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Live trading and correct code using EOD bar

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Live trading and correct code using EOD bar

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  #1 (permalink)
Posts: 5 since Aug 2017
Thanks: 0 given, 1 received


I have gone live with some daytrading strategies, ie. using Amibroker to generate buy and sell orders completely mechanical. However, when I want to trade using EOD bars I get a problem because Amibroker buys and sells before the bars are finished. I have adjusted my database to close two mins before the stock exchange closes, so it gives Amibroker 2 mins to buy before exchange closes. However, it buys a long time before that.

It does not help to rewrite code to the previous bar: for example cross(c,ref(c,-1)) i rewrite to cross(ref(c,-1),ref(c,-2)). Then it does not buy until next day.

Any thoughts on how to solve this?

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  #2 (permalink)
Milwaukee, WI
Posts: 88 since Jan 2014
Thanks: 4 given, 46 received

It looks like you have live data, so go to a 2 minute timeframe, recalibrate your indicators and make your buy/sell trigger signals windowed by the open of the last bar of the RTH day. Or, you can just wait until the last 2 minutes and ignore the earlier signals.
You might check out the amibroker community forum too.

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  #3 (permalink)
Posts: 5 since Aug 2017
Thanks: 0 given, 1 received

Hi, I somehow managed to go around this by this code:
status("lastbartimeleft") <=-57500

Thanks for your help. I learn something new everyday by coding

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