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Re: [amibroker] Re: BuyPrice



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Dimitris,

> "A Stop order is not guaranteed a specific execution 
> price", "exchanges that do not natively execute stop orders", "Buy 
> Simulated Stop Orders become market orders when ...", "stop orders 
> will only be elected ...", "for NASDAQ stocks and US Equity Options 
> which are only triggered after... " etc.

Have you ever heard about about slippage ?????
======================================
This is normal and affect almost every trader, not only trader using stop-based orders.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, February 18, 2003 9:46 AM
Subject: [amibroker] Re: BuyPrice


> Tomasz,
> To select some points from your [interesting] reference:
> http://www.interactivebrokers.com/index.html?
> html/tws/stop_orders.html~top.body

> Is this the "all you have to do" and "then go for a walk ". ? With so 
> many restrictions [and presupposed no web delays] will you consider 
> your INTRADAY order as DONE ?? And will you call it EOD trading ??
> These are some of the dangers when you place delay=0 and you consider 
> it as EOD trading : the backtesting results will not be that reliable 
> and may be quite far from the real results.
> Dimitris Tsokakis
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx> 
> wrote:
> > Dimitris,
> > 
> > In fact all you have to do is to place one buy stop order just 
> after trading starts.
> > Then you can turn off the monitor and go for a walk. You don't need 
> intraday
> > feed for this and you don't need to watch the market.
> > All work is done by your broker.
> > 
> > For more reference see:
> > http://www.interactivebrokers.com/index.html?
> html/tws/stop_orders.html~top.body
> > http://www.interactivebrokers.com/index.html?
> html/tws/stop_limit.html~top.body
> > 
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message ----- 
> > From: <TSOKAKIS@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Tuesday, February 18, 2003 8:34 AM
> > Subject: [amibroker] Re: BuyPrice
> > 
> > 
> > > Tomasz,
> > > thank you for the extended explanation. 
> > > You just described an intraday technique. It is a matter of 
> > > definition.
> > > For me, any action within the session is intraday and not EOD 
> > > trading. 
> > > You need RT, you need to be there, no matter how long, you need 
> to 
> > > receive prices, make your calculations, talk to your broker, 
> within 
> > > the session. It is so easy to loose 5 or 10 min just after the 
> Open. 
> > > We have seen many bearish days the last 3 years and the prices, 
> all 
> > > day long, were lower than the first 5 min.
> > > I have no experience of this buystop technique. It must be quite 
> > > profitable for the user [if it is to buy the dinner also...].
> > > Back to my RSIA now...
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" 
> <amibroker@xxxx> 
> > > wrote:
> > > > Dimitris,
> > > > 
> > > > You are wrong. See the blue comments below.
> > > > 
> > > > Best regards,
> > > > Tomasz Janeczko
> > > > amibroker.com
> > > >   ----- Original Message ----- 
> > > >   From: Dimitris Tsokakis 
> > > >   To: amibroker@xxxxxxxxxxxxxxx 
> > > >   Sent: Monday, February 17, 2003 7:36 PM
> > > >   Subject: [amibroker] BuyPrice
> > > > 
> > > > 
> > > >   Tomasz,
> > > >   Here is an example to clear my point :
> > > >   In AA we have
> > > > 
> > > >   Stoplevel = Open + 0.6 * Ref( H - L, -1 );
> > > >   Buy = High >= StopLevel;
> > > >   BuyPrice = StopLevel; 
> > > >   Sell=Ref(Buy,-3);// for example
> > > > 
> > > >   and in IB we have
> > > > 
> > > >   Stoplevel = Open + 0.6 * Ref( H - L, -1 );
> > > >   Buy = High >= StopLevel;
> > > >   BuyPrice = StopLevel; 
> > > >   Sell=Ref(Buy,-3);
> > > >   Plot(C,"C",1+6*Buy,64);
> > > >   Plot(STOPLEVEL,"STOPLEVEL",4,1);
> > > > 
> > > >   On Sept29, point X, we have the red line STOPLEVEL=11.58, 
> > > H=11.65, consequently High>=StopLevel and this is a Buy signal.
> > > >   Since we use EOD, we know the Buy signal AFTER the end of the 
> > > session.
> > > >   This is NOT true. Backtesting uses EOD data, but you can 
> place 
> > > buy order during the session without knowing
> > > >   what the final High will be. You just have to understand the 
> way 
> > > buy stop orders are placed.
> > > >   BEFORE trading hours start on Sept 29 we know the H-L range 
> of 
> > > YESTERDAY, right ?
> > > >   Now trading starts - we learn what the OPEN price is, OK ?
> > > >   Now we can call the broker (or place the order by internet) : 
> we 
> > > place BUY STOP order at ( TODAYS OPEN + 0.6 of YESTERDAY RANGE ).
> > > >   and now we can forget it... we can go for a good dinner or 
> have a 
> > > good time with friends. 
> > > >   Now the trading is OVER for today. We read the EOD records 
> for 
> > > Today. 
> > > >   And now we find out that the High of today was HIGHER than 
> our 
> > > BUY STOP level.
> > > >   Our broker automatically fulfilled our order at BUY STOP 
> level. 
> > > >   We didn't need to know what the final High is. It is just 
> enough 
> > > to know
> > > >   that final High was higher than our stop level so our order 
> got 
> > > fulfilled sometime during
> > > >   trading hours (it does not matter when - only the limit price 
> > > matters).
> > > > 
> > > >   Now. ... if we backtesting such thing - we don't really need 
> > > intraday quotes. It is enough to
> > > >   know that High was above our stop limit that was based only 
> on 
> > > YESTERDAY data and todays OPEN price.
> > > >   The backtester takes buystop limit as the trade entry price 
> and 
> > > everything is OK.
> > > >   We don't look into the future and this is perfectly tradeable.
> > > > 
> > > >   (if you wonder what happens when prices do not move above 
> buystop 
> > > limit during the day
> > > >   - it is simple : our broker just does not fulfill the order - 
> > > there is no trade)
> > > > 
> > > > 
> > > >   We give to our broker the order Buy at 11.58 for tomorrow, 
> the 
> > > Sept30.
> > > >   But, it is impossible, since the highest Sept30 is 11.08.So, 
> the 
> > > order will not be executed.
> > > >   On the other side, in the AA we see a buy arrow on Sept29 and 
> [in 
> > > actual trades mode] a buy arrow on Sept30.
> > > >   The same for Aug6, 2002, point Y
> > > >   STOPLEVEL=12.06, H=12.62
> > > >   It is a Buy, with BuyPrice 12.06.
> > > >   But, the next bar range was [12.52,13.45]. What is the actual 
> > > price we buy on Aug7 ?
> > > >   In general, a buyprice given in advance may not happen at all 
> the 
> > > next trading day, no matter if it appears in AA results.
> > > >   Here is the conflict, AA says we have an impossible trade for 
> > > tomorrow.
> > > >   Do I still miss something ?
> > > >   Dimitris Tsokakis
> > > > 
> > > >         Yahoo! Groups Sponsor 
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> > > >        
> > > >        
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