The following is related to my monthly R1000 rotational system.

My system uses a MAX Position of 5.

Last night it was time to rotate. I use RealTest to generate the CSV Order file, which includes the both Sell/Buy orders.

There are 5 Sell orders and 5 new Buy orders.

I load the CSV into my R1000 SmartAPI and send the orders to TWS…. I can see both Buy/Sell orders listed in TWS….. all good.

I login this morning to check all my orders… and see that there is a mixture of weird BUY/SELL orders…. e.g. some of the BUY orders executed successfully only to then see the position reversed and sold several seconds after the BUY was executed.

5 of my original SELL orders went through only to see 1 of the position ‘bought back’???? WTF?

Of the 5 new BUY orders, (only) 3 positions were executed successfully…. then 2 of those BUY orders were then reversed and SOLD off…. WTF?

The positions were being re-bought/re-sold about 10 seconds after executing…..

(My other systems executed via SmartAPI all OK overnight…. so the issue I was experiencing seemed isolated to just my R1000 rotational).

I had a quick look through the SMARTAPI logs to see if there was something there that would provide clarity….. I then spotted the following and it immediately clicked as to what probably happened.

2021-06-01 23:30:13,745 DEBUG : [5] – [API–Advanced Logging] Maximum Allowed Fill is : 5
2021-06-01 23:30:13,746 DEBUG : [5] – [API–Advanced Logging] current Filled Amount is : 8

Typically I would manually set my SELL orders directly via TWS…. i.e. for my NDX or ASX100 rather then via the SmartAPI. (This is so I can navigate any margin issues in my cash account, by getting the SELL orders executed and then set my BUY orders to be sent via the SmartAPI 1minute after the market opens etc).

However last night I had available funds to cover any margin issues in my cash account, so I decided to send all BUYs/SELLs together via SmartAPI.

As this system uses a MAX Position of 5, within the SmartAPI I have set MAX Positions Allowed of 5…

I had forgotten to up the MAX Position value to 10, to account for the 5 additional Sell orders…..:silly: this apparently sent the SmartAPI a curve ball (understandably) and when the Max Positions of 5 was exceeded, the SmartAPI tried to ‘manage’ the situation by ‘reversing’ some the executed orders. :blush:

Oh well…. no harm done, I’ll just place the outstanding orders again tonight…..

Just thought I’d share in case others encounter a similar situation….