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Ed, i think the person was n't talking about basket orders, he spoke of
conditonal orders.
I looked at API stuff and it is mind-boggling for me... :-( so i hope some
expert will do it for us one day.
let us know how you are doing.
Some of the data you need can be extracted (perhaps indirectly) from the AB
tradelist. I did that some time ago...if that is the way you want to go let
me know and I will do some digging for my code that read the tradelist with
afl.
herman.
-----Original Message-----
From: ed nl [mailto:ed2000nl@xxxxxxx]
Sent: Thursday, September 09, 2004 6:45 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] creating a basket order file
Herman,
thanks for your reply. I'll go dig in the archives. Indeed the information
I need is embedded in Amibrokers' internals and I need some way to extract
it. I think scripting offers a solution so I will have a look. Also I
remember TJ saying that at some point Amibroker will not need scripting any
more. So I think at some point we could use AFL to extract info like
- number of symbols still in portfolio
- individual symbols still in the portfolio
- number of shares per symbol in the portfolio
- exit price of the symbols still in the portfolio for the future bar
- symbols to be bought the future bar
- entry price of these symbols
- etc.
once we are able to extract this information we could use fopen, fputs etc
to write them to a file. But I think this is already possible now with
scripting. I will look in the archives.
The ordertypes you can put in a basket are limited as I understand but
just read an Email in AT of somebody who says this is not the case. I
adjusted my system and for now I could start off sending only limit orders.
Like you I am planning to look at the API myself. I have learnt basic Java
a few years ago and will do an attempt to get into it again. In fact I
installed the free JBuilder compiler yesterday. But I would like to avoid it
because it is rather specialistic work and I am not a trained programmer
....
rgds, Ed
----- Original Message -----
From: Herman van den Bergen
To: amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, September 09, 2004 12:28 PM
Subject: RE: [amibroker] creating a basket order file
hello Ed,
Perhaps components of what you are trying to do are in the archives. If
you
run a port backtest and get your next day trades that way you can export
the
backtest results and read the last few lines with afl to get all the
order
information you need. An Auto-Exporting script was covered during the
last
year and I am almost certain that Dingo wrote a script that does this
automatically. Also, MrDavis also shared Ninja code that may contain
valuable ideas for the file creation process. You can also use custom
code
to extract the top-score tickers to trade, this code was also posted a
couple of times.
I think it may be a little more complicated than you assume because AB
does
not allow us to access many Portfolio variables through afl code.
Perhaps
this will get more attention after the Auto-Order fill feature is
introduced.
btw, if i remember correctly, basket orders can not be auto-loaded in
the
TWS...also basket orders cannot contain all order parameters, only a few
limited parameters are possible. I looked at it once as a interim way to
get
an auto-forder fill function: it couldn't do what i needed. Also, again,
if
i remember correctly, it creates a new basket page on each load, which
means
it cannot be used for repeated order modification. I wrote to IB about
some
of these things a long time ago but they replied they have no plans on
making big changes. I guess they expect people to use the API
interface...
Sometimes I think that the best way for us to make success in trading is
to
take a year off, go to school and learn to program DLLs and API stuff
:-)
With regards to your needs, it might help if you listed the steps
required
in a 1,2,3... format. I think everything you need was covered on the
list at
one time or another.
best regards,
herman.
-----Original Message-----
From: ed nl [mailto:ed2000nl@xxxxxxx]
Sent: Thursday, September 09, 2004 12:31 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] creating a basket order file
hi Dingo,
for this system I use EOD data with a Buy delay of 1.
I think the data should somehow be extracted but I do not think it can
be
done with AFL yet. Maybe with scripting but I wouldn't know how to do
it,
rgds, Ed
----- Original Message -----
From: dingo
To: amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, September 09, 2004 3:09 AM
Subject: RE: [amibroker] creating a basket order file
are you working with eod? what delay are you using?
d
_____
From: ed nl [mailto:ed2000nl@xxxxxxx]
Sent: Wednesday, September 08, 2004 5:57 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] creating a basket order file
hi Dingo,
yes I know these functions but how do I use them and tell them to
output
what to buy and sell on the last day of the backtest. For instance
the
simple system below. How do I create this particular output using
these
functions?
rgds, Ed
// simple sys
SetOption("InitialEquity", 100000 );
SetOption("MaxOpenPositions", 4 );
PositionSize = -25;
SetTradeDelays(1,1,1,1);
Buy = Cross(RSI(14),30);
Short = Cross(70,RSI(14));
BuyPrice = O;
SellPrice = O;
Sell = 0;
Cover = 0;
ApplyStop( stopTypeNBar,stopModeBars,5,ExitAtStop = 1,Volatile =
False,
ReentryDelay = 1 );
ShortPrice = O;
CoverPrice = O;
PositionScore = 50-StochK(14);
----- Original Message -----
From: dingo
To: amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, September 08, 2004 11:36 PM
Subject: RE: [amibroker] creating a basket order file
File Input/Output functions
* fclose
<mk:@MSITStore:C:\Program%20Files\Amibroker\Broker.chm::/afl/fclos
e.ht
ml>
(File Input/Output functions) - close a file (AFL 2.5)
* feof
<mk:@MSITStore:C:\Program%20Files\Amibroker\Broker.chm::/afl/feof.
html
>
(File Input/Output functions) - test for end-of-file (AFL 2.5)
* fgets
<mk:@MSITStore:C:\Program%20Files\Amibroker\Broker.chm::/afl/fgets
.htm
l>
(File Input/Output functions) - get a string from a file (AFL 2.5)
* fopen
<mk:@MSITStore:C:\Program%20Files\Amibroker\Broker.chm::/afl/fopen
.htm
l>
(File Input/Output functions) - open a file (AFL 2.5)
* fputs
<mk:@MSITStore:C:\Program%20Files\Amibroker\Broker.chm::/afl/fputs
.htm
l>
(File Input/Output functions) - write a string to a file (AFL 2.5)
From the help file..
d
_____
From: ed nl [mailto:ed2000nl@xxxxxxx]
Sent: Wednesday, September 08, 2004 5:29 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] creating a basket order file
hi,
I am trying to make a basket order file for Interactive Brokers. I
use
a
portfolio type backtest and I would not know how to be able to
influence
the
output. The output file would contain something like this
BUY, 100, MSFT, STK, SMART, LMT, 52.85,
BUY, 100, FITB, STK, SMART, LMT, 58.25,
SELL, 100, AAPL, STK, SMART, LMT, 30.22,
COVER, 100, BRCM, STK, SMART, LMT, 15.55,
SHORT, 100, PETM, STK, SMART, LMT, 22.44,
any ideas?
thanks, Ed
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