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Issue with IOG and at market
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Created: by SlowCarry Attachments:2

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Issue with IOG and at market

  #1 (permalink)
Trading Apprentice
Brisbane, QLD
 
Futures Experience: None
Platform: LMAX
Favorite Futures: Forex
 
Posts: 8 since Aug 2012
Thanks: 1 given, 3 received

Issue with IOG and at market

Hi,

I'm hoping someone would be able help or point me in the wright direction for using the IOG with buy at market.

My apologies if this has already been posted as I've looked around and could not find anything. This is my first trying to script anything so i do apologies if my question/ observation is stupid/ obvious.

The issue I'm having with IOG is that it appears to be placing the trades at the top of the candles instead of when the IF statement became valid. I've attached the screenshot of this

With IOG off it buys at the next bar as it should.

 
Code
[IntrabarOrderGeneration = True]
Inputs:
wmalength (50),
wmalength1 (1),
Take_Profit (20),
Stop_loss (20);

vars:
wma (0),
wma1 (0),
TickSize (minmove/PriceScale),
tp1 (Take_Profit*ticksize),
sl1 (Stop_loss*ticksize);

wma = WAverage(close,wmalength);
wma1 = WAverage(close,wmalength1);
if marketposition = 0 then
begin
if wma1 > wma then begin
Buy ("Go Long") 5 contracts next bar market;
end;
end;

if marketposition = 1 then
begin
Sell ("L_TP") next bar at (entryprice+Tp1) limit;
sell ("L_SL")next bar at (entryprice-SL1) stop;
end; CurrentAsk

Initially i used the currentBid function but this gave the same results hence i tried the 2 wmas

 
Code
if Currentbid > wma then begin
Buy ("Go Long") 5 contracts next bar market;
end;
Thank you in advance as I've spent the entire night trying to figure this out. With no Luck.

Attached Thumbnails
Issue with IOG and at market-price.jpg  
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  #2 (permalink)
Fortitudo et Honor
Austin, TX
 
Futures Experience: Advanced
Platform: TradeStation
Favorite Futures: Futures
 
Posts: 882 since Mar 2011
Thanks: 128 given, 703 received

Try changing your stops and targets to a market order and see if it makes a difference. It seems like whenever I use limit orders, I run into orders at the high/low of the bars sometimes, instead of the open close.

Just a thought, might not make a difference. (and yes, I realize those are exits and your concerns are with the entries, but it's worth a try)

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
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  #3 (permalink)
Elite Member
Cary, NC
 
Futures Experience: Advanced
Platform: MC, NT, Python, R
Broker/Data: FXCM, IB, Oanda, IQFeed
Favorite Futures: 6E, CL, EUR/USD
 
Fu510n's Avatar
 
Posts: 96 since Oct 2009
Thanks: 729 given, 81 received


1) Do you have "Build minute and daily bars based on tick data" configured in QuoteManager for EURUSD?
2) How many entries/exits would you like to "allow" (Format Signals->Properties->Enable Intra-Bar Order Generation setting; can be set to one of three settings)
3) Do you have the Bar Magnifier enabled? (Format Signals->Properties->Backtesting->Backtesting Precision->Use Bar Magnifier; set to to 1 tick resolution or whatever you want)

With the above enabled, I get (with your signal/script)...

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Hope that helps...
-Guy

p.s. don't forget when using IOG, "Next Bar" really means "Next Tick" and "This Bar at Close" really means "Next Bar" - gotta love IOG


Last edited by Fu510n; August 7th, 2012 at 02:47 PM. Reason: p.s. "Next Bar/Tick" gotchas
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The following 6 users say Thank You to Fu510n for this post:
 
  #4 (permalink)
Trading Apprentice
Brisbane, QLD
 
Futures Experience: None
Platform: LMAX
Favorite Futures: Forex
 
Posts: 8 since Aug 2012
Thanks: 1 given, 3 received

thank you Fu510n,

the Bar Magnifier worked, it enters as it should. So frustrating, so much keayboard bashing for a single tickbox.

Quick question, is there a way to get/set the open/low of the entry candle so to use for Sl or other entry points?

ie, if buy executed on candle 3 from the left then it's open = c3_open, low = c3_low. or something like that?

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  #5 (permalink)
Elite Member
Colorado
 
Futures Experience: Advanced
Platform: MultiCharts
Broker/Data: IB & Iqfeed
Favorite Futures: ES , CL
 
sptrader's Avatar
 
Posts: 533 since Apr 2010
Thanks: 1,080 given, 668 received


SlowCarry View Post
thank you Fu510n,

the Bar Magnifier worked, it enters as it should. So frustrating, so much keayboard bashing for a single tickbox.

Quick question, is there a way to get/set the open/low of the entry candle so to use for Sl or other entry points?

ie, if buy executed on candle 3 from the left then it's open = c3_open, low = c3_low. or something like that?

************************************************************************************
If you want to refer to the open 3 bars ago, then use Open[3] or O[3] etc for high, low etc..

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  #6 (permalink)
Trading Apprentice
Brisbane, QLD
 
Futures Experience: None
Platform: LMAX
Favorite Futures: Forex
 
Posts: 8 since Aug 2012
Thanks: 1 given, 3 received


sptrader View Post
************************************************************************************
If you want to refer to the open 3 bars ago, then use Open[3] or O[3] etc for high, low etc..

sorry the 3 was just an example the, as in the open, high low ect. of the bar where the entry was triggered. The entry could of been 2/5/7/xx bars back from the current bar but i would like to have the values of the entry bar.

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  #7 (permalink)
Trading Apprentice
Brisbane, QLD
 
Futures Experience: None
Platform: LMAX
Favorite Futures: Forex
 
Posts: 8 since Aug 2012
Thanks: 1 given, 3 received

Well i managed to get the count bar thing but it appears that its not using the actual values of the candle but rather substitutes the lows/highs with open/close.

From read so far it appears that MC reads only the Open/close of historic bars. Is there a way to makes it read the entire candle?

My very "i seriously need to learn better syntax" if loop.

 
Code
if (count1 = 0 ) then begin
	if (barssinceentry > 0) then begin
		count1 = count1 +1;
			if (barssinceentry > count1) then begin
				count1 = count1 + 1;
			end;		
	end;
end;

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  #8 (permalink)
Trading for Fun
London
 
Futures Experience: None
Platform: mc, TS, ninja
Favorite Futures: es
 
Bimi's Avatar
 
Posts: 118 since Mar 2010
Thanks: 42 given, 58 received


SlowCarry View Post
Hi,

I'm hoping someone would be able help or point me in the wright direction for using the IOG with buy at market.

My apologies if this has already been posted as I've looked around and could not find anything. This is my first trying to script anything so i do apologies if my question/ observation is stupid/ obvious.

The issue I'm having with IOG is that it appears to be placing the trades at the top of the candles instead of when the IF statement became valid. I've attached the screenshot of this

With IOG off it buys at the next bar as it should.

 
Code
[IntrabarOrderGeneration = True]
Inputs:
wmalength (50),
wmalength1 (1),
Take_Profit (20),
Stop_loss (20);

vars:
wma (0),
wma1 (0),
TickSize (minmove/PriceScale),
tp1 (Take_Profit*ticksize),
sl1 (Stop_loss*ticksize);

wma = WAverage(close,wmalength);
wma1 = WAverage(close,wmalength1);
if marketposition = 0 then
begin
if wma1 > wma then begin
Buy ("Go Long") 5 contracts next bar market;
end;
end;

if marketposition = 1 then
begin
Sell ("L_TP") next bar at (entryprice+Tp1) limit;
sell ("L_SL")next bar at (entryprice-SL1) stop;
end; CurrentAsk

Initially i used the currentBid function but this gave the same results hence i tried the 2 wmas

 
Code
if Currentbid > wma then begin
Buy ("Go Long") 5 contracts next bar market;
end;
Thank you in advance as I've spent the entire night trying to figure this out. With no Luck.

are you talking about backtesting???

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  #9 (permalink)
Trading Apprentice
Brisbane, QLD
 
Futures Experience: None
Platform: LMAX
Favorite Futures: Forex
 
Posts: 8 since Aug 2012
Thanks: 1 given, 3 received

Thanks for you help Bimi, but Fu510n fixed the problem for me.

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  #10 (permalink)
Elite Member
Cary, NC
 
Futures Experience: Advanced
Platform: MC, NT, Python, R
Broker/Data: FXCM, IB, Oanda, IQFeed
Favorite Futures: 6E, CL, EUR/USD
 
Fu510n's Avatar
 
Posts: 96 since Oct 2009
Thanks: 729 given, 81 received



SlowCarry View Post
Well i managed to get the count bar thing but it appears that its not using the actual values of the candle but rather substitutes the lows/highs with open/close.

From read so far it appears that MC reads only the Open/close of historic bars. Is there a way to makes it read the entire candle?

My very "i seriously need to learn better syntax" if loop.

 
Code
if (count1 = 0 ) then begin
	if (barssinceentry > 0) then begin
		count1 = count1 +1;
			if (barssinceentry > count1) then begin
				count1 = count1 + 1;
			end;		
	end;
end;

Can you include the code where you're trying to access High/Low vs. Open/Close? Not sure if you're using MessageLog() or not, but you might want to debug that way as well,

e.g.
 
Code
                            
MessageLog"["TotalTrades+1:0:0" | ",
            
FormatDate("M/dd/yyyy"DateToJulianDate )), " "FormatTime("hh:mm:ss tt"DateToJulianDate ) + (TimeToSecondsTime_s ) / 3600 24)), " | ",
            
CurrentBar MaxBarsBack:0:0" | "BarStatus):0:0,
            
"] Open=["Open:0:4"] High=["High:0:4"] Low=["Low:0:4"] Close=["Close:0:4"]" ); 
You can replace "High:0:4" with "High[count1]:0:4" if desired, etc.

Just a thought - need more input

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