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Omey Salvi INVESTOR

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MarketOrder("USDJPY",10000);



//Take Profit (Sell) at 50 pips above 

var takeProfit = LimitOrder("USDJPY", -10000, data["USDJPY"].Close + 

Securities["USDJPY"].SymbolProperties.MinimumPriceVariation*50*10);

Hi,

I have the above code where I'm trying to set a take profit of 50 pips on a buy market order.
What I expect to happen:

Market order gets filled immediately. Limit Order gets "submitted" immediately and then later gets filled when price reaches 50 pips above the current price.

What happens:

Market order and Limit order both get filled immediately.

Shouldnt the limit order be filled after some time when price has moved by 50 pips? Am I doing Limit Orders wrong? A sell limit order gets filled at the limit price or higher right? Then why does it get filled immediately?

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Omey Salvi

Accepted Answer

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Michael Manus

10.2k ,

can't see anything on the picture :)

i think they dont have ask and bid prices why you would have to implement something to test the spread....

Michael Manus

10.2k ,

Did you try to log the time the orders get exectued with the TIME variable?

sorry no info for me provided by the picture..... :)

post the time in a table or something like this:

https://www.quantconnect.com/docs#Logging-and-Debug-Debug-Messages

Omey Salvi

129 ,

Firstly, Thank you for responding. Sorry for taking this long to reply. I've attached the backtest.

Here are the trades that get reported:

2013-10-07 00:00:00USDJPY¥97.66JPYLimit-10,000ShortFilled 2013-10-07 00:00:00USDJPY¥97.162JPYMarket10,000LongFilled

Michael Manus

10.2k ,

i only inserted the onorder event so you see whats happening:

2013-10-07 00:00:00 : 	Launching analysis for bdada492d187a8c85c822d96d6498b3a with LEAN Engine v2.4.0.1.3231

2013-10-07 00:00:00 : 	Order 1: 10/7/2013 12:00:00 AM: Market: Time: 10/7/2013 4:00:00 AM OrderID: 1 Symbol: USDJPY Status: Submitted

2013-10-07 00:00:00 : 	Order 1: 10/7/2013 12:00:00 AM: Market: Time: 10/7/2013 4:00:00 AM OrderID: 1 Symbol: USDJPY Status: Filled Quantity: 10000 FillPrice: 97.162 JPY

2013-10-07 00:00:00 : 	Order 2: 10/7/2013 12:00:00 AM: Limit: Time: 10/7/2013 4:00:00 AM OrderID: 2 Symbol: USDJPY Status: Submitted

2013-10-07 00:00:00 : 	Current : 97.160

2013-10-07 00:00:00 : 	Increased price : 97.660

2013-10-09 21:19:00 : 	Order 2: 10/9/2013 9:19:00 PM: Limit: Time: 10/10/2013 1:19:00 AM OrderID: 2 Symbol: USDJPY Status: Filled Quantity: -10000 FillPrice: 97.66 JPY

2013-10-11 18:00:00 : 	Algorithm Id:(bdada492d187a8c85c822d96d6498b3a) completed in 1.06 seconds at 6k data points per second. Processing total of 6,841 data points.

so its some time than..... :)

"" Shouldnt the limit order be filled after some time when price has moved by 50 pips? Am I doing Limit Orders wrong? A sell limit order gets filled at the limit price or higher right? Then why does it get filled immediately? ""

Omey Salvi INVESTOR

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