Order Filtering

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In certain circumstances,  Trading Blox will filter an order without placing with the broker object even though it might have been filled based on the order type and price data of the day.

 

Filtering Criteria:

Orders will be filtered during "Order Processing" according to the following criteria:

 

1.Volume: Checks the 5-day EMA of the volume versus the global settings. There is a max percent volume per trade, and a minimum volume required. If you set both of these globals to zero, they will be disabled.

 

2.Equity: Check that there is enough equity for the trade. For futures this is determined by adding up the margin required for the new trade and checking existing margin requirements vs. available equity. For stocks this is determined by adding up the full price of the stock. Available equity is determined by either the test equity or the Order Generation Equity if non-zero and generating orders. The Max Margin/Equity parameter is used here. If the margin is greater than the max amount times the available equity, then the trade is filtered. Set to zero to disable any margin checking. Note that if many orders are placed on the same day, they could all be filled even though it will use more equity than available.

 

3.Risk Manager: If you have a Risk Manager block, Trading Blox executes the canAddUnit script. If the canAddUnit script Rejects the order, then it will be filtered out.

 

4.Money Manager: If the unitSize script Rejects the order, then it will be filtered out.

 

If a trade is filtered due to any of the above, there will be an indication in the Filtered Trade Log file which is located in the Results folder if you set the Log Filtered Trades option to true. You can access all results files from the File/Results menu. These types of filters will be noted with an "Order Processing" type, and the date will be the Instrument Date.

 

Orders can also be filtered during the fill process, and these will be noted with a "Fill Processing" type and the date will be the Test Date.

 

The reasons for a "Fill Processing" reject include:

 

1) No trading data -- an order was placed for a date without trading data.

2) Lock Limit Day -- with futures by default the simulation will not buy on a up lock limit day or sell on a down lock limit day. Lock limit is defined as H=L. This feature can be turned off in global preferences.

3) Position is locked by Broker Positions -- if you have a broker position for this market and system, then new entry or exit orders cannot be filled.

4) Open past stop price -- The order cannot fill if the open price is already past the protective stop price.