Order Entry, Target, Trailing Stop, and Exit

ABCTG · November 15th, 2015, 04:11 AM

DrRon,

you should study how the reserved words for SetProfitTarget and SetStopLoss work and should be used. Take a look at the build in Profit Target and Stop Loss signals.
They are still placed inside your conditions and this will most likely result in your entries being without stops and targets at some point.

Regards,
ABCTG

November 15th, 2015, 07:46 PM

ABCTG

DrRon,

you should study how the reserved words for SetProfitTarget and SetStopLoss work and should be used. Take a look at the build in Profit Target and Stop Loss signals.
They are still placed inside your conditions and this will most likely result in your entries being without stops and targets at some point.

Regards,
ABCTG

Thank you ABCTG! I've made considerable progress in the coding of my order execution strategy. However, I've noticed that not every new bar is getting me in the trade. Also, it appears that every trade I'm getting in is getting me in at the opening of the new bar- NOT the high/low of the previous bar, as ordered. Any input would be greatly appreciated.

Code

[IntrabarOrderGeneration = True]

Inputs:
Numb_Shares(10), //[DisplayName="Number of Shares",ToolTip="Enter the number of shares per trade."],
Min_Range(.01), //[DisplayName="Minimum Range",ToolTip="Minimum range to trade."],
Max_Range(100), //[DisplayName="Maximum Range",ToolTip="Maximum range to trade."],
Bullish(1), //[DisplayName="Bullish Trades",ToolTip="Do you want to take bullish trades?(0=No/1=Yes)"],
Bearish(1), //[DisplayName="Bearish Trades",ToolTip="Do you want to take bearish trades?(0=No/1=Yes)"],
BlTgt_Thres(.2), //[DisplayName="Bull Target Threshold",ToolTip="What target threshold do wish to trade with?"],
BlStp_Thres(.8), //[DisplayName="Bull Stop Threshold",ToolTip="What stop threshold do wish to trade with?"],
BrTgt_Thres(.4), //[DisplayName="Bear Target Threshold",ToolTip="What target threshold do wish to trade with?"],
BrStp_Thres(1); //[DisplayName="Bear Stop Threshold",ToolTip="What stop threshold do wish to trade with?"];

Variables:
Bull(False),
Bear(False),
BuyTarget(0),
SellTarget(0),
BuyStop(0),
SellStop(0);

If BarStatus(1)=2 And Range>=Min_Range And Range<=Max_Range Then
Begin
	Bull=Open<Close;
	Bear=Open>Close;
	Print(File("c:\testOrderExe.txt"),Date,Time,Close);
	If MarketPosition(0)=0 Then
	Begin
		If Bullish=1 And Bull
		Then
		Begin
			BuyTarget=Range*BlTgt_Thres;
			BuyStop=Range*BlStp_Thres;
			Print(File("c:\testOrderExe.txt"),Date,Time,Close," Bullish ",High,(High+BuyTarget),(High-BuyStop));
			Buy Numb_Shares Shares Next Bar At High Stop;
		End
		Else
		If Bearish=1 And Bear
		Then
		Begin
			SellTarget=Range*BrTgt_Thres;
			SellStop=Range*BrStp_Thres;
			Print(File("c:\testOrderExe.txt"),Date,Time,Close," Bearish ",Low,(Low-SellTarget),(Low+SellStop));
			SellShort Numb_Shares Shares Next Bar At Low Stop;
		End;
	End;	
End;
If MarketPosition(0)=1 Then
Begin
	Print(File("c:\testOrderExe.txt"),Date,Time,Close," Bullxxh ",High,(High+BuyTarget),(High-BuyStop));
	SetStopShare;
	SetProfitTarget(BuyTarget);
	SetStopLoss(BuyStop);
End;
If MarketPosition(0)=-1 Then
Begin
	Print(File("c:\testOrderExe.txt"),Date,Time,Close," Bearxxh ",Low,(Low-SellTarget),(Low+SellStop));
	SetStopShare;
	SetProfitTarget(SellTarget);
	SetStopLoss(SellStop);
End;

ABCTG · November 17th, 2015, 04:27 AM

DrRon,

you might want to add print statements to check your conditions on the bars that don't get you in a trade. So you can check what happens there. If you are already inside a position, this might just be caused by your pyramiding settings that block new trades.
Using your code I don't see any situation on a chart where the trade entry is not at the high or low of the previous bar (or higher/lower due to the stop order). What chart symbol and time frame did you use. Can you post an example of a specific situation?

On a side note, with intrabar order generation you should use the look inside bar backtesting feature if you don't already.

Regards,

ABCTG

DrRon

Thank you ABCTG! I've made considerable progress in the coding of my order execution strategy. However, I've noticed that not every new bar is getting me in the trade. Also, it appears that every trade I'm getting in is getting me in at the opening of the new bar- NOT the high/low of the previous bar, as ordered. Any input would be greatly appreciated.

Code

[IntrabarOrderGeneration = True]

Inputs:
Numb_Shares(10), //[DisplayName="Number of Shares",ToolTip="Enter the number of shares per trade."],
Min_Range(.01), //[DisplayName="Minimum Range",ToolTip="Minimum range to trade."],
Max_Range(100), //[DisplayName="Maximum Range",ToolTip="Maximum range to trade."],
Bullish(1), //[DisplayName="Bullish Trades",ToolTip="Do you want to take bullish trades?(0=No/1=Yes)"],
Bearish(1), //[DisplayName="Bearish Trades",ToolTip="Do you want to take bearish trades?(0=No/1=Yes)"],
BlTgt_Thres(.2), //[DisplayName="Bull Target Threshold",ToolTip="What target threshold do wish to trade with?"],
BlStp_Thres(.8), //[DisplayName="Bull Stop Threshold",ToolTip="What stop threshold do wish to trade with?"],
BrTgt_Thres(.4), //[DisplayName="Bear Target Threshold",ToolTip="What target threshold do wish to trade with?"],
BrStp_Thres(1); //[DisplayName="Bear Stop Threshold",ToolTip="What stop threshold do wish to trade with?"];

Variables:
Bull(False),
Bear(False),
BuyTarget(0),
SellTarget(0),
BuyStop(0),
SellStop(0);

If BarStatus(1)=2 And Range>=Min_Range And Range<=Max_Range Then
Begin
	Bull=Open<Close;
	Bear=Open>Close;
	Print(File("c:\testOrderExe.txt"),Date,Time,Close);
	If MarketPosition(0)=0 Then
	Begin
		If Bullish=1 And Bull
		Then
		Begin
			BuyTarget=Range*BlTgt_Thres;
			BuyStop=Range*BlStp_Thres;
			Print(File("c:\testOrderExe.txt"),Date,Time,Close," Bullish ",High,(High+BuyTarget),(High-BuyStop));
			Buy Numb_Shares Shares Next Bar At High Stop;
		End
		Else
		If Bearish=1 And Bear
		Then
		Begin
			SellTarget=Range*BrTgt_Thres;
			SellStop=Range*BrStp_Thres;
			Print(File("c:\testOrderExe.txt"),Date,Time,Close," Bearish ",Low,(Low-SellTarget),(Low+SellStop));
			SellShort Numb_Shares Shares Next Bar At Low Stop;
		End;
	End;	
End;
If MarketPosition(0)=1 Then
Begin
	Print(File("c:\testOrderExe.txt"),Date,Time,Close," Bullxxh ",High,(High+BuyTarget),(High-BuyStop));
	SetStopShare;
	SetProfitTarget(BuyTarget);
	SetStopLoss(BuyStop);
End;
If MarketPosition(0)=-1 Then
Begin
	Print(File("c:\testOrderExe.txt"),Date,Time,Close," Bearxxh ",Low,(Low-SellTarget),(Low+SellStop));
	SetStopShare;
	SetProfitTarget(SellTarget);
	SetStopLoss(SellStop);
End;

November 20th, 2015, 02:50 PM

Thank you ABCTG. I have placed plenty of print statements inside conditions on the bars and am getting a very deep understanding of how orders are executed with EasyLanguage. I'm using AMZN-15M chart as a sample.

A problem I'm in the middle of, at the moment, is when MarketPosition becomes a 1, I push SetprofitTarget and SetStopLoss orders. When it is filled one way or another, what do I look for in order to know it has been filled?

Also, would you kindly provide a link for me to read about Intrabar "look inside bar" backtesting feature please?

ABCTG · November 20th, 2015, 03:10 PM

DrRon,

I would have to look it up in the Tradestation wiki, forum or helpfile, too. You should be able to find it in all three.
You can also use Google to find something.

Regards,

ABCTG

DrRon

Also, would you kindly provide a link for me to read about Intrabar "look inside bar" backtesting feature please?

ABCTG · November 21st, 2015, 05:22 AM

DrRon,

when your MarketPosition changes from 1 to 0 an exit took place. You can then check if the trade exited with a profit or loss and thus know if your target or stop was hit.
If you need more information you can obtain order names etc. via Object Oriented Easylanguage, but I would advise to only start using that once you have a solid EasyLanguage foundation to build onto.

Regards,

ABCTG

DrRon

A problem I'm in the middle of, at the moment, is when MarketPosition becomes a 1, I push SetprofitTarget and SetStopLoss orders. When it is filled one way or another, what do I look for in order to know it has been filled?

November 23rd, 2015, 04:52 PM

[UPDATE] I created a flag that would indicate where we are in the process and after exhaustive troubleshooting I discovered that when I'm declaring this flag under variables, I must declare it as IntraBarPersist when IOG is true!

ABCTG · November 24th, 2015, 03:33 AM

DrRon,

this goes for all your variables that you want to update intrabar, otherwise they might not hold the correct values.

Regards,

ABCTG

DrRon

[UPDATE] I created a flag that would indicate where we are in the process and after exhaustive troubleshooting I discovered that when I'm declaring this flag under variables, I must declare it as IntraBarPersist when IOG is true!

November 24th, 2015, 01:43 PM

Thanks ABCTG! I wish someone had told me about this. After putting Print at every turn, I noticed that my flag was changing values (like it had a mind of its own). I dug deeper into declaring variables and discovered IntraBarPersist!

Order Entry, Target, Trailing Stop, and Exit

Discussion in EasyLanguage Programming

Order Entry, Target, Trailing Stop, and Exit