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At 6:00 PM -0500 3/8/99, Peter Hoon wrote:
>I am trying to find a way to combine us9m and zb9m into a continuous data
>stream to which I can apply indicators and a system written in EL.
>
>With globalization, I find that there are more and more large gaps between
>the afternoon closing price of us9m and the next morning opening of us9m.
>I want to develop a bond system based on a sequential stream of bond data
>during weekdays that is about 23 and 3/4 hours of bond trading.
>Specifically, the continuous stream starts when us9m closes at 2:00 PM CST
>and we switch to zb9m at 2:15 PM CST through 7:29 AM CST the next morning.
>At 7:30 am CST we switch back to us9m..
You can obviously assign us9m to Data1 and zb9m to Data2 and create a new
"Price" variable that is equal to the Close of either data stream at
various times. So the value of "Price" would be the continuous data stream.
if Time >= 0730 and Time <= 1400 then
Price = Close of data1
else
Price = Close of data2;
Your trading system could then use "Price" as its input. (This example
assumes you only use the closing price but you could create a variable for
Open, High, and Low as well.)
Some trading systems will not let you use a variable as the price input (if
they use "Series" functions) but they can usually be rewritten to allow
this.
The problem is that TradeStation will only let you trade on the Data1
stream. To get around this you could program all the trading calculations
yourself and issue commands to the print log to tell you when to place
orders. I did this once in a system that traded the Fidelity Select Funds.
It was a lot of effort but worked OK. In effect, you do not use the Buy and
Sell commands but just use a variable to keep track of your position.
How this helps.
Bob Fulks
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