Hello,

I've been back testing a strategy on historical data using a live account , the historical data ranges from Jan-2008 till jan-2012 on currency pairs like AUD/USD GBP/JPY and i get an error telling me that the order is cancelled because of no liquidity at the price

I tried to manipulate the slippage up to 20 pips (I don't think it would be practical to try to increase slippage more than 20 it would really hurt the final strategy outcome) .but still get the error i also tried to decrease the lot size down to 0.001 and still get the same error on approximately 7 trades per year of testing on average noting that this error appears only on the sell side

Note: The type of the order submitted by the strategy is a sell limit order

Here is an example from the report generated by the historical tester:

2008-08-25 04:00:00 Order canceled AUD/USD, SELL, 300000.0 at 0.8633] canceled because of no liquidity at the price

2009-05-13 16:00:00 Order canceled AUD/USD, SELL, 30000.0 at 0.7581] canceled because of no liquidity at the price

Please help on this error

Thanks

We could not replicate this by the case that you described. We used the following strategy for testing:

package jforex.test.markethours;

import com.dukascopy.api.*;
import com.dukascopy.api.IEngine.OrderCommand;

import java.text.ParseException;
import java.text.SimpleDateFormat;
import java.util.TimeZone;

/**
 * The strategy creates a single order at the given time point
 */
public class TradeMarketHoursSdf implements IStrategy {
    
    private IConsole console;
    private IEngine engine;
    
    private Period period = Period.ONE_HOUR;
    private Instrument instrument = Instrument.AUDUSD;
    
    private SimpleDateFormat sdf = new SimpleDateFormat("yyyy-MM-dd HH:mm:ss");
    private String timeStr = "2008-08-25 04:00:00";
    
    @Override
    public void onStart(IContext context) throws JFException {
        console = context.getConsole();
        engine = context.getEngine();
        sdf.setTimeZone(TimeZone.getTimeZone("GMT"));
    }
    
    private boolean timesEqual(String timeString, long barEndtime) throws JFException {  
        boolean result = false;
        try {
            long time = sdf.parse(timeString).getTime();            
            result = time == barEndtime;            
        } catch (ParseException e) {
            e.printStackTrace();
        }
        return result;
    }
    
    @Override
    public void onBar(Instrument instrument, Period period, IBar askBar, IBar bidBar) throws JFException {
        if (period != this.period || instrument != this.instrument)
            return;

        if(this.timesEqual(timeStr, askBar.getTime() + period.getInterval())){
            engine.submitOrder("orderSellLimit", instrument, OrderCommand.SELLLIMIT, 0.3, 0.8633, 20);
        }
    }

    private void print(Object o) {
        console.getOut().println(o);
    }

    @Override
    public void onTick(Instrument instrument, ITick tick) throws JFException {    }
    @Override
    public void onMessage(IMessage message) throws JFException {
        print(sdf.format(message.getCreationTime())+ ": " +message);
    }
    @Override
    public void onAccount(IAccount account) throws JFException {    }
    @Override
    public void onStop() throws JFException {    }

}

With the following Historical Tester settings:



And we received the following report data:

Time   Event type   Event text
2008-08-25 04:00:00   Order submitted   Order [orderSellLimit, AUD/USD, SELLLIMIT, 300000.0 at 0.8633] submitted by the strategy
2008-08-25 05:04:13   Order filled   Order [orderSellLimit, AUD/USD, SELL, 300000.0 at 0.8633] filled
2008-08-25 21:00:00   Commissions   Commissions [4.66]
2008-08-25 21:00:00   Overnights   Overnight commission [-1.12] pips applied to order [orderSellLimit, AUD/USD, SELL, 300000.0]
2008-08-26 21:00:00   Commissions   Commissions [0.0]
2008-08-26 21:00:00   Overnights   Overnight commission [-1.12] pips applied to order [orderSellLimit, AUD/USD, SELL, 300000.0]

Dear Support Team,

Thanks a lot for your help, after viewing the code you sent, it is now clear that there was a problem with the order parameters in my strategy, the problem is now resolved and the error is not appearing any more.

Thanks again

Regards