TS inter bar order work around
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TS inter bar order work around


EasyLanguage Programming

Created December 12th 2010 by workyboy
Updated May 7th 2018 by supergonzo
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TS inter bar order work around

  #11 (permalink)
Lakeland, FL USA
 
 
Posts: 7 since Dec 2010
Thanks: 1 given, 0 received

The goal is a strategy that will send orders inter bar from range type bars.
Let me see if I have this right.
Build a synthetic bar as you noted above.
Inserts code for the indicator that is driven by the code for the synthetic bar.
Take the above two statements and insert that into a strategy and code the strategy to be driven by the indicator driven by the synthetic bar.
Then place that strategy into a tick chart and and it should be able to place orders inter bar.
I think it will work and I'll let you know if I have any success.
Thank you

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  #12 (permalink)
Chicago, IL
 
 
Posts: 52 since Jul 2013
Thanks: 29 given, 1 received


Big Mike View Post
Only speaking from MultiCharts experience, not TradeStation, but make data1 a 1-range or 1-tick chart, and data2 the "useful" chart that you desire (kase, range, whatever) and then you can do your calculations on data 2 including predicting the closing price of the bar, and submit your orders via data1.

Mike

This solution makes sense, I just can't get it to work.

An example:
Data1 = 1 Minute
Data2 = 30 Minute
Data3 = 180 Minute

Even with data1 being one minute, all of the orders are being executed on 00 & 30 past the hour (or 01, 31). There's a stochastic trigger on data2 but I just can't get it to execute except on the data2 closes! Very frustrating.

Thing is: if you have the strategy turned off & then turn it on, it will enter into a position at any time it's triggered. It's getting out whenever it's triggered is my problem. I want it to get out regardless of the time (or close, etc).

Any possible ideas would be greatly apprecited!


Last edited by djvie11; December 16th, 2015 at 08:34 AM. Reason: further explanation
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  #13 (permalink)
Chicago, IL
 
 
Posts: 52 since Jul 2013
Thanks: 29 given, 1 received


bump!!

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  #14 (permalink)
Russia
 
Trading Experience: Beginner
Platform: NinjaTrader MultiCharts
 
Posts: 5 since Dec 2010
Thanks: 1 given, 0 received


Big Mike View Post
Only speaking from MultiCharts experience, not TradeStation, but make data1 a 1-range or 1-tick chart, and data2 the "useful" chart that you desire (kase, range, whatever) and then you can do your calculations on data 2 including predicting the closing price of the bar, and submit your orders via data1.

Mike

Hi Mike!
May be you have some piece of code? Its very difficult for me to realize.
I have 2 charts: 1 tick range and 1 minute. And i want to sell if level broken

and no matter -10 point or -1 poin - sell began on the same price((

if condition3 and condition5 and LastDelayLow then
begin
Sell Short ( "S" ) next bar at oPivotPriceLow -10 point stop;
// Sell Short ( "S" ) next bar market;
LastDelayLow = false;
end;

or

if condition3 and condition5 and LastDelayLow then
begin
Sell Short ( "S" ) next bar at oPivotPriceLow -1 point stop;
// Sell Short ( "S" ) next bar market;
LastDelayLow = false;
end;

the same

many many thanks!

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  #15 (permalink)
new york
 
Trading Experience: Advanced
Platform: tradestation
Favorite Futures: stocks
 
Posts: 5 since Feb 2011
Thanks: 2 given, 1 received

You can only use if CurrentBar > 2 and Value1 crosses over Value2 then
Buy ( "MacdLE" ) this bar at CLOSE ;


In any case none of the bars that use filled in data points will test accurately regardless. (Kase, Range, Renko, Renko+).

The strategy will think you entered on the exact close of the bar, which is very far in most cases from where the actual price is. Renko bars with "wicks" help, but are also inaccurate. All results will be overly optimistic, so much so, that the actual strategy will in reality not work at all near your expectations.

Run your strategy in Tradestation on one of these bars live and you will see a loss accumulating in the PNL bar in the left corner, Lets say of $1000.00 Then go to the Performance Summary and go look up the exact trade in the trade list that just happened, and you will see a loss of maybe $300.00 or even a gain!

Just doesn't work unless every single tick is counted, which is just not practical unless your running a "Watson" computer at home. Even then you have to reconstruct this to the exact times offline. Even third party vendors who supposedly do this will only allow a few days of tick accumulation , which is certainly not enough to make any kind of conclusions about strategies. Which is why most strategies from most platform vendors use "on bar close". Under normal bar types this is sufficent, but on "advanced types" it just doesn't work.

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