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Latency in Easylanguage
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Latency in Easylanguage

  #1 (permalink)
Elite Member
Madrid Spain
 
Futures Experience: Master
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Latency in Easylanguage

Hi, I have been researching a lot about this subject and finally have arrived to the conclusion that with this two sentences for instance:

Buy next bar at market;

Buy next bar at ... limit;

There is a latency not simple to see. One would expect to buy at market or to place the limit order in the moment the strategy generates the order, however "Next Bar" implies that for the strategy to send the order to the broker the next bar that we are trying to buy has to be formed with at least one tick. In higly liquid markets this could be a bunch of milliseconds but in other not so liquid it could be perfectly 1 min. I have realised that in some cases my order gets filled two bars after the order should theoretically be sent.

I'll appreciate some comments on this, and if someone would know how to send the order in the instant that the last bar close, not waiting for a new tick in the next bar, or if this could be fixed in other platforms. Thanks.

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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martingjesus View Post
Hi, I have been researching a lot about this subject and finally have arrived to the conclusion that with this two sentences for instance:

Buy next bar at market;

Buy next bar at ... limit;

There is a latency not simple to see. One would expect to buy at market or to place the limit order in the moment the strategy generates the order, however "Next Bar" implies that for the strategy to send the order to the broker the next bar that we are trying to buy has to be formed with at least one tick. In higly liquid markets this could be a bunch of milliseconds but in other not so liquid it could be perfectly 1 min. I have realised that in some cases my order gets filled two bars after the order should theoretically be sent.

I'll appreciate some comments on this, and if someone would know how to send the order in the instant that the last bar close, not waiting for a new tick in the next bar, or if this could be fixed in other platforms. Thanks.

Did you try "buy this bar at close;" ??

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #4 (permalink)
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Madrid Spain
 
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I think that should work with market orders, but with limit orders?

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  #5 (permalink)
Market Wizard
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martingjesus View Post
I think that should work with market orders, but with limit orders?

Right, it won't work with limit orders.

One thing to consider is that Tradestation (or any commercial software, possibly) might not be the right tool for what you are wanting to do.

For example, I'd never attempt to use TS for a scalping type strategy.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #6 (permalink)
Market Wizard
Hamburg Germany
 
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martingjesus,

Multicharts and Tradestation for that matter are event driven, meaning the code gets executed only when there is an event triggering it - in general that would be a new tick arriving.
You can look into using timers to forcefully recalculate your code and send orders even when there is no new tick arriving. The one "limitation" for that is that is, it only works in realtime.

Regards,
ABCTG


Last edited by ABCTG; September 27th, 2015 at 06:46 AM.
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