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Mid-Bar Entries
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Created: by Vientomarsol Attachments:0

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Mid-Bar Entries

  #1 (permalink)
Trading Apprentice
Port St. Lucie, FL.
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: ES
 
Posts: 18 since May 2016
Thanks: 10 given, 7 received

Mid-Bar Entries

I'm building a TradeStation strategy for automated execution (robot trader).

I want the ability to enter and exit mid-bar, or in a subsequent bar.
i.e. If conditions are met at 7 minutes into a fifteen minute bar, the entry or exit will be executed immediately without waiting for open of next bar. On the other hand; if conditions are not met for several bars, the strategy will execute mid-bar (of a subsequent bar) when conditions are met.

I am using "[IntrabarOrderGeneration = TRUE]" and coding as follows:

//Long Entry
If MP=0 and H=H[1] then buy this bar;
MP = 1;


//Long Exit
If MP=1 and H=H[1]-.25 then sell this bar;
MP = 0;

The exit is working, and will get me out instantly, but the entry is not. It delays until the open of the next bar.

How should I code the entry statement to execute instantly when conditions are met (in current or future bars)?

Thanks

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,404 since Apr 2013
Thanks: 220 given, 799 received
Forum Reputation: Legendary


Vientomarsol,

welcome to futures.io. When using intrabar order generation in Tradestation "Next bar" orders will be executed at the next tick that is processed, while "this bar" orders will only be processed at the end of the bar. That's why you are getting your orders filled at the open only.

Regards,

ABCTG

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  #4 (permalink)
Trading Apprentice
Port St. Lucie, FL.
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: ES
 
Posts: 18 since May 2016
Thanks: 10 given, 7 received


ABCTG View Post
Vientomarsol,

welcome to futures.io. When using intrabar order generation in Tradestation "Next bar" orders will be executed at the next tick that is processed, while "this bar" orders will only be processed at the end of the bar. That's why you are getting your orders filled at the open only.

Regards,

ABCTG



Thanks for your prompt reply.
I'll set-it-up as indicated and see how it works.

Respectlully,

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The following user says Thank You to Vientomarsol for this post:
 
  #5 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,404 since Apr 2013
Thanks: 220 given, 799 received
Forum Reputation: Legendary

Vientomarsol,

you are welcome. By the way you can show your appreciation for a post on futures.io by clicking the "Thanks" button next to it.

Regards,

ABCTG


Vientomarsol View Post
Thanks for your prompt reply.
I'll set-it-up as indicated and see how it works.

Respectlully,


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