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[amibroker] Re: BuyPrice



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Hi,
thank you for info, I will take a closer look, although I am 
accustomed in personal communication [I always look at the reaction 
of my opinion/order and feel better with a disagreement. It is a bit 
more expensive, but it is my pleasure]
Thank you once again for your 3-D zip, I hope you enjoy the recent 
use in transcendental and pair trading.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen" 
<psytek@xxxx> wrote:
> DT,
> 
> 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.
> 
> You can trade some international markets with IB - price and 
convenience
> cannot be beaten. It certainly beats other "Canadian" internet 
brokers :-)
> 
> Have a great day - I have been enjoying your posts.
> Herman.
>   -----Original Message-----
>   From: DIMITRIS TSOKAKIS <TSOKAKIS@xxxx> [mailto:TSOKAKIS@x...]
>   Sent: Tuesday, February 18, 2003 12:12 AM
>   To: amibroker@xxxxxxxxxxxxxxx
>   Subject: [amibroker] Re: BuyPrice
> 
> 
>   Tomasz,
>   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:
>   > 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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