Market Order

[mklevas 10]

hi,

 

I need you help. Is there in easylangue some kind of function "buy at market as soon as price touches the line or value of previuose close"? I need to fill this order imediatly not on NEXT bar, is it possible?

 

Thank you!

[DugDug 10]

Others who are better at programming will be more likely to be able to help you here.... but in brief

 

depending on the system you use.

 

If say you are trading off hourly charts you need to have the information/data that makes up the hourly chart.... that is the tick data, or minute data. Otherwise the computer does not know the sequence of trades that occurred.

 

example; The bar you trade on has a high of 102, low 99 - your system tells you to sell at 100, stop 101 within this bar.

did the order trigger at 100, then stop you out at 101, OR did the high occur before the trade triggered. A computer will not know unless you provide it with the data.

 

I know Multicharts tries this, as do some other programs, some making a few assumptions based on the open and close of the bar....but ultimately you may have to accept most things become a fudge unless you account for every tick....

 

I hope this helps at least understand the issue.

[mklevas 10]

You wrote:

"A computer will not know unless you provide it with the data." But if i will wrote that i want to sell at bar low 99, thet it's possible?

I know that in EL are order types "next bar at open", "next bar at close", "this bar at close" and etc. But i cannot find order type which can trigger order imediataly if my target price is recahed. Let say first bar has 100 high and 98 low, i want to sell if second bar reaches low of first bar and sell it immediatly not on close of second bar. How can i achieve this?

[DugDug 10]

Not sure re easy language etc- my coding is very basic.... sorry, I just understand some of the issues involved.

I am sure there are plenty of examples around that might show this in these and other forums..... it should be possible, if not then it could be argued the systems are not lfexible enough.... I used excel to backtest my ideas because of this - slower but easier to use and completely transparent.

maybe one day I will learn more.

[statsign 10]

With

 

[intrabarOrderGeneration = True]

 

in a strategy and no conflicting barstatus statements then

 

buy next bar market;

 

means immediately (next tick) (for intrabar a tick is a trade)

[DugDug 10]

hi Statsign,

please correct me if I am wrong here, as I dont have a lot of programming experience

your suggestion only works IF you have intra bar data?

ie; if using hourly charts, with OHLC only for the hourly chart, you need to be able to look inside the bar.... ie; the data must be in the form of tick, or say minute data.

If my data is say an ASCI imported file, it might not have this

Is this true?

....thanks

[statsign 10]

Right, ASCI imported file with only OHLC is no good for strategy testing unless you only want to trade based on

 

buy next bar open;

sell next bar open;

 

you can simulate somewhat with

 

buy next bar somenumber limit;

 

but if using limits and stops then without intrabar data you will get some erroneous trades

[JKLM 10]

I have similar problem

and I understand that on time bars you cant do anything, becauase bar must be closed

 

but I was thinking ...if I use range bars

and range bars close price can be predicted ...I was thinking

how can I send stop order to broker at bar close price before bar is closed

 

this way I maybe I can get better fill because broker alredy have my stop ( market ) order

[shrike 10]

Hi

 

try this :

 

value1=C[1];

if last=value1 then

buy this bar ;

[shrike 10]

Last

Returns a numerical value indicating the price of the last completed trade.

 

Usage

Last

 

Notes

Quote Fields cannot be referenced historically.

 

Example

Last will return the price of the last trade

[JKLM 10]

how can I calculate next range bar close...and send stop order to that price ?

[shrike 10]

Hi

I don't understand well your question , are you referring to range bar ? if yes you can use highor low ,using point resolution .

for instance :

 

resolution 4 point for ES means 1 point difference , so if high=1000 and you go short and want put stop loss 1 point above your entrance ,stop loss will be High[1]+1

[JKLM 10]

yes I am talking about range bars

and I want use stop order for entry to position ..not exit

 

so I have system that generates market orders on bar close

 

and I want send stop order ( entry ) at bar price clse price ..before bar is closed

 

if bar newer close at that price ( if goes other way ) order will not be executed

 

that way, I will save some time and probably get better fill and cut slippage

[Tams 20]

yes I am talking about range bars

and I want use stop order for entry to position ..not exit

 

so I have system that generates market orders on bar close

 

and I want send stop order ( entry ) at bar price clse price ..before bar is closed

 

if bar newer close at that price ( if goes other way ) order will not be executed

 

that way, I will save some time and probably get better fill and cut slippage

 

if I know the bar close price before the bar is closed... I will be a gazillllionaire by tomorrow sunset.

[shrike 10]

Hi JKLM

sorry but either i don't understand your question well or Tams has given the right answer , how can you predict future ?

[JKLM 10]

why do you think it cant be predicted

if you use range bar ..let say 4 tick range ..and it opens at 100

he can be closed at 104or 96

and if open 100 and go down 1 tick at 99..than it can be only closed at 103 ( if it goes up again ) or 96 ...etc ...

 

so bar closing can be predicted because you know how big is bar and you have open price

[Tams 20]

why do you think it cant be predicted

if you use range bar ..let say 4 tick range ..and it opens at 100

he can be closed at 104or 96

and if open 100 and go down 1 tick at 99..than it can be only closed at 103 ( if it goes up again ) or 96 ...etc ...

 

so bar closing can be predicted because you know how big is bar and you have open price

 

yes, you can predict it...

 

sure you can use your algorithm or logic or witchcraft to "predict" your closing price,

and YES you can enter an order based on your "predicted" price.

 

 

you can call that "predicted" price whatever you want,

you can call it a goat,

you can call it a sheep,

you can call it a puppy,

but it is NOT the closing price until the bar is CLOSED.

 

caphresh?

 

.

[JKLM 10]

ah ..ok

 

most important is you understand what I mean

 

so we can guess at what price bar will be closed since we have open, high, low of that bar and we know size of bar

 

so ...question is ...is anyone know how to code this ?

[shrike 10]

ah ..ok

 

most important is you understand what I mean

 

so we can guess at what price bar will be closed since we have open, high, low of that bar and we know size of bar

 

so ...question is ...is anyone know how to code this ?

 

your question is strange

Close of the bar can be included in each minimun price movement ,lenght is the size of the bar

[Tams 20]

ah ..ok

 

most important is you understand what I mean

 

so we can guess at what price bar will be closed since we have open, high, low of that bar and we know size of bar

 

so ...question is ...is anyone know how to code this ?

 

 

it is easy:

 

Var:
Predicted.Close(0);

Predicted.Close = Random( Range ) + Low;

 

 

if you found the above helpful,

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Thank you.

[JKLM 10]

your question is strange

Close of the bar can be included in each minimun price movement ,lenght is the size of the bar

 

I am not Easy language expert ...and I am not sure if this can be coded at all

but if you can drop few lines as a I will be grateful

[skan 10]

Hi

 

As far as I can see when you work in a bar basis, let say 15 min bars, what's going on is:

 

Yo switch your system on at 8:00

At 9:15 ends the first bar and you get its O, H, L and C

At 9:30 you get OHLC of the 2nd bar

9:45 -> 3rd

10:00 -> 4th

....

 

Then, the first time we get information is at 9:15.

Then we can execute one loop of our strategy with the OHLC of the bar that just ended. (*)

 

I think everybody agrees up to this moment.

 

The problem is what happen next.

 

With that output (*) I want to send an order to the market, but I don't want to send it at the end of the current bar but just now, as soon as I get the last OHLC and my strategy runs once.

It doesn't mean to know the future or anything like that because I don't want to know the low, high or close of the current bar, I'm using information from the last bar instead.

 

I need some simple code showing how to use intra-bar order execution from a strategy on MC but I can't find any.

 

 

regards

[skan 10]

Another problem:

What happens when a stop is filled on the market in the middle of a bar ??

My strategy got the marketposition value at the beginning of the bar, makes its calculations and waits to the end of the bar to send it.

But If Marketposition changed whithin the bar my strategy don't knows it till next bar, too late, because it will send the order assuming a wrong marketposition value, the value at the beginning of the bar.

 

isn't it?

[Tams 20]

Hi

 

As far as I can see when you work in a bar basis, let say 15 min bars, what's going on is:

 

Yo switch your system on at 8:00

At 9:15 ends the first bar and you get its O, H, L and C

At 9:30 you get OHLC of the 2nd bar

9:45 -> 3rd

10:00 -> 4th

....

 

Then, the first time we get information is at 9:15.

Then we can execute one loop of our strategy with the OHLC of the bar that just ended. (*)

 

I think everybody agrees up to this moment.

 

The problem is what happen next.

 

With that output (*) I want to send an order to the market, but I don't want to send it at the end of the current bar but just now, as soon as I get the last OHLC and my strategy runs once.

It doesn't mean to know the future or anything like that because I don't want to know the low, high or close of the current bar, I'm using information from the last bar instead.

 

I need some simple code showing how to use intra-bar order execution from a strategy on MC but I can't find any.

 

 

regards

 

MC support forum has what you need

[Tams 20]

Another problem:

What happens when a stop is filled on the market in the middle of a bar ??

My strategy got the marketposition value at the beginning of the bar, makes its calculations and waits to the end of the bar to send it.

But If Marketposition changed whithin the bar my strategy don't knows it till next bar, too late, because it will send the order assuming a wrong marketposition value, the value at the beginning of the bar.

 

isn't it?

 

no, strategy calculation is at the end of the bar. (except IOG)