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Hi Scott
> Thanks Roy for taking the time to respond.
>
> Let me add some context to what I am trying to do. In terms of
> timing, I use the End of Day product and would be looking at data in
> the evenings.
>
> So let say I have a signal based on today's close and I want to buy
> sometime tomorrow if the price breaks out above today's high. The
> limit order is evaluated during the next day. This is how I see it
> which is not necesarily correct.
>
> Is it true that a limit is evaluated during the next day?
The trade is evaluated, at least for number of shares, on the day of the signal. If you delay
execution by one day then the ability to pay for that number of shares is evaluated on the day of
(intended) entry. If the price is higher than when the number of shares was calculated, as it must
be to meet your limit price, and you're committing 100% of equity to the trade, then the trade will
NOT execute. The reason is simply that there will be insufficient funds to puchase the number of
shares calculated on the previous day. That's why it can be critical that the evaluation and
execution should occur on the same day.
Of course there are all sorts of permutations with multiple positions, "Realistic" prices, and so
on, but the closer you stick to evaluation and entry on the same bar, the less problems you'll have.
Here's how I would code you limit entry (I still get confused between limit, stop, and stop limit,
so you may need to amend the price code).
Buy formula
Ref(C,-1)>Ref(C,-2) AND H>Ref(C,-1)+0.25;
Price formula
(Ref(C,-1)>Ref(C,-2) AND H>Ref(C,-1)+0.25)*(Ref(C,-1)+0.25);
Check these out on a chart and see if that tally with the day you would want the trades to execute
Regards
Roy
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