Ran stack, but no orders were generated.

[pwholzel]

Hi All, I am running the stack handler for the first time, but it has not placed any orders to Interactive Brokers. I wonder if I have the order time of day maybe wrong in a config since I am on US EST? You can see below that 4 orders should have been generated, if I am reading this right. I didn't get any erorrs, and I am connected to IB Gateway. Thanks for any help.

Something odd seems to have happened here.

[tgibson11]

Stack handler executes orders, it does not generate them (well...it does in a sense, but not at the instrument level). There is another process for that.

See https://github.com/robcarver17/pysystemtrade/blob/master/docs/production.md#generate-orders-for-each-strategy

[pwholzel]

Thanks Todd. I ran strategy_order_generator, and then ran the stack handler, but no trades were placed.

[tgibson11]

What do your order stacks look like now?

Also...stack_handler kind of needs to run in a loop to manager orders. It won't work as a one-and-done job. If you want to do things manually, there is interactive_order_stack.

[tgibson11]

Actually, I think that second part is actually your problem. It did execute one order for US10, but because it wasn't running in a loop, it hasn't recognized that the order was filled and updated your positions.

[tgibson11]

You now have a position break.

If too much time hasn't passed, you might be able to fix that with interactive_order_stack, 2) Fills and completions, 21, Get broker fills from IB

Then 22, then 23, then 24

[tgibson11]

If that doesn't fix the position break, you'll have to do 20) Manually fill broker or contract order

[pwholzel]

I ran stack handler a few more times. Still no orders listed. I executed that US10 manually in Trader Workstation.

[tgibson11]

Actually...that won't work either. Stack_handler clears the order stacks when it exits (by design...another reason you need to run it in a loop).

Now you need to do 1) Create orders, then 13) Balance trade.

Try that, then view positions and see if there are any breaks.

[tgibson11]

Ok. So you created the position break yourself. Do what I said my previous comment.

[tgibson11]

Once you've corrected the position break, here is what you'll need to do to get any other orders executed:

1. run_strategy_order_generator
2. interactive_order_stack
3. Option 0, then 1. Confirm the instrument order stack is what you expect
4. Option 1, then 10 to generate contract orders
5. Option 1, then 12 to execute orders with IB
6. Option 2, then 21 to get fills from IB
7. Option 2, then 22 to update contract orders w/ fill data
8. Option 2, then 23 to update instrument orders w/ fill data
9. Option 2, then 24 to clear completed orders from the stack
10. Option 0, then 1/2 to see if all orders have been filled.

Repeat 5-10 as needed until all orders are filled. This is where market trading hours will come into play. If you see a contract order that is never being submitted to IB, it is probably due to trading hours. When the instrument stack is empty, you're done.

If you have orders that can't be filled today, do Option 4, then 42 to clear the stacks and start fresh next time.

[pwholzel]

Getting closer, Todd! I was able to populate Contract Stack, but then it doesn't want to get into the broker stack for some reason.

[tgibson11]

Probably trading hours config. Use interactive diagnostics to view.

[tgibson11]

Looks like you have some instruments with contract prices but not multiple prices.

This seems like a bug, but you could work around it by generating the multiple prices for the instruments that don't have them.

@robcarver17 - Should probably get the list of instruments from multiple prices instead of contract prices (interactive_diagnostics.py, line 660)

[frankcodespoorly]

Looks like you have some instruments with contract prices but not multiple prices.

This seems like a bug, but you could work around it by generating the multiple prices for the instruments that don't have them.

@robcarver17 - Should probably get the list of instruments from multiple prices instead of contract prices (interactive_diagnostics.py, line 660)

Ah ha. I had backfilled my multiple and adjusted databases with all of Rob's repo csvs, but later found out that I could not get price data from IB for some instruments. I added these to my stale_instruments dict and thought that was the end of it.

Seems like I'll need to somehow get data for those instruments, or purge them entirely from the database?

[tgibson11]

Yes, deleting them is another option if you don't care about the data.

interactive_controls has an option for doing that.

[frankcodespoorly]

Yes, deleting them is another option if you don't care about the data.

interactive_controls has an option for doing that.

Thanks -
I found the culprits. After deleting them through interactive_controls the view trading hours diagnostic was finally able to complete. However the result was an entirely blank list! - Wondering if it might be due to weekend / holiday. Will try again later.

I noticed that while the diagnostic was running, each instrument would have a warning:

6-18 15:10:58 {'type': 'Interactive-Diagnostics', 'component': 'ibFuturesContractData', 'instrument_code': 'GOLD-mini', 'contract_date': '20230800'} [Warning] unsupported operand type(s) for +: 'int' and 'str' when getting trading hours from GOLD-mini/20230800!
2023-06-18 15:10:58 {'type': 'Interactive-Diagnostics', 'component': 'ibFuturesContractData', 'instrument_code': 'GOLD-mini', 'contract_date': '20230800'} [Warning]  when getting trading hours from GOLD-mini/20230800!
2023-06-18 15:10:58 {'type': 'Interactive-Diagnostics', 'component': 'ibFuturesContractData', 'instrument_code': 'GOLD-mini', 'contract_date': '20230800'}  No IB expiry date found

I see expiry dates in the contract config data though.

Instrument code?GOLD-mini
Available contract dates ['20230200', '20230400', '20230600', '20230800p', '20231000f', '20231200']
p = currently priced, c=current carry, f= current forward
Contract date? [yyyymm or yyyymmdd] (ignore suffixes)20230800
{'contract_date_dict': {'contract_list': [{'expiry_date': (2023, 7, 27), 'contract_date': '202308'}]}, 'instrument_dict': {'instrument_code': 'GOLD-mini'}, 'contract_params': {'sampling': True}}
Rollcycle parameters hold_rollcycle:GJMQVZ, priced_rollcycle:GJMQVZ, roll_offset_day:-30, carry_offset:1, approx_expiry_offset:26

AEX                 : 
AEX_mini            : 
ALUMINIUM           : 
AUD                 : 
AUDJPY              : 
AUD_micro           : 
BB3M                : 
BBCOMM              : 
BITCOIN             : 
BOBL                : 
BONO                : 
BOVESPA             : 
BRE                 : 
BRENT-LAST          : 
BTP                 : 
BTP3                : 
BUND                : 
BUTTER              : 
BUXL                : 
CAC                 : 
CAD                 : 
CAD_micro           : 
CH10                : 
CHEESE              : 
CHF                 : 
CHFJPY              : 
CHF_micro           : 
CLP                 : 
CNH                 : 
COPPER              : 
COPPER-micro        : 
COPPER-mini         : 
CORN                : 
CORN_mini           : 
CRUDE_W             : 
CRUDE_W_micro       : 
CRUDE_W_mini        : 
CZK                 : 
DAX                 : 
DJSTX-SMALL         : 
DOW                 : 
DOW_mini            : 
ETHER-micro         : 
ETHEREUM            : 
EU-AUTO             : 
EU-BANKS            : 
EU-BASIC            : 
EU-CHEM             : 
EU-CONSTRUCTION     : 
EU-DIV30            : 
EU-DJ-OIL           : 
EU-DJ-TECH          : 
EU-DJ-TELECOM       : 
EU-DJ-UTIL          : 
EU-FOOD             : 
EU-HEALTH           : 
EU-HOUSE            : 
EU-INSURE           : 
EU-MEDIA            : 
EU-MID              : 
EU-OIL              : 
EU-REALESTATE       : 
EU-RETAIL           : 
EU-TECH             : 
EU-TRAVEL           : 
EU-UTILS            : 
EUR                 : 
EURAUD              : 
EURCAD              : 
EURCHF              : 
EURIBOR             : 
EURO600             : 
EUROSTX             : 
EUROSTX-LARGE       : 
EUROSTX-SMALL       : 
EUROSTX200-LARGE    : 
EUR_micro           : 
EUR_mini            : 
FED                 : 
FEEDCOW             : 
FTSECHINAA          : 
FTSECHINAH          : 
FTSEINDO            : 
FTSETAIWAN          : 
FTSEVIET            : 
GAS-LAST            : 
GAS-PEN             : 
GASOILINE           : 
GASOILINE_micro     : 
GAS_US              : 
GAS_US_mini         : 
GBP                 : 
GBPCHF              : 
GBPEUR              : 
GBPJPY              : 
GBP_micro           : 
GICS                : 
GOLD                : 
GOLD-mini           : 
GOLD_micro          : 
HEATOIL             : 
HOUSE-US            : 
INR                 : 
IRON                : 
IRS                 : 
JGB                 : 
JGB-SGX-mini        : 
JGB-mini            : 
JP-REALESTATE       : 
JPY                 : 
JPY_mini            : 
KRWUSD              : 
KRWUSD_mini         : 
LEANHOG             : 
LIVECOW             : 
MILK                : 
MILKDRY             : 
MILKWET             : 
MSCIASIA            : 
MSCISING            : 
MSCIWORLD           : 
MUMMY               : 
MXP                 : 
NASDAQ              : 
NASDAQ_micro        : 
NIFTY               : 
NIKKEI              : 
NIKKEI400           : 
NOK                 : 
NZD                 : 
OAT                 : 
OATIES              : 
OMX                 : 
PALLAD              : 
PLAT                : 
PLN                 : 
R1000               : 
REDWHEAT            : 
RICE                : 
RUBBER              : 
RUSSELL             : 
RUSSELL_mini        : 
SEK                 : 
SGD                 : 
SGD_mini            : 
SHATZ               : 
SILVER              : 
SMI                 : 
SMI-MID             : 
SOFR                : 
SOYBEAN             : 
SOYBEAN_mini        : 
SOYMEAL             : 
SOYOIL              : 
SP400               : 
SP500               : 
SP500_micro         : 
STEEL               : 
SWISSLEAD           : 
TOPIX               : 
TWD                 : 
TWD-mini            : 
US-DISCRETE         : 
US-ENERGY           : 
US-FINANCE          : 
US-HEALTH           : 
US-INDUSTRY         : 
US-MATERIAL         : 
US-PROPERTY         : 
US-REALESTATE       : 
US-STAPLES          : 
US-TECH             : 
US-UTILS            : 
US10                : 
US10U               : 
US2                 : 
US20                : 
US3                 : 
US30                : 
US5                 : 
USIRS10             : 
USIRS2ERIS          : 
USIRS5              : 
USIRS5ERIS          : 
V2X                 : 
VIX                 : 
VIX_mini            : 
VNKI                : 
WHEAT               : 
WHEAT_mini          : 
WHEY                : 
YENEUR              : 

[frankcodespoorly]

Resolved - it was the silliest thing.

i had my GMT_offset_hours dict in quotes. That was causing the issues. Removing quotes did the trick.

[pwholzel]

Excellent. Thanks, once again for all your help!