FilteredTradeLog
Contents
The log also contains entries for each trade that was Filtered, for whatever reason. This is extremely useful if you find yourself asking, "Why didn't my system trade on this day when I expected it to?" There is a preference to have filtered trades included in this output or not. Be sure to turn this on if you want to see the filtered trades.
Lines for trades not taken could look like the following:
•For system 8, symbol ADBE on 1995-03-31, trade attempted but Money Manager set a unitSize of zero
•For BIIB on 1995-03-31, the volume of 3666 is less than required 10000
•For FLEX on 1995-11-20, cannot add 99300.00 additional margin to 978255.01 existing with only 998343.31 equity.
There are many reasons why a trade may not be taken, and you will see the reason in this file.
Log Column Name: |
Description: |
|---|---|
Test Number |
The test number when running multiple parameter runs |
Type of filter |
Either Order Processing or Fill Processing |
System Name |
System Name |
Symbol |
Instrument symbol |
Position |
Either Long or Short |
Quantity |
The potential quantity for the order |
Date |
The date this order was rejected. Note that this is the instrument date for Order Processing types and the test date for the Fill Processing types. |
Message |
The reason the order was rejected. |
See the Order Filter for additional information.
Edit Time: 9/12/2020 9:50:00 AM |
Topic ID#: 140 |