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Gapless strategy?
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Gapless strategy?

  #1 (permalink)
Elite Member
Cincinnati, OH
Futures Experience: Beginner
Platform: NinjaTrader/Thinkorswim
Broker/Data: Ninjatrader/FXCM/TD
Favorite Futures: All of them
Posts: 13 since Jan 2016
Thanks: 2 given, 1 received

Gapless strategy?

Here are some links to explain gapless indicators if some don't know what they are
Gapless Technical Analysis Indicators for Professional Traders | Home

I would like to make my strategy gapless but seeing as how it doesn't use indicators but a series of calculations I have put into the strategy itself I'm wondering what the most effective way to do this would be.

I'd like my strategy to run 24/5 and it might end the week long or short and it could be any number of lots/contracts and there could be orders on both sides of the position, what I'd like to know how to do is when the market closes and the strategy closes the position and the orders to avoid weekend gaps and then just get back in the same number of lots/contracts in the same direction at the new market price at open and place orders around it the same distance the orders were from the position when the market closed a couple days prior and then somehow have my strategy pick right back up where it left off.

Further not sure how to work around holidays either.

Could this be done using stored order information or would it have to be done the way they do with the indicators in the other thread, like this:

"This is how it works: The opening “gap” is recorded for the first bar of each trading day.

A relative stream of OHLC's are calculated by subtracting this “gap” from the actual prices. This relative stream of OHLC’s are maintained right along side of the real OHLC’s. If the EL programmer needs to convert between the relative prices and the real price data, the sum of all the gap values is stored in the variable, “accum,” which makes the conversion simple."


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  #2 (permalink)
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  #3 (permalink)
Elite Member
Cincinnati, OH
Futures Experience: Beginner
Platform: NinjaTrader/Thinkorswim
Broker/Data: Ninjatrader/FXCM/TD
Favorite Futures: All of them
Posts: 13 since Jan 2016
Thanks: 2 given, 1 received

Just to give an example if I was trading the ES and I was long 4 contracts with an entry price at 2125 but its the end of the day on a friday and the market is now at 2126 and I have a take profit for 3 of those contracts at 6 ticks above the current market price and a reversal order 14 ticks below the current price - since its the end of the week it closes my position at 2126 and cancels my orders - come sunday afternoon we find the market gapped lower down to 1995 - regardless I would like to re-enter 4 long with a take profit for 3 of those at 6 ticks above my new entry price and a reversal order 14 ticks below my new entry price and for it to basically just pick up applying my logic to my positions and orders at that point, I'm just not sure how to save the information for the position and orders and call to that information at the next open

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