Help with "Cut down order to size [0] from [-1] because of liquidity"

[oldlore]

I've been getting the following error constantly for 2 days all day when trying to close a position in CAD.

2023-08-04 10:15:18 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'CAD', 'contract_order_id': 207, 'instrument_order_id': 213} Cut down order to size [0] from [-1] because of liquidity

My understanding is that this is done when the current liquidity at the top of the order book is insufficient. But this is a very liquid instrument. I thought maybe it might not be getting the data but I have CME market data so PST should be able to see the current liquidity. Not really sure how to troubleshoot this. Thanks in advance!

[tgibson11]

This is due to the issue described in PR #1237

[oldlore]

Ok thanks! I saw that pull request earlier but didn’t realize it would cause this sort of error. I placed the trade manually but appreciate the fix. Thanks again.

[oldlore]

I'm running into this again when trying to close a position in MXP today. Hundreds of similar entries all day. Lots of volume so not sure why there would be a liquidity issue. I'm on the develop branch of a week ago.

2023-09-13 12:34:49 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'MXP', 'contract_order_id': 248, 'instrument_order_id': 254} Cut down order to size [0] from [-1] because of liquidity
2023-09-13 12:34:50 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'MXP', 'contract_order_id': 248, 'instrument_order_id': 254} Cut down order to size [0] from [-1] because of liquidity
2023-09-13 12:34:52 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'MXP', 'contract_order_id': 248, 'instrument_order_id': 254} Cut down order to size [0] from [-1] because of liquidity
2023-09-13 12:34:53 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'MXP', 'contract_order_id': 248, 'instrument_order_id': 254} Cut down order to size [0] from [-1] because of liquidity
2023-09-13 12:34:55 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'MXP', 'contract_order_id': 248, 'instrument_order_id': 254} Cut down order to size [0] from [-1] because of liquidity
2023-09-13 12:34:56 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'MXP', 'contract_order_id': 248, 'instrument_order_id': 254} Cut down order to size [0] from [-1] because of liquidity
2023-09-13 12:34:58 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'MXP', 'contract_order_id': 248, 'instrument_order_id': 254} Cut down order to size [0] from [-1] because of liquidity

[tgibson11]

Looks like this fix was merged to master, but not develop.

I did the original PR for master because I thought this bug was important to fix. Master should then have been merged into develop (but seems like it wasn't).

[oldlore]

It looks like I made the changes initially by copying your code then when I updated to the latest develop I accidentally went back to the old tick_data.py pre-fix. I changed it again so hopefully it'll work tomorrow.Thanks!

[robcarver17]

Just double checked and it looks like half the fix was merged in and the rest wasn't, so hopefully now develop at least is up to date.