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TradeStation - StopLimitOrder + Slippage


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TradeStation - StopLimitOrder + Slippage

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  #1 (permalink)
Stockholm
 
 
Posts: 1 since Nov 2011
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Hello Experts,

We are starting with easylanguage/tradestation. We need some guidance:

Q1: We found that there are two ways to send order. Using simple english (easy language) like "buy at next bar" or code like "StopLimitOrder()"... how to use them interchangeably?

Q2: How to handle slippage?

Q3: How can I close/exit a position after 'x' hours of the time when the order is set (position is opened)?

Hoping to have quick response...

Thanks,
//SC

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SmoothCriminel View Post
Hello Experts,

We are starting with easylanguage/tradestation. We need some guidance:

Q1: We found that there are two ways to send order. Using simple english (easy language) like "buy at next bar" or code like "StopLimitOrder()"... how to use them interchangeably?

Q2: How to handle slippage?

Q3: How can I close/exit a position after 'x' hours of the time when the order is set (position is opened)?

Hoping to have quick response...

Thanks,
//SC

A1: If you are talking about PlaceOrder, I am not sure if MultiCharts supports it. So can't be of much help there.

PlaceOrder Advanced Parameters

A2: If using MultiCharts, you can define slippage in the properties section of the signal. When using market orders or stop market orders, you should add 1 tick of slippage each way even in a liquid market like ES. For thinner markets or faster moving markets, like crude for example, 2 ticks each way is probably sufficient assuming you are not trading news. You should do a live forward test for a large sample size (100+) trades and that can give you an idea of the real world slippage to incorporate into the backtest.

A3: Check the BarsSinceEntry reserved word. Then you can get the time of the entry bar, and compare it to the current time.

Mike

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November 17, 2011


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