|
PureBytes Links
Trading Reference Links
|
How Do I --- Implement Limit Orders
I have a trading system based on pattern recognition. I am using
end of day data and will be processing after the close, then placing
my order before the open of the next day. When a pattern occurs, I
want to place a limit order. After some number of days, if the
limit order is not filled, I want to withdraw it.
How do I code this into AmiBroker so that
A. the BackTester properly accounts for the trades that would have
actually taken place; and also
B. Explorer indicates that I should place a limit order for the
next day, and at what price?
The code should work correctly without regard to the Backtester
Settings of when to trade and how much delay.
Specific (but very artificial) example :
Trade Entry
1. Whenever today's high is greater than yesterday's high AND
today's low is lower than yesterday's low AND today's 5 day moving
average of close is higher than yesterday's 5 day moving average of
close, then my pattern is true and a buy signal is generated and I
want to place a limit order for tomorrow.
2. I want to buy at a limit of 0.99 times the low price on the day
the buy signal was generated.
3. I want to place that order for up to three consecutive days.
A. If it is filled on any of the days, I want to know exactly what
my fill price was. (It could be my limit price, or the open if that
is lower).
B. If it is not filled in three days, I want to cancel the order.
That is, drop the buy signal.
4. If the pattern occurs a second time before the limit order is
filled, I want to renew the buy signal, calculate a new limit price,
and restart the three day clock.
Trade Exit
1. Once in a trade, exit at the next open when today's close
crosses down through the 5 day moving average of close.
Thanks in advance,
Howard
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for Your HP, Epson, Canon or Lexmark
Printer at Myinks.com. Free s/h on orders $50 or more to the US & Canada. http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/sO0ANB/LIdGAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|