Parabolic SAR filling on the bid when only ask price used in a signal

May 22nd, 2013, 09:11 AM

Morning all,

My broker stream through MC shows only the ASK price. I use Parabolic SAR as part of my strategy (using stop orders) and unfortunately I have something of an issue as a result of the broker tick data being ask only. Very rarely it will fill a long stop order on the bid price thanks to the spread, but the ask price never catches up (i.e. it immediately reverses). Therefore the pSAR function is unaware that the price crossed the parabolic curve because it can only 'see' the ask and therefore the signal does NOT transmit a sell stop order - it stays only long until the ask does eventually cross the parabolic curve, at which point it will transmit a sell stop. This can be MANY pips from the original area where the bid crossed the same curve. So the broker goes long, and the signal thinks it's still short, it doesn't understand why the broker has gone long.

It's quite complicated to explain but hopefully you understand what I mean.

The brokertostrategy sync signal doesn't seem to be able to fix this and I'd rather not send corrective reversals using strattobroker (if that would even work - these corrective signals only seem to be able to solve market order issues).

Has anyone ever come across a similar issue? Is there any way to force the pSAR function to believe that price has crossed the curve when the broker position turns long even if it doesn't see price cross the curve?

Thanks

ABCTG · May 23rd, 2013, 04:44 PM

NMC1,

you could use a change in the market position (or size) at your broker and tell the system that something changed and that it should act accordingly.
MarketPosition_at_Broker or MarketPosition_at_Broker_for_The_Strategy are the reserved words to use for that.

Regards,

ABCTG

May 30th, 2013, 05:27 PM

ABCTG

NMC1,

you could use a change in the market position (or size) at your broker and tell the system that something changed and that it should act accordingly.
MarketPosition_at_Broker or MarketPosition_at_Broker_for_The_Strategy are the reserved words to use for that.

Regards,

ABCTG

Thanks - I switched to market orders in the end as I find that strategy reliability is even more important than minimising news slippage!

Parabolic SAR filling on the bid when only ask price used in a signal

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Parabolic SAR filling on the bid when only ask price used in a signal