Поймал. вот что мы имеем
16:59:23,578 - Buy left part spread start. SRU0 BA = 7567, SBER03 BB =
75,4
16:59:23,578 - Buy left part spread end. SRU0 BA = 7567, SBER03 BB =
75,4
Это вставил заявку в результате срабатывания сигнала
16:59:24,093 - Check open long spread order. A = 35,125000, ? = 39,0,
(A-?*?) = 41,125000, signal is 0 < 39,0 - 41,125000 <= 2, alpha = 6,
sigma = 1
16:59:24,093 - Prices: SRU0 BA = 7570, SBER03 BB = 75,3
16:59:24,093 - Try cancel order 1883929777, State = Active, Status =
Done
16:59:24,093 - Canceling succesful
это проверка сигнала. в данном случае сигнал ушел, поэтому мы отменяем
заявку.Проверяем и отменяем в цикле до тех пор, пока статус не станет
Done. Canceling succesful - т.к. режим ассинхронный, и CancelOrder не
вызывает исключений
16:59:24,109 - Check open long spread order. A = 35,125000, ? = 39,0,
(A-??) = 41,125000, signal is 0 < 39,0 - 41,125000 <= 2, alpha = 6,
sigma = 1
16:59:24,109 - Prices: SRU0 BA = 7570, SBER03 BB = 75,3
16:59:24,109 - Try cancel order 1883929777, State = Active, Status =
Done
16:59:24,109 - Canceling succesful
16:59:24,125 - Check open long spread order. A = 35,125000, ? = 39,0,
(A-??) = 41,125000, signal is 0 < 39,0 - 41,125000 <= 2, alpha = 6,
sigma = 1
16:59:24,125 - Prices: SRU0 BA = 7570, SBER03 BB = 75,3
16:59:24,125 - Try cancel order 1883929777, State = Active, Status =
Done
16:59:24,125 - Canceling succesful
16:59:24,140 - Check open long spread order. A = 35,125000, ? = 39,0,
(A-??) = 41,125000, signal is 0 < 39,0 - 41,125000 <= 2, alpha = 6,
sigma = 1
16:59:24,140 - Prices: SRU0 BA = 7570, SBER03 BB = 75,3
16:59:24,140 - Try cancel order 1883929777, State = Active, Status =
Done
16:59:24,140 - Canceling succesful
16:59:24,156 - Check open long spread order. A = 35,125000, ? = 39,0,
(A-??) = 41,125000, signal is 0 < 39,0 - 41,125000 <= 2, alpha = 6,
sigma = 1
16:59:24,156 - Prices: SRU0 BA = 7570, SBER03 BB = 75,3
16:59:24,156 - Try cancel order 1883929777, State = Active, Status =
Done
16:59:24,156 - Canceling succesful
16:59:24,171 - Check open long spread order. A = 35,125000, ? = 39,0,
(A-??) = 41,125000, signal is 0 < 39,0 - 41,125000 <= 2, alpha = 6,
sigma = 1
16:59:24,171 - Prices: SRU0 BA = 7570, SBER03 BB = 75,3
16:59:24,171 - Try cancel order 1883929777, State = Active, Status =
Done
16:59:24,171 - Canceling succesful
16:59:24,187 - Check open long spread order. A = 35,125000, ? = 39,0,
(A-??) = 41,125000, signal is 0 < 39,0 - 41,125000 <= 2, alpha = 6,
sigma = 1
16:59:24,187 - Prices: SRU0 BA = 7570, SBER03 BB = 75,3
16:59:24,187 - Try cancel order 1883929777, State = Active, Status =
Done
16:59:24,187 - Canceling succesful
16:59:24,203 - Check open long spread order. A = 35,125000, ? = 39,0,
(A-??) = 41,125000, signal is 0 < 39,0 - 41,125000 <= 2, alpha = 6,
sigma = 1
16:59:24,203 - Prices: SRU0 BA = 7570, SBER03 BB = 75,3
16:59:24,203 - Try cancel order 1883929777, State = Active, Status =
Done
16:59:24,203 - Canceling succesful
16:59:24,218 - Check open long spread order. A = 35,125000, ? = 39,0,
(A-??) = 41,125000, signal is 0 < 39,0 - 41,125000 <= 2, alpha = 6,
sigma = 1
16:59:24,218 - Prices: SRU0 BA = 7570, SBER03 BB = 75,3
16:59:24,218 - Try cancel order 1883929777, State = Active, Status =
Done
16:59:24,218 - Canceling succesful
и вот на этом месте статус меняется, но баланс все равно 4, и робот
уходит в ветку, где статус = Done и IsFilledEmpty = true. Хотя на деле
баланс = 0.
А дальше идет лог из OrderChaged:
16:59:24,546 - OrderId = 1883929777 State = Done Bal = 0 TrId =
60554 Time = 16:59:23 Now = 16:59:24.5468750
16:59:24,546 - OrderId = 1883929777 State = Done Bal = 0 TrId =
60554 Time = 16:59:23 Now = 16:59:24.5468750
16:59:24,546 - OrderId = 1883929777 State = Done Bal = 0 TrId =
60554 Time = 16:59:23 Now = 16:59:24.5468750