Entering with a limit order vs. market order

August 6th, 2017, 06:22 PM

Hello everyone,

My current strategy is entering "At the market" at the proper time, and always at the open of the proper bar.

My question is this:

How can I generate a limit order at the price of the open of that same bar?

Here is the basic code I am currently using to generate the position.

If Condition3 and Condition2 Then begin Buy ("LE") next bar at Market;

Any help would be greatly appreciated.

I apologize if this is a silly question, but everything I have tried pushes me out to the following bar.

Thanks in advance,

Donovan

kevinkdog · August 6th, 2017, 09:17 PM

Donovan2580

Hello everyone,

My current strategy is entering "At the market" at the proper time, and always at the open of the proper bar.

My question is this:

How can I generate a limit order at the price of the open of that same bar?

Here is the basic code I am currently using to generate the position.

If Condition3 and Condition2 Then begin Buy ("LE") next bar at Market;

Any help would be greatly appreciated.

I apologize if this is a silly question, but everything I have tried pushes me out to the following bar.

Thanks in advance,

Donovan

I have never used this, so you'd want to test and verify:

Buy next bar at open next bar limit;

ABCTG · August 7th, 2017, 02:23 AM

Donovan2580,

another approach would be to use intrabar order generation and to issue the limit order once you have the open of the bar.

Regards,

ABCTG

August 7th, 2017, 10:36 AM

I have tried:

Buy next bar at open next bar limit

And it works, but it pushes me out a bar. That is what I am trying to avoid.

August 7th, 2017, 10:41 AM

ABCTG,

Two questions - how do I activate intrabar order generation & what code would I use to issue the limit order?

Thanks,

Donovan

kevinkdog · August 7th, 2017, 11:16 AM

Donovan2580

I have tried:

Buy next bar at open next bar limit

And it works, but it pushes me out a bar. That is what I am trying to avoid.

I don't see what you are talking about, maybe I misunderstand. I tried both cases shown below, and they work as they should... the decision is marked with vertical line in both cases...

ABCTG · August 7th, 2017, 11:18 AM

Donovan2580,

this explains intrabar order generation reserved word, that you can set within the code:
IntraBarOrderGeneration (Reserved Word)

I would also suggest to read about the look inside bar backtesting feature of Tradestation to allow for a more accurate backtesting result, especially when it comes to intrabar order generation.

For orders "next bar" when intrabar order generation is active, means the next tick, so "Buy next bar at open limit; "
could work for you.

Regards,

ABCTG

August 16th, 2017, 02:45 PM

I just wanted to say thanks for the help and suggestions.

I ended up resolving this issue with the following code:

Then begin Buy next bar (Close + .25) limit;

I probably had an odd situation because I am working on KASE bar charts so in the end, I was able to work off the close of the "Trigger bar"

Thanks again for everyone's help!

Donovan

ABCTG · August 17th, 2017, 03:04 AM

Donovan2580,

you might want to take a look at this link showing some points to keep in mind when working on what TS calls "Advanced Bars" (like Kase), as you can easily fall into some pitfalls and create great looking backtests that will never hold up in real trading:
Advanced Chart Types - Strategy Back-testing & Automation

Regards,

ABCTG

Entering with a limit order vs. market order

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Entering with a limit order vs. market order