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TS with grid orders in EasyLanguage
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TS with grid orders in EasyLanguage

  #1 (permalink)
Trading Apprentice
Milan Italy
 
Futures Experience: Intermediate
Platform: metatrader
Favorite Futures: currency
 
Posts: 2 since Feb 2013
Thanks: 0 given, 0 received

TS with grid orders in EasyLanguage

Hi guys, Iím quite new to programming and need some help for a system Iím trying to code.

I want the TS to buy at MovingAverage Ė X points (first trade).
Then buy every time the price drops Y points following a ďgrid styleĒ.

Example:
X = 40
Y = 30
Moving average @ 240
First buy limit @ 200
Second buy limit @ 170
Third buy limit @ 140
4th buy limit @ 110
5th buy limit @ 80
6thÖ.

And close all open positions once the price touch the MovingAverage.


This is the code I tried to write:

 
Code
inputs: Len(100), X(40), Y(30);
vars: entrylevel(0), previouslevel(0), nextlevel(0);

//first entry
If marketposition = 0 then begin
entrylevel = Average(Close, Len)- X;
buy next bar at entrylevel limit;
end;

//next entries
If marketposition > 0 and currentshares > 0 then begin
   If currentshares>currentshares[1] then previouslevel=minlist(open, nextlevel,entrylevel);
   nextlevel=previouslevel-Y;
end;

if mp>0 then buy next bar at nextlevel limit;

//exit
if marketposition > 0 then sell next bar at Average(Close, Len ) limit;
The problems I find are:
1) The levels arenít always respected (honestly I canít understand why sometime the levels are correct and sometime not)
2) In this way (next bar limit) the orders are executed no more than once per bar, even if a single bar drop more than Y points (that would mean more than a single trade per bar)

Can you guys please help me with this code?
Thank you in advance

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  #3 (permalink)
Trading for Fun
Sunnyvale, CA
 
Futures Experience: Advanced
Platform: TTTrader
Favorite Futures: CL
 
Posts: 160 since Dec 2012
Thanks: 8 given, 94 received


The limit order tells it to buy at that price or better, so are you sure the discrepensy isn't just a reflection of getting it at a better price?

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  #4 (permalink)
Trading Apprentice
Milan Italy
 
Futures Experience: Intermediate
Platform: metatrader
Favorite Futures: currency
 
Posts: 2 since Feb 2013
Thanks: 0 given, 0 received


mwtzzz View Post
The limit order tells it to buy at that price or better, so are you sure the discrepensy isn't just a reflection of getting it at a better price?

hi mwtzzz, I think I can exclude that the different levels the TS buys are due to better price fills because it happens for example that the TS buys few candles after the candle that closed under the theoretical price to buy..

example: the TS bought at 130, next theoretical price to buy is 100
it happens that there are candles that close at let's say 95 and the TS still don't buys the next contract...

(sorry for my bad english)

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  #5 (permalink)
Trading for Fun
Sunnyvale, CA
 
Futures Experience: Advanced
Platform: TTTrader
Favorite Futures: CL
 
Posts: 160 since Dec 2012
Thanks: 8 given, 94 received


Dan46 View Post
hi mwtzzz, I think I can exclude that the different levels the TS buys are due to better price fills because it happens for example that the TS buys few candles after the candle that closed under the theoretical price to buy..

example: the TS bought at 130, next theoretical price to buy is 100
it happens that there are candles that close at let's say 95 and the TS still don't buys the next contract...

(sorry for my bad english)

If you're trying to add to existing position, be sure to enable "pyramiding orders" in Format Strategies > Properties for All.

also use some "Print()" statements for debugging. You can Print the entrylevel and currentshares to make sure it's doing what it should be

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