Stop Limit Code

November 26th, 2019, 11:02 AM

Hi i'm trying to add a stop limit to my strategy.

I have the followinng code but it does not seem to be working.

var:

limit_stop_long = (entryprice-(minmove*sl));
limit_stop_short = (entryprice+(minmove*sl));

...

if MarketPosition > 0 then

setprofittarget_pt(tp);

sell next bar at limit_stop_long stop limit_stop_long limit;

if MarketPosition < 0 then

setprofittarget_pt(tp);

buytocover next bar at limit_stop_short stop limit_stop_short limit;

ABCTG · November 26th, 2019, 11:56 AM

Edwin Lefevre,

what does "it does not seem to be working" mean? What does the code do versus what should the code do?
Are there any error messages? What is the platform you are coding this in (Multicharts or Tradestation)?

Regards,

ABCTG

November 26th, 2019, 12:07 PM

Hey,

the stop does not seem to be triggerinng.

The position either goes to the take profit limit or keeps going until I cover the position at the end of the session.

I want it to reach the stop level and put a limit order in the book at that price. Closing my position.

I'm doinng this to stop the slippage of a market order - even if only 1 tick.

I understand that there is a chance that stop limit will not trigger but it seems that this is not triggering at all in any instance.

Im using Multicharts.

Cheers.

ABCTG · November 26th, 2019, 12:11 PM

Edwin Lefevre,

it might make sense for you to use the print reserved word to check the values you are using for the stop and limit prices when you issue the order.

Regards,

ABCTG

November 26th, 2019, 12:28 PM

ABCTG

Edwin Lefevre,

it might make sense for you to use the print reserved word to check the values you are using for the stop and limit prices when you issue the order.

Regards,

ABCTG

Thanks, seems I have negative numbers.

What data does print reference?

ABCTG · November 26th, 2019, 01:00 PM

Edwin Lefevre,

it prints the values of variables and reserved words (that you included in the print statement) at the time your code executes the print statement.

Regards,

ABCTG

Edwin Lefevre

Thanks, seems I have negative numbers.

What data does print reference?

November 26th, 2019, 01:02 PM

Edwin Lefevre

Thanks, seems I have negative numbers.

What data does print reference?

HI Edwin, From what I understand TS strategy only support StopLoss Order, which are a stop market, and Limit as SetProfitTarget.

but a way to hack it into being a limit would be :

if C crosses below (StopLevel) then
Sell next bar at (StopLevel) Limit;

In my opinion its a bad idea all around, because it will take away from the fidelity of your backtest and you will always need very fine LIBB. You will also need to make sure you have the box checked about limit order fills. I would recommend you simply add a couple of ticks of slippage and comms and design your strategy work with it.

November 26th, 2019, 05:34 PM

numberjuani

HI Edwin, From what I understand TS strategy only support StopLoss Order, which are a stop market, and Limit as SetProfitTarget.

but a way to hack it into being a limit would be :

if C crosses below (StopLevel) then
Sell next bar at (StopLevel) Limit;

In my opinion its a bad idea all around, because it will take away from the fidelity of your backtest and you will always need very fine LIBB. You will also need to make sure you have the box checked about limit order fills. I would recommend you simply add a couple of ticks of slippage and comms and design your strategy work with it.

Im using Multicharts - posted in wrong section my accident.

I'm still having trouble making the stop limit work. I'm pretty sure its how im calculating the stop from the entry.. You would think that there would be a simple function for stop limit and stop limit trailing.

Problem I'm having is a I had a great system developed. But then realised that I had been market buying in and not accounting for slippage. Even with 1 tick slippage the system is broken.

I tried half slippage to account for say 50% of the time buying market is on the bid or ask the same as backtesting. It was a little better.

If I can limit in and out then I might salvage the premise of the strategy.

November 28th, 2019, 10:49 PM

Edwin Lefevre

Im using Multicharts - posted in wrong section my accident.

I'm still having trouble making the stop limit work. I'm pretty sure its how im calculating the stop from the entry.. You would think that there would be a simple function for stop limit and stop limit trailing.

Problem I'm having is a I had a great system developed. But then realised that I had been market buying in and not accounting for slippage. Even with 1 tick slippage the system is broken.

I tried half slippage to account for say 50% of the time buying market is on the bid or ask the same as backtesting. It was a little better.

If I can limit in and out then I might salvage the premise of the strategy.

TS and MC are the same for easylanguage purposes . Is this an intraday strategy?

Sent using the NexusFi mobile app

Stop Limit Code

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Stop Limit Code