How-to-prioritize-symbols-before-other-when-selling

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using System.Collections.Generic;

namespace WealthScript4 
{   
   public class NSF_strategy : UserStrategyBase
   {      
      private static List<BarHistory> Buys = new List<BarHistory>();
      TimeSeries _Ts_Rtn;
      double _TE_val;
      
      public NSF_strategy()
      {
         AddParameter(" Window ", ParameterTypes.Int32, 5, 5, 60, 1);
      }
      
      public override void Initialize(BarHistory bars)
      {
         StartIndex = Parameters[0].AsInt;
         _Ts_Rtn = new TimeSeries(bars.DateTimes, 0);
         
         for (int i = StartIndex; i < bars.Count -1; i++)
            _Ts_Rtn[i] = (bars.Close[i] - bars.Close[i - StartIndex]) / bars.Close[i - StartIndex];

         bars.Cache["Return"] = _Ts_Rtn;

         PlotTimeSeries(_Ts_Rtn, "T(5)-T(0)", "ReturnTimeSeries_Pane");
      }
      
        public override void PreExecute(DateTime dt, List<BarHistory> participants)
        {   
         foreach (BarHistory bh in participants)
         {
               TimeSeries _TE = (TimeSeries)bh.Cache["Return"];
               int idx = GetCurrentIndex(bh);
               _TE_val = _TE[idx];
               bh.UserData = _TE_val;
         }
         participants.Sort((a, b) => -a.UserDataAsDouble.CompareTo(b.UserDataAsDouble)); //H to L
         
         Buys.Clear();
         Buys.Add(participants[0]);
        }

        public override void Execute(BarHistory bars, int idx)
      {
         bool _BuyList = Buys.Contains(bars);
         
         if(((int)bars.GetDate(idx).DayOfWeek).ToString() == "4")
         {
            if (!_BuyList)
            {
               if (HasOpenPosition(bars, PositionType.Long))
                  ClosePosition(LastPosition, OrderType.Market);
            }
            else if (_BuyList)
            {
               if (!HasOpenPosition(bars, PositionType.Long))
               {
                  var Q = Math.Floor(CurrentEquity * 1 / bars.Close[idx]);
                  PlaceTrade(bars, TransactionType.Buy, OrderType.Market).Quantity = Q;
               }
            }
         }
      }
   }
}

QUOTE:

I actually can't duplicate the 2-symbol issue with the 2 instruments I tested with (ZS, TTD).

However, your logic requires a DayOfWeek = 4 to execute. That would be a problem if one of the instruments doesn't trade on that day. Check the questionable trades and the data for that week. Maybe there's a day or two missing.

CODE:

         string Result = string.Format(" {0:20} {1:20} \r\n {2:20} {3:20} \r\n {4:20} {5:20} \r\n {6:20} {7:20} \r\n {8:20} {9:20}"
            , " Today = ", bars.GetDate(idx).ToString("yyyy/M/d")
            , " Symbol = ", bars.Symbol
            , " NextDayIsTrading = ", bars.Market.IsTradingDay(bars.GetDate(idx).AddDays(1))
            , " NextDate = ", bars.GetDate(idx).AddDays(1).ToString("yyyy/M/d")
            , " NextDateOfWeek = ", ((int)bars.GetDate(idx).AddDays(1).DayOfWeek).ToString());
         WriteToDebugLog("----------------------------------");
         WriteToDebugLog(Result);

QUOTE:
But, if we're talking about market orders, if I'm not mistaken, exits at market will occur first by backtest design.