Rank: Newbie
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Joined: 1/5/2006(UTC)
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I created buy and sell signals for a system as indicators. I can plot them out on a chart and see nice ticks for each signal. they pretty much alternate over time - buy, sell, buy, sell, etc. at the points where I could expect them.
I created a system test. I took the exact buy indicator code mentioned above as the buy indicator and pasted as the "Buy" rule in the system test. I pasted the sell indicator as the "Sell" rule in the system test.
When I run the system test, the system does not seem to buy when it should. I looked at the report and found that many of the "buy" trades had been cancelled. The error on the report on the Orders tab in the event column is:
"Cancelled - Open cost"
What does this mean?
Looking at the up ticks on the buy indicator when plotted on the chart, there should have been 31 buys. I made sure the 31 cases were truely "buys" in the sense that the previous signal had been sell.
Can anyone explain this error?
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Rank: Advanced Member
Groups ready for retrieval: Registered, Registered Users, Unverified Users
Joined: 9/13/2004(UTC)
Posts: 673
Location: Salt Lake City, UT
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I believe this can happen when you are using 100% Available Equity as your entry size, and have realistic market prices enabled.
The buy signal is generated on a price bar, and it figures out how many shares you can buy. So let's say the stock is trading at $10/share. You have $100. With 100% available equity, the system test determines you can buy 10 shares. Due to realistic market prices, the order is delayed by 1 bar. Let's say the price goes up by $1 from one bar to the next. It would now take $110 to buy 10 shares, which you do not have.
I believe you can work around this by Unchecking Realistic Market Prices and setting all the fields to Close and 0 bar delay. This is under the "More" button in the System Testing Options page. You could also likely work around this issue by setting a smaller value as your entry size, such as 80% available equity.
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Rank: Advanced Member
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Joined: 3/7/2005(UTC)
Posts: 1,346
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hey everb.... that confused me at first also..... you can think of it as 'cost too much' to open, ie insufficent funds.... often systems are set to buy 100 shares with a starting balance of 10k.... a system will have no trouble buying 100 shares of 'csco' but it might be later this year before 10k will by 100 'dia'.... using those diamonds as an example, every buy will be "Cancelled - Open cost" until they fall below 100$ a share...
you didn't mention whether your system allowed multiple positions, but a system that does will buy every day the buy rule is valid.... using 'ibm' as an example, a system test starting today would buy 100 shares but if the buy rule was still vaild tommorrow the system would attempt to buy again.... the order would be "Cancelled - Open cost" if your starting balance was 10k.... even using 'intc', in a few days you'll have exhausted your balance....
there are way to code those cancel's out, but really they do very little harm.... they might be in a sense valuable.....
there are other reasons for orders to be cancelled also.... its not errors , its real life trading representation.... h
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 1/5/2006(UTC)
Posts: 3
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Okay - I get it now. Thank you.
I changed to buy/sell at close on the same day and ran the test without problems - all buys execute now. I will exeriment with lowering the equity % I put into a position and try buying on open of the next day again as this is more realistic.
To clarify, I was only opening a single position.
If anyone from Equis reads this post, please review your documentation and online KB/FAQ. I could not find any documentation on this event message. Perhaps the situation is a bit too "fringe" to document, but it never hurts. I am thankful that this forum saved me some frustration and educated me much better as to what was going on.
Thanks again,
EB
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