I've created a scalping rule that will back a horse with certain conditions being met. I've included:
* back bets placed at 15 second intervals
* a fill or kill of 15 seconds
* a 1 tick offset
* an unmatched bet time condition in excess of two seconds.
However, on at least three occasions, my back bets have been matched but their corresponding offset bets have suddenly disappeared. These lay bets don't even sit there unmatched; they simply disappear. It's as if they weren't been placed at all.
I know that the scalps should have been reached because, each time the lay bet misfired, the price ultimately dropped below my intended lay price. So it's not as though the market swung against my position - quite the opposite.
Thus, my long positions remained in place without being offset, which wasn't what the rule was designed to accomplish (consequently wiping out my profits).
To be fair, the majority of the time the rule works. But as a result of the automated scalping rule failing to function properly in a minority of cases, I've suffered damaging losses to my trading balance.
This isn't an exposure problem - some of my long-odds scalps have sailed through without a hitch yet shorter-odds scalps haven't.
Is there a known issue with the software, or am I overlooking something in the rule's design?
Many thanks for your advice.
