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How does TradeStation Stop-Loss Strategy interpret Entry Position?
Started:November 4th, 2016 (11:33 AM) by Vientomarsol Views / Replies:153 / 4
Last Reply:November 4th, 2016 (06:35 PM) Attachments:0

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How does TradeStation Stop-Loss Strategy interpret Entry Position?

Old November 4th, 2016, 11:33 AM   #1 (permalink)
Trading Apprentice
Port St. Lucie, FL.
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: ES
 
Posts: 18 since May 2016
Thanks: 10 given, 6 received

How does TradeStation Stop-Loss Strategy interpret Entry Position?

OVERVIEW:
• I’m trading the e-mini (ESZ16) with a custom TradeStation ELD entry strategy, which uses Buy / Sell ‘next bar at market’ entries.
and
• I’m using a ‘canned’ TradeStation strategy for Stop-Loss exits. Code for Stop-Loss exit is:

[IntrabarOrderGeneration = false]
inputs:
PositionBasis (TRUE),
Amount (125);

if PositionBasis then
SetStopPosition
else
SetStopShare;
SetStopLoss( Amount ) ;


• Occasionally (but not always) my strategy fill will be late by one tick. For example:
o Strategy calls for: ‘Short from 2091.75’
o Actual fill is: ‘Short from 2091.50’
• I know this because both Strategy-Fill and Actual-Fill are ‘called-out’ on my chart.

PROBLEM:
• My strategy-Stop is apparently tied to my strategy-Entry; as opposed to the actual fill. I say this because:
o When I’m filled per my entry strategy, my stop will exit properly ($125).
o When my actual fill is one- tick past my entry strategy fill (as in example above), my stop also extends by one tick; and my $125 stop becomes a $137.50 stop.

QUESTIONS:

1. How does TradeStation Stop-Loss code (above) interpret my fill position, in order to set the stop?
2. How may I link the Stop-loss to ‘Actual-fill’? Is there a key-word that may be added to the code to specify “actual position’ for stop placement?


Last edited by Vientomarsol; November 4th, 2016 at 11:35 AM. Reason: Clean-up formatting.
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Old November 4th, 2016, 12:17 PM   #2 (permalink)
 Vendor: abctradinggroup.com 
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,151 since Apr 2013
Thanks: 191 given, 648 received

Answer
This post has been selected as an answer to the original posters question Answer

Vientomarsol,

the stop price is based on the entry price as shown on the chart - which explains the results you are having.
Take a look at the strategy automation tab under "Strategy Properties for all strategies on this Chart". There is an option to force the Strategy to fill (on the chart) non-historical orders only when the TradeManager reports them as filled.
You can read more about it in the official help.

Regards,

ABCTG

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Old November 4th, 2016, 01:10 PM   #3 (permalink)
Trading Apprentice
Port St. Lucie, FL.
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: ES
 
Posts: 18 since May 2016
Thanks: 10 given, 6 received

Hats-Off to ABCTG (Again)


ABCTG,

Thanks much for your very prompt response.

Looks like your suggestion will resolve my issue.

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Old November 4th, 2016, 05:06 PM   #4 (permalink)
Trading Apprentice
Port St. Lucie, FL.
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: ES
 
Posts: 18 since May 2016
Thanks: 10 given, 6 received

Advice Was On-The-Money

ABCTG,

Just wanted to let you know; I just took a trade with your suggested change to the TS Strategy Automation menu.
Based on your response, I selected the second radio-button: "Strategy will fill non-historical orders only when the TradeManager reports them as filled" and the second check-box: "Adopt the real-world position position for the current acount". Results were PERFECT.

Tradesation used my actual fill to calculate my Stop and Target strategy orders, and provided feedback as to filled and pending orders from their server. Best of all, I cleared $50 of profit!

Thanks again for your generous support to us novice ELD coders. I feel like I got something accomplished today. A great way to end the week!

Respectfully,

Vientomarsol

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Old November 4th, 2016, 06:35 PM   #5 (permalink)
 Vendor: abctradinggroup.com 
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,151 since Apr 2013
Thanks: 191 given, 648 received

Futures Edge on FIO
Vientomarsol,

thank you for the feedback, I am glad to hear that it's working the way you want it.

Have a great weekend.

Regards,

ABCTG

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