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It also occurs to me that you could just use
open next bar on a daily system and/or run
code on an intraday system (data2) and use
the NextOpen.dll to enter the trade on the
daily (data1) "open next bar." I forget all
the details, but the NextOpen.dll (was that
Kimberly's?), allows you to mix multiple data
streams with "open next bar" code.
BW
>From: "Gary Fritz" <fritz@xxxxxxxx>
>Reply-To: fritz@xxxxxxxx
>To: "marika11" <marika11@xxxxxxxxx>
>CC: omega-list@xxxxxxxxxx
>Subject: Re: EL question
>Date: Tue, 19 Mar 2002 10:15:50 -0700
>
> > there is a problem...
> > I think Sess1Endtime take the end time from Globalserver; the
> > problem is: the market I follow recently change his end time (from
> > 1730 to 1740); so in Global server now it's 1740; historical data
> > to test ends at 1730; so
> > If (time=Sess1Endtime) then
> > doesn't work..
> > How can I keep anyway the last trading session bar?
>
>That *is* tricky.
>
>To trade on the first bar of the day, you must place the order on the
>last bar of the previous day. But the normal way of detecting the
>last bar of the day (Sess1EndTime) doesn't work very well in your
>case because it's changed. (It also doesn't work for short days,
>i.e. days that don't have a bar at Sess1EndTime, but usually those
>are infrequent enough that you can ignore them.)
>
>I can think of two solutions:
>
>* Place the orders if Time >= Sess1EndTime - X. So for example if
>you're trading 30min bars, your data used to end on the 1730 bar but
>now there's a 10-minute-long bar ending at 1740. You could try
>placing the order if Time >= 1730. This means the order will
>sometimes be hit on the 1740 bar, and that might not be acceptable
>for your testing.
>
>* If you can do it, there's a better answer. Check the date of the
>NEXT BAR. For example,
>
> if Date of next bar > Date then ((place 1st-bar order));
>
>You can even refer to the open of the next day's bar:
>
> if Date of next bar > Date then buy at open of next bar + X stop;
>
>EL allows you to check the next bar in certain conditions. You can't
>use a "buy/sell at close" order if you're referring to the next bar.
>So, for example, EL prohibits you from doing this:
>
> if Open of next bar > Close then
> buy at close;
> sell next bar at open;
> end;
>
>Obviously that's not legal!
>
>I don't think there's any kind of illicit games you can play just by
>looking at the *Date* of the next bar. But EL won't allow you to
>"buy at close" even if you just look at the Date.
>
>So if you don't have to do any "buy at close" type of orders, you can
>issue your first-bar order only when "Date of next bar > Date". If
>not, you'll have to kludge a less elegant solution.
>
>Gary
>
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