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it is the major limitation of TS. for a stop order
you can only generate the condition for the order
on the previous bar. if you try to update the condition
of the current bar the stop order will get executed on
the open of the next bar. again it is a major limitation
which TS can not solve at this time.
if you want to use multiple data charts you can pass
your condition from lower to high resolution data and
execute the order on higher resolution data. this
will require two data streams in chart, so you are better
off just using higher resolution data and building
synthetic bars of lower resolution within that chart and
working with those. been done before.
now, if you want just to execute something, *but the stop order,
on per tick basic within the system, it can be done with
hashnumbs dll without the need to use multiple time frames.
you simply write an indicator that runs per tick on the same
chart and then execute per tick code from the indicator
rather then the system. i have done that for instance i can
print real time "on the tick the order gets out" orders to a printer.
without hashnumbs ( global var )dll it is impossible to do but on the close
of the bar...
the problem with TS is that they do not pay attention to finer
details. for years we asked them to include global variable
option that could solve the majority of the problems and they
just ignored users... simple things like being able to print your order
to a printer in real time, on the tick it gets generated or
execute a market order on the the tick it gets
generated and not on the open the bar... they just don't get it.
based on the above consideration some users designed
systems in indicators and then used systems just for order
execution, ie you code a system as an indicator and pass
the order flags into the system. still the first problem
can not be solved with this approach.
i posted the same question just a few days ago and
i think the reason why they don't allow per tick updates
within strategies is:
- historical data comes in bars, with no tick resolution,
if they were to allow per tick execution on real time
data then the system results would be different if real
data is used or historical data is used. as a compromise
they allow you in TS6.0 to use 1 min resolution data for
backtesting but not for real time trading, meaning you
can backtest with 1 min resolution but you can't execute
per 1 min if you for instance use 30 min bar ( would need
30 executions per bar ).
- TS is not geared up to pull of per tick historical bar data,
what i mean is the speed and technology is not there yet
for us to have access to bar data and full per tick price
path within that bar. you can build systems on tick charts
but that's a major drag and optimizations are very slow.
in the future there will be data platforms allowing access
to for instance 30 min bar data ( o,h,lc) and at the same
time to have access to high frequency intrabar tick by tick
data, execute code per tick or per any resolution within
that bar or per bar time frame...
i mean you can do that now by loading 30 min bar data
and then tick by tick data and then passing values back
and forth, or you can create synthetic bars from tick chart,
but it's far from ideal. this will work if you are trading only
one symbol like SP but if you trade a portfolio of symbols
it's just to much to handle for the computer system.
the straightforward solution is not available yet.
then things like observed volatility can be modeled
with high precision and everything can be measured with
high accuracy. having access to continuous ( tick ) price path
within a typical time bar
will solve many theoretical problems in trading. since data
will be near continuous the accuracy of modeling will increase
to the max... this is probably at least 5 years away...
it is basically an equivalent of everyone of us working off
historical tick data all the time... need faster machines,
faster data servers, etc...
until then we are bound to using discrete bar data and
the problems associated with it.
bilo.
> > From: Todd Hanson [mailto:todd@xxxxxxxxxxxx]
> > Is there anyone out there who can point me in the right direction
> > for either
> > a work around using easylangauge or a .dll that will allow a strategy to
> > generate a order based on a intrabar signal and not wait until
> > end of bar to
> > calculate the strategy? Thank you and take care.
>
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