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I have similar, but maybe not identical,
requirements.
I use Ref(O,1) or Ref(H,1) or Ref(L,1) to look at
tomorrows action to validate whether my intended STOP or LIMIT order would
have been filled. Set a flag if so. Then when ref(flag,-1) is set you know that
today is the day that the order actually fired.
e.g if entering long on a buy stop
IsTrigger=YourSignal and Ref(H,1) >=
TargetEntryPrice;
Buy=Ref(IsTrigger,-1);
<FONT face=Arial
size=2>BuyPrice=max(o,Ref(TargetEntryPrice,-1));
Peter K
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=howardbandy@xxxxxxxxx
href="">howardbandy
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, August 02, 2003 8:41
AM
Subject: [amibroker] How Do I --- Move
Control of Backtester Trade Settings into the afl System Code
<FONT face=Arial
size=2>How Do I --- Move Control of Backtester Trade
Settings into the afl System CodeI have a trading system that
uses both profit target and stop loss, along with a "normal" system
exit. I am using end of day data and will be processing after the
close, then placing my order(s) before the open of the next day.
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 orders 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 somewhat artificial) example:Trade
Entry1. Do anything to enter the trade -- for example buy at the
next open when today's close crosses up through the 50 day moving average
of close.Trade Exit1. Compute some indicators and test
some conditions within the system, If Condition AAA (normal exit), then
place a Market Order -- that is an order to sell at the next open.
If Condition BBB (profit target), then place a Sell Limit Order to sell at
some price. If Condition CCC (stop loss), then place a Sell Stop
Order to sell at some price. Recall that a Sell Limit Order is
placed above the market and only filled if the high price is equal to or
greater than the limit price. And a Sell Stop Order is placed below
the market and only filled if the low price is equal to or lower than the
stop price.2. Condition AAA will usually be alone. Both
Condition BBB and CCC could be (and usually are) true, so both the Sell
Limit Order and Sell Stop Order would be active. A. If
exactly one of them is filled, report my fill price. B. If two
or more of them would have been filled, check the opening price. If
it triggered one order, report that price.C. If two or more of them
would have been filled during the day, alert me that I have an "ambiguous
day" and cannot tell which would have occurred first. (There may be
other Stop and / or Limit orders active as well.) Assume the worst,
and report my fill at the worst price of the ambiguous orders (Sell Stop
price, in this example).3. If none of the orders was filled, provide
for recalculation of the levels for the Limit and Stop order and inform me
what they will be in case I need to Cancel and Replace them for
tomorrow.Thanks in advance,HowardSend
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