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Re: [amibroker] get Buy/SELL fill px/per each orderID via ibcontroller (& 2 other questions...)


  • To: <amibroker@xxxxxxxxxxxxxxx>
  • Subject: Re: [amibroker] get Buy/SELL fill px/per each orderID via ibcontroller (& 2 other questions...)
  • From: "Chris DePuy" <cdepuy@xxxxxxxxx>
  • Date: Sat, 31 Jan 2009 15:04:05 -0800

PureBytes Links

Trading Reference Links

Hi timekeeper,
 
a) Use AFL code
b) getrtdata("bid")
c) 1) delay will be what is in the AA Settings Trades window unless you say otherwise in the .afl
c) 2) Yes, in the scenario you outlined, it would be.  That is because you'd be calculating a value (the average) that uses hi and low from different time periods, and then plugging it in as, say, your entry price (you'd use buyprice syntax to do that).
 
Chris
 
----- Original Message -----
Sent: Monday, January 26, 2009 7:58 PM
Subject: [amibroker] get Buy/SELL fill px/per each orderID via ibcontroller (& 2 other questions...)

hi all!

2 naive questions from a new user:

(a) i am working with ibcontroller and would like it to return from tws the BUY/SELL SHORT fill prices - per each orderID - so that i can later use these IDs as %gain triggers in
conditional SELL/BUY TO COVER orders. what would i do within either
(1) the AFL code using a pre-existing command, or
(2) write a command in AFL, or
(3) use the C++ DLL builder to achieve my goal somehow, or
(4) some other workaround i don't know enough to inquire about?

(b) how can i work with BID/ASK prices and sizes instead of OHLC or AVERAGE?

(c) changing now for a moment to the amibroker backtest (rather than API) environment, if I use the default AFL trade delay setting is that default setting (in the AFL code NOT the
GUI) set to
(1) zero or a one?
(2) if it is zero AND i want the average price as my fill price AND i get my buy signal at the END of the bar, am i backtesting a scenario that uses forward information??? - - in that
i am modeling the acquisition of shares at a price (in this example the average price of the bar) that is chronologically prior to my knowing that i even have a signal and that i want
to acquire shares at all?

thks for your help, patience and grace when presented with questions from the naive among us -

=--timekeeper

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