Preventing limit orders to be taken at the same price on the next bar

April 21st, 2023, 01:13 PM

I have a code that takes multiple limit orders over several bars. The problem is that it doesn't store the entry price of the orders that executes, so it takes the same limit order on the next bar, instead of taking a lower limit order, or neglect the limit order if it doesn't come down the price.

April 22nd, 2023, 04:05 PM

Nope, the strategy does not store the entry price unless you create a variable for it, store the value to the variable, and query the value of the variable to compare it to the potentially new entry price. lol - yeah you have some additional code to create to make it work.

April 27th, 2023, 04:50 AM

Hi, thanks for the answer. Yes I know it doesn't store the price. However I got it to work by checking the number of contracts that the strategy have taken, and then disabling the limit prices based on that. Ex:

Code

if currentcontracts = 0 then
begin
    EntryLimit1 = true;
    EntryLimit2 = true;
    EntryLimit3 = true;
    EntryLimit4 = true;
 end
else if currentcontracts = 1 then
begin
    EntryLimit1 = false;
    EntryLimit2 = true;
    EntryLimit3 = true;
    EntryLimit4 = true;
end
else if currentcontracts = 2 then
begin
    EntryLimit1 = false;
    EntryLimit2 = false;
    EntryLimit3 = true;
    EntryLimit4 = true;
end
else if currentcontracts = 3 then
begin
    EntryLimit1 = false;
    EntryLimit2 = false;
    EntryLimit3 = false;
    EntryLimit4 = true;
end;
end;

if entrysignal then
begin
    if EntryLimit1 then Buy("BuyLimit1") 1 contract next bar at PivotLowPrice * (1 + (EntryPercentageAbovePivotLow * 0.0001)) limit;
    if EntryLimit2 then Buy("BuyLimit2") 1 contract next bar at PivotLowPrice * (1 + (EntryPercentageAbovePivotLow * 0.00008)) limit;
    if EntryLimit3 then Buy("BuyLimit3") 1 contract next bar at PivotLowPrice * (1 + (EntryPercentageAbovePivotLow * 0.00006)) limit;
    if EntryLimit4 then Buy("BuyLimit4") 1 contract next bar at PivotLowPrice * (1 + (EntryPercentageAbovePivotLow * 0.00004)) limit;
end;

April 27th, 2023, 02:41 PM

Nice! I'd not have thought of doing it that way but I like it -- simple and straight forward.

Preventing limit orders to be taken at the same price on the next bar

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Preventing limit orders to be taken at the same price on the next bar