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Entering with a limit order vs. market order
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Entering with a limit order vs. market order

  #1 (permalink)
Trading Apprentice
Port St. Lucie, FL
 
Futures Experience: Advanced
Platform: Tradestation 9.5
Favorite Futures: Emini
 
Posts: 9 since Jul 2016
Thanks: 6 given, 1 received

Entering with a limit order vs. market order

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

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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Donovan2580 View Post
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;

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)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
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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

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  #5 (permalink)
Trading Apprentice
Port St. Lucie, FL
 
Futures Experience: Advanced
Platform: Tradestation 9.5
Favorite Futures: Emini
 
Posts: 9 since Jul 2016
Thanks: 6 given, 1 received

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.

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  #6 (permalink)
Trading Apprentice
Port St. Lucie, FL
 
Futures Experience: Advanced
Platform: Tradestation 9.5
Favorite Futures: Emini
 
Posts: 9 since Jul 2016
Thanks: 6 given, 1 received

ABCTG,

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

Thanks,

Donovan

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  #7 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
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Favorite Futures: futures
 
Posts: 2,347 since Jul 2012
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Donovan2580 View Post
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...

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  #8 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
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Favorite Futures: ES
 
Posts: 1,430 since Apr 2013
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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

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  #9 (permalink)
Trading Apprentice
Port St. Lucie, FL
 
Futures Experience: Advanced
Platform: Tradestation 9.5
Favorite Futures: Emini
 
Posts: 9 since Jul 2016
Thanks: 6 given, 1 received

Thanks for your help

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

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  #10 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,430 since Apr 2013
Thanks: 222 given, 816 received
Forum Reputation: Legendary


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

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