This is my first real post after being member of this fantastic community for a while. :)
I am currently taking my first steps into automated trading with Ninjatrader (or perhaps Multicharts) and I would like your feedback/help with starting to implement my first strategy.
The idea for my first trading strategy is quite simple:
* I want to trade (fade) the opening gap (cash open - cash close as the session) on the ES-future (SP500)
* The idea comes from the book "Understanding Gaps" by Scott Andrews.
* Based on statistic I will choose to take the trade or not.
* I will use fixed targets and stops (OCOs programmed in an ATM).
* I will only have one potential trade / day
I realize that this will not make me rich, but at least it is a start to learn automated trading, and hopefully learn the challenges.
To be able to program this in Ninjatrader (or maybe Multicharts), I will need a framework doing the following:
1. To be able to decide whether to trade a certain GAP, I would like to take this decision just before the cashmarket opens, (lets say 1min before), based on current ES price, statistics etc.
2. Right at the cash Market open, I will enter the Market with a market order. I also would like this order to set stop and target (OCO). Direction (long/short) is determined by analysis in 1.
3. If niether target or stop has been hit during the day, I will close the position just before market close (1 min before).
4. A challenge for me is to know which days are full days, no trading days, take timezones and daylight saving into account etc. What is the best approach to deal with this?
All help and feedback on the basic idea and how to program this is much appreciated.