilled stop order remains active depends on the strategy's order-management logic.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.