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<FONT face=Arial color=#0000ff
size=2>DT,
<FONT face=Arial color=#0000ff
size=2>
if you
have a chance download the TWS Trader Work Station from IB; when you place the
order you have no choice but look at the life (no delay) price of the stock you
are trading.
<FONT face=Arial color=#0000ff
size=2>
You
can trade some international markets with IB - price and convenience cannot be
beaten. It certainly beats other "Canadian" internet brokers :-)
<FONT face=Arial color=#0000ff
size=2>
Have a
great day - I have been enjoying your posts.
<FONT face=Arial color=#0000ff
size=2>Herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
<TSOKAKIS@xxxxxxxxx> [mailto:TSOKAKIS@xxxxxxxxx]Sent:
Tuesday, February 18, 2003 12:12 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
BuyPriceTomasz,How do you read Open price without
intraday feed ?When do you take [any] action ? Within the session or not
?And, since you really act within the session and since you need
intraday feed for your calculations, how do you call it, EOD or
INTRADAY trading?Do you expect from the reader [and, more important,
from the Amibroker user] to call this hybrid procedure [some elements from
already known yesterday´s EOD AND SOME REAL TIME elements] as EOD
trading ?It is not a matter of time needed for the action.Do you
take the risk to advise "all you have to do... " to any user or you are
not aware of web traffic, catastrophic delays, desperate phone calls [I
will never forget late Aug99, 30 sec were enough for the limit up !!]etc
etc.Is your IB ref responsible enough to guarantee that you will not miss
the trade, if the whole period your INTRADAY condition was true is 1
min ?I am sure you know very well these real facts, I do not know how
easily do you overcome these difficulties with this " all you have to
do...".Besides that, my basic question from the beginning, was about
EOD and INTRADAY definition. Will you call the above described action as
an EOD trading ? This is the question, it is a matter of definition and
not duration of the action.I hope it is clear.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:> <A
href="">http://www.interactivebrokers.com/index.html?html/tws/stop_orders.html~top.body>
<A
href="">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 > >
>
ADVERTISEMENT> >
>
> > > > >
> > > > >
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