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Use buy = ref(yourBuyCondition, -1); In other words if you have a buy
condition at the close of the current bar then that formula will
cause you to place an order at the end of the current bar / start of
new bar and will give you a buy signal one second later than you want.
And that buy logic won't fail. If you have a buy condition at the end
of the bar the order will be sent.
If you want to know why trying to trade the last second of a bar is
pointless read on.
Lets enter the real world. Now(4) is your system time and that is not
the same as the bar time developed by the data provider. Your system
clock can be off quite a bit from the data providers clock. So trying
to get your system clock in sync with bar time will rarely occur. If
you are using IB data feed AB uses the system clock to create the
bars since IBs data does not have an integral time stamp. That will
make the bars close to your system clock. But the TWS timer will
rarely will be the same as your system clock.
Trading in the last second of a 5 minute bar is not really different
when live trading than trading when your buy conditions are true and
the bar closes. That will buy at the opening of the next bar, one
second later, and for all practical purposes will be the same or very
close to your price. Well it won't really buy one second later. Even
if you are using ABs AutoTrading interface to send orders to IB the
delay between your system and the order fill at TWS is probably more
than a second with a market order. If you are trying to get your
exact price forget it. Won't happen most of the time due to the
bid/ask spread, trade volume, etc. I guess I get the price at the
time of the order once in 10 to 20 orders. Often it is off more than
an tick or two and if the market is really volatile it will be more
than that. If you are trying to avoid the gaps you see between the
close and the open forget that too. It is practically impossible.
Barry
--- In amibroker@xxxxxxxxxxxxxxx, Peter Braun <bleifish@xxx> wrote:
>
> How can I sell reliable on close of bar (I'm using 5 minutes bars)?
>
> I've used this code, it tries to sell on last second of the 5
minute bar:
>
> Time = Now(4);
> NumSeconds = int(int(Time/100%100)*60+int(Time%100));
> Newperiod = NumSeconds % TimeFrame >= in5Minute-1;
>
> But it failed yesterday. I suppose, it didn't execute on that last
second
> for some reason. But I don't know another way.
>
> Thank you in advance
>
> Â Peter
>
>
> __________________________________________________________
> Gesendet von Yahoo! Mail.
> Dem pfiffigeren Posteingang.
> http://de.overview.mail.yahoo.com
>
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