Hi all,

I have set up code that I believe meets the criteria for Automated Trading in my paper accounts. However on Wed, July 3 there were 2 alerts that showed up at a 4:30 scan.

I've searched through the forum, read the document Navigation: Orders >Stage, Place, Auto but I can't figure out what I am doing wrong for the orders to not be placed during the day. I don't know if it's in my settings or my code. Any hints are appreciated. My code is below.

Thanks,
John

CODE:
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Hi John,
The code looks OK on the surface. How about the symbols, bar scale, position sizing?

Hi Eugene,

I am running this against the S&P 100, Daily scale, Position Size of $17000 in Raw Profit Mode. I am a little unsure if that is what you are asking for. I got that information from the Strategy Activation Settings. I also see in that dialog an Execute Time of 16:30 and the box next to Automatically Stage Orders from Strategy Alerts is checked.

Thanks!
John

Yes, that's what I was asking. So to make things clear: you did see 2 alerts in the Strategy Monitor at 4:30 pm but they weren't auto-placed? Is there enough cash to take the signals in the Paper account?

Yes there is $50000 in that account. I just noticed that the 2 alerts were auto traded and filled this morning. Now I'm really puzzled. Somehow I have it set to scan at 16:30 and auto trade on the open. It shows the route as auto.

I don't have experience with Fidelity data but from a logical standpoint, it might be early to run a Daily strategy at 4:30 pm. No bars = no execution. Perhaps you might want to configure strategy execution to a later time.

Does the paper account have to do with Fidelity? I thought that was a part of WLP. I am autotrading paper until I know that I understand the mechanics of how this works before using real money.

The data in the SM is coming from a data vendor - like Yahoo! or Fidelity. If yesterday's Daily bar was not returned by the data feed at 4:30 pm, how could the strategy execute?

With Yahoo! data, you can enable "Always return data with partial bar" in the Data Manager > Yahoo, thus enabling the provider to get today's OHLC instantly. Not sure when Fidelity's EOD data is 'ready' with certainty.

Ok I see.

QUOTE:
I don't have experience with Fidelity data but from a logical standpoint, it might be early to run a Daily strategy at 4:30 pm. No bars = no execution. Perhaps you might want to configure strategy execution to a later time.

I'm still not understanding something about how this works then. If the strategy should execute intraday during normal trading hours how does having it execute after trading hours solve the problem.

I thought that it worked intraday so that on the next bar after hitting the trigger point the trade would automatically execute. This seems to be where my knowledge gap is. Does it not work like this? Or are you saying it may not work with Fidelity data like that?

I see the "Always return data with partial bar" setting in Yahoo! but not in Fidelity. I checked that box. I also unchecked the box next to Fidelity in Update Data and checked the box next to Yahoo! Finance.

So if the way Fidelity delivers Data is preventing Intraday autotrading then this would possibly fix that problem?

QUOTE:
If the strategy should execute intraday during normal trading hours how does having it execute after trading hours solve the problem.

Because EOD data is different. Today's bar may become available hours after the close, depending on your chosen data vendor. Then there's such thing as data corrections. It's not a "Fidelity thing" (without the Partial Bar option, Yahoo's even slower to update their EOD data) but please check out this useful post:

Fidelity Static Provider Data Corrections

No idea if something's changed (I don't work with Fidelity data) - it's been over a year since then after all.

QUOTE:
I see the "Always return data with partial bar" setting in Yahoo! but not in Fidelity.

This Yahoo provider's feature activates a smart trick: it queries a different real-time feed from Yahoo for today's partial bar and appends that bar to the EOD data, creating the illusion of continuity and timeliness.