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Intrabar Order Generation not working


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Intrabar Order Generation not working

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  #1 (permalink)
timfel
London, UK
 
 
Posts: 9 since Mar 2023
Thanks: 3 given, 0 received

As I understand it, if you enable Intrabar Order Generation, then buy or sell at next bar instructions execute at the next tick, rather than the next bar this is what I want to happen.

However, I have done this, both by stating it in the code and turning it on in the strategy settings and backtesting settings, and it is only executing on the next bar.

On the 5 min chart, all entries and exits (stop loss and TP orders) are happening in 5 minute increments, when they should be happening at all times. Also the order is executing at the next bar open price, rather than the signal price.

Any ideas?

Code fragment:

 
Code
	  
If (T > RangeEnd) AND (T < LastOrders)  AND (TradeCount < MaxTrades) AND (Marketposition = 0) Then	  
	Begin	  
		If H crosses over RangeHigh Then  
			Begin  
				Buy ("Long") next bar at Market;  
				TradeCount = TradeCount + 1;  
			End;  
		  
		If L crosses under RangeLow  Then  
			Begin  
				Sellshort ("Short") next bar at Market;  
				TradeCount = TradeCount + 1;  
			End;  
			  
			  
		  
  
	End;

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  #2 (permalink)
RandyK0615
Grand Junction, CO
 
 
Posts: 3 since Mar 2022
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Are you using intrabarpersist variables? If not, that might be your problem. Also be sure you have things set to
"update every tick".

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  #3 (permalink)
timfel
London, UK
 
 
Posts: 9 since Mar 2023
Thanks: 3 given, 0 received



RandyK0615 View Post
Are you using intrabarpersist variables? If not, that might be your problem. Also be sure you have things set to
"update every tick".

Yes I have used intrabar persist. What it appears on further investigation is that the trades are actually executing intrabar, but they were only being reported on bar close, which is why they were all at multiples of 5 minutes, even though they were actually being executed at all times. Presumably, if that is the case, this must be a well known phenomenon that everybody using intrabar has experienced.

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 ABCTG   is a Vendor
 
 
Posts: 2,401 since Apr 2013
Thanks: 431 given, 1,601 received

timfel,

this is expected behavior. The report will only show the ending timestamp of the bar, but the prices of the fills which could be intrabar.
The same goes for your code by the way. TS will not expose the intrabar times of a bar for timebased bars, but only the ending timestamp.

Regards,

ABCTG


timfel View Post
Yes I have used intrabar persist. What it appears on further investigation is that the trades are actually executing intrabar, but they were only being reported on bar close, which is why they were all at multiples of 5 minutes, even though they were actually being executed at all times. Presumably, if that is the case, this must be a well known phenomenon that everybody using intrabar has experienced.


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Last Updated on April 11, 2023



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