Grid EA bug: missing orders due to invalid stops (error 130)

Hey everyone,

I'm working on an Expert Adviser for a grid trading system. My bug is somewhere in the initialization.

I have a number of grid sectors numbered from 0-63 each 50 pips wide. Upon the first run of the expert, I want to place a limit order at each grid line, with the lower half being BUY_LIMIT and the upper half SELL_LIMIT. The problem is some of the trades return from OrderSend() with error 130 (bad stops). I understand what the error means, but my code gives the same stop margin to each trade, and the opening price is in many cases nowhere near the market price. So I'm a bit confused as to why the error occurrs to some trades and not others.

I've run my code on IBFX Demo Strategy Tester on a number of different currency pairs with in a number of different timeframes, and there is always a group of 3+ trades that succumb to error 130. The default grid values in my code are for AUDNZD in the first two weeks of January, 2009. (I've been using a 1 hour timeframe, but I'm really only concerned with the outcome of the first bar).

I've attached the code below. I've isolated the bugged code to make it easier for you to read. The broken function is "openPendingTrades"

I'm going to try testing this in real time demo, but I anticipate the same problem will happen, unless this is specifically a bug in the Strategy Tester.

I appreciate any help you can lend.

Do you know the minimum stop loss?

The minimum stop for AUZNZD (measured with MarketInfo(Symbol(), MODE_STOPLEVEL)) is 3 pips (0.0003). On the AUZNZD strategy tester (2009.01.06 - 2009.01.07 H1) it gives the error for all of my BUY_LIMIT trades that are between 1.36 and 1.43. My takeprofit is 57 pips from the open, and I have no stoploss (given a value of 0).

If it were just the takeprofit being to close to the market price, this would only affect a few trades...

That minimum stoploss distance also applies to pending orders..and I hope you also added spread.

Yes. I dumbed down the code by removing the function I use for profit management, so I just generalized that the spread would be 17 pips and then I'd be shooting for a profit of 40 pips.

And I'm also aware that the minimum applies to pending orders as well. But it still doesn't make sense that it would reject 10+ orders that have stops 57 pips apart from each other.

I'm sure there's more to it.

RR,

You are pretty experienced on grid trading and you have the code. Would you mind to actually take a look?

Thanks

Any other grid programmers out there?

I have, and here's what's bothering me:

Are you absolutely sure LOWER_BOUND is far enough away from the current price?

Limit orders apply when the entry price is in the opposite direction from the current price relative to the trade.

Example:

If the current price is 1.000, and I have a limit order at 1.5000, what direction is the limit order? (Answer is Short).

It seems that some of the limit orders being placed are in the wrong direction.

You are very right. It doesn't make sense to put a sell limit order below the current price, and that's why the orders are returning with error 130.

Thanks very much. I now know that the error 130 is not well defined in the spec.