IB wrong stop

Hi,
I'm getting some wrong stop values with IB.
Happens randomly, now happened with MNST, happened before with other stocks.

I calculate the stop and the trail with the lines below:

Stop=priceClose()-(3*ATR(30));
Trail=ATR(2);

I also tried previously with this line below but getting same errors too:
Stop=3*ATR(30);

This is extracted from the log:

[MNST::L8573] Trail 7@50.4100 Stop 20042.13 at 11:14:42
[MNST::L8573] Trail 7@50.4100 Stop 38037.55 at 11:40:07
Stop 38037.5547 hit at 30823.4707/30823.470730823.4707/30823.4707
BrokerSell MNST: 71774 ms

Anyone from the Zorro team has any idea why is this happening ?
Log file is attached(renamed to .h to allow upload)

Thanks
Vincenzo

Can you post the script? Otherwise it's hard to tell where the stop became wrong.

Hi Jcl,
There is only one line of code where I set the Stop equal to a value.
And looks like this is happening only in live trading with IB.
I checked the test log and all stops hit have normal values.

Script is below: Is just the Get Rich slowly modified for trading:

#define LEVERAGE 2 // 1:4 leverage
#define DAYS 252 // 1 year
#define NN 300 // max number of assets

string Names[NN];
vars Returns[NN];
var Means[NN];
var Covariances[NN][NN];
var Weights[NN];

//////////////////////////////////////////////////////

function run()
{
BarPeriod = 1440;
LookBack = DAYS;
NumYears = 5;
Verbose = 30;
set(PRELOAD); // allow extremely long lookback period



var TotalCapital = slider(1,1000,0,10000,"Capital","Total capital to distribute");
var VFactor = slider(2,10,0,100,"Risk","Variance factor");

int N = 0;
assetList("AssetsZ8NasdaqStocks.csv");
while (asset(loop(Assets)))
{
Names[N] =Asset;

Returns[N] = series((priceClose(0)-priceClose(1))/priceClose(1));
if(N++ >= NN) break;
}


int i,j;
for(i=0; i<N; i++)
{
Means[i] = Moment(Returns[i],LookBack,1);
for(j=0; j<N; j++)
Covariances[N*i+j] = Covariance(Returns[i],Returns[j],LookBack);
}

var BestVariance = markowitz(Covariances,Means,N,0.5);
var MinVariance = markowitzReturn(0,0);
markowitzReturn(Weights,MinVariance+VFactor/100.*(BestVariance-MinVariance));

for(i=0; i<N; i++)
{
asset(Names[i]);
Stop=priceClose()-(3*ATR(30));
Trail=ATR(2);
MarginCost = priceClose()/LEVERAGE;
int Position = TotalCapital*Weights[i]/MarginCost;

//printf("n%s: %d Contracts at %.0f$",Names[i],Position,priceClose());

if(tdm() == 1 )
{
if(Position>LotsPool)
{
enterLong(Position-LotsPool);//Position-LotsPool);

}
else if(Position<LotsPool)
{
exitLong(0,0,LotsPool-Position);//0,0,LotsPool-Position);
}
}
}

}



THanks
Vincenzo

I see indeed no problem in the code at first glance. The stop is initially ok and then wrong trailed due to a wrong price for MSFT.

Which Zorro version is that? Do you trade via TWS or via Gateway?

Hi Jcl,
Is Zorro 1.58.
And I'm using the Gateway.
For the possible wrong price, is there an outlier control in the IB plugin ?

Thanks
VIncenzo

Not in the plugin, but Zorro has an outlier control. It does not look like an outlier, but more like a permanently wrong price. Can you contact Support, and send them the .diag file if you have one?

Just sent to support.
Thanks
Vincenzo