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SessionLastBar & Strategy Engine Calculation
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SessionLastBar & Strategy Engine Calculation

  #1 (permalink)
Elite Member
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SessionLastBar & Strategy Engine Calculation

Hi guys, I have finished reading the EL essentials PDF and I'm trying to understand how the machine calculates a strategy. The PDF mentions that by default, the strategy is calculated once at the CLOSE of the bar.

Here's a simple code on 60 min GBP/USD. I understand what's going on but trying to figure out how the machine processed it.

input: mycounter(0);
vars: mycount(0) ;

if sessionlastbar[1] then mycount = 0;
mycount= mycount +1;

if mycounter = mycount then buy next bar at market;
if marketposition = 1 then sell next bar at market;


When mycounter=1 this code buys at the open of the first bar of the session and sells at the open of the bar after it as shown in the attached screenshot.

At the close of the last bar in the session (the 16:59 bar) ---> sessionlastbar[1] is FALSE so how is it buying at the open of the 18:00 bar? It only becomes true once the 18:00 bar closes.

Please excuse my newbie-ness

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SessionLastBar & Strategy Engine Calculation-example.png  
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  #3 (permalink)
Market Wizard
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juveman11,

I would suggest to add print statements to your code, so you know what's going on internally.

Something like this should show you what your code sees:

 
Code
Print( DateTimeToString( DateTime ), "; sessionlastbar = ", sessionlastbar, "; sessionlastbar[1] = ", sessionlastbar[1], "; mycounter = ", mycounter, "; mycount = ", mycount ) ;
Based on that you should gain more insights. I'd also suggest checking your session template, just to make sure that there aren't sessions ending at 1600.

Regards,

ABCTG

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  #4 (permalink)
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ABCTG,

The session ends at the 16:59 bar, it even shows a dotted vertical line on my chart and I checked by plotting the session end time.

Using the print function, it is telling me that BOTH sessionlastbar and sessionlastbar[1] are true at the 16:59 bar every single time....strange

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  #5 (permalink)
Market Wizard
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juveman11,

not all reserved words can be back referenced (meaning give you the values they had on previous bars - they could simply return the current bar's value even when you check for [1]), therefore it's usually a good practice to store the reserved word in a variable and reference the variable in your code.

Regards,

ABCTG

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  #6 (permalink)
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ABCTG View Post
juveman11,

not all reserved words can be back referenced (meaning give you the values they had on previous bars - they could simply return the current bar's value even when you check for [1]), therefore it's usually a good practice to store the reserved word in a variable and reference the variable in your code.

Regards,

ABCTG

Just tried it and you're right! Thanks!

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  #7 (permalink)
Market Wizard
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juveman11,

great, thanks for letting me know.

Regards,

ABCTG

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  #8 (permalink)
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ABCTG View Post
juveman11,

not all reserved words can be back referenced (meaning give you the values they had on previous bars - they could simply return the current bar's value even when you check for [1]), therefore it's usually a good practice to store the reserved word in a variable and reference the variable in your code.

Regards,

ABCTG

What's the definition of this function (sessionlastbar) - I don't see it available in Tradestation.

thx

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  #9 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,731 since Apr 2013
Thanks: 265 given, 998 received
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andby,

it's a reserved word that is exclusive to Multicharts.

Regards,

ABCTG


andby View Post
What's the definition of this function (sessionlastbar) - I don't see it available in Tradestation.

thx


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  #10 (permalink)
Elite Member
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Futures Experience: Beginner
Platform: Multiple:research&executi
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Posts: 145 since Jul 2012
Thanks: 82 given, 58 received



ABCTG View Post
andby,

it's a reserved word that is exclusive to Multicharts.

Regards,

ABCTG

Alright, so no custom equivalent function written in EL that could be imported?

Understood ...

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