Handling Simultaneous Long and Short Fills in a CTA Strategy

Summary

A trader reports that a CTA strategy can receive a short opening fill and a long opening fill almost simultaneously when placing stop orders on opposite sides of a Bollinger band. The strategy tracks net position, so equal and opposite fills bring that value to zero. The trader initially suspects the strategy data file is deleted; another participant clarifies that the record remains, while the net position is zero.

The discussion raises the operational problem of accumulating offsetting positions that net to zero and becoming difficult to attribute to a particular strategy without checking logs. It suggests that tracking long and short positions separately may be relevant, but offers no confirmed implementation or resolution. The example is specific to a reported SimNow occurrence, and the thread does not establish how often it happens or whether the behavior generalizes across brokers or CTA configurations.

Key ideas

• Opposite opening fills can arrive nearly simultaneously when stop orders are placed on both sides of a price range.
• A net position can show zero even when the account holds offsetting long and short positions.
• A zero net position does not by itself mean the strategy record was deleted.
• The thread identifies separate long and short tracking as a question but does not provide a tested solution.

Tags

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