|
PureBytes Links
Trading Reference Links
|
Let's take a shot at this. While I don't have the next day dll personally,
here's how I would use a "next day peeker" function
If my trading strategy decides that it's time to buy, based on ATR or other
criteria, and my approach is to buy tomorrow at a specific price offset from
the close today, tomorrows open, I would execute code like this (pseudocode,
requires added vars and puncuation):
If mybuycondition is true then
begin
tomorrowopen = "gettomorrowsopenprice" {get tomorrows open price}
buy next bar at tomorrowopen + .5 stop {setup a buy stop order for
tomorrow}
end
or
buy next bar at tomorrowopen + (.5 * ATRofthelast20days) stop
In essence, we are setting up the buy today, for tomorrow's consideration,
based on tomorrows opening price and other factors. This emulates the type
of trading system where a human would check the open price, hand calculate
an entry point, and call their broker. use of the nextdayopen function
allows this type of system to be tested.
warmest regards,
Kimberly
> -----Original Message-----
> From: James O. Davis [mailto:fleubis@xxxxxxx]
> Sent: Wednesday, August 30, 2000 11:07 AM
> To: omega-list@xxxxxxxxxx
> Subject: "Next Open"
>
>
> I am trying to understand some new TradeStation Signals I've got which
> utilize the NextOpen DLL. This .DLL as you probably know allows you
> access tomorrows open. What I'm seeing are buy and sell
> signals produced
> by the Signal each of which is plus or minus Tomorrow's Open as
> obtained by the DLL plus or minus a computed Factor..
>
> I'm not grasping what the intentions are here in terms of trading. In
> backtesting, each bar is looking into the future to obtain a
> price (plus
> some additional math) on a buy or sell order which is assummed to be
> filled.
>
> This seems to imply that for a position trader (never mind daytraders)
> to trade this type of Signal--never mind the backtesting--that to
> duplicate the backtesting methodology, you are in fact waiting for the
> market to open to get the opening price, applying the Factor, and wait
> in hope that your order will be filled. Now am I getting this right?
>
> My confusion is the result of trading for years by
> buying/selling at the
> market, with also stop limit orders on market open, but most often
> regardless of price But I don't understand how it is reasonable for
> TradeStation to assume trades have been placed based upon an unknown
> opening price--tomorrows open..
>
> Can anyone straighten me out on the intentions of the Tomorrows Open
> DLL??
>
> J. Davis
>
>
|