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Re: How does one keep TS4 from making 2 trades on the same bar?


  • To: omega-list@xxxxxxxxxx
  • Subject: Re: How does one keep TS4 from making 2 trades on the same bar?
  • From: "Gary Fritz" <fritz@xxxxxxxx>
  • Date: Wed, 1 May 2002 12:46:24 -0700
  • In-reply-to: <200205010558.WAA31013@xxxxxxxxxxxxxx>

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> How does one keep TS4 from making 2 trades, one long one short, on
> the same bar? 

Don't issue two orders on the same bar.

If you tell TS to go long and go short, e.g. at price LongStop and 
ShortStop, and the next bar hits both those prices, then TS can and 
will execute both orders just like you told it to.  If you're 
bracketing the market with orders, you should either use wider 
brackets or shorter bar lengths so your bars don't hit both orders.

There's no way to do OCO logic, where the first order to be hit 
cancels the second.  In any case TS4 doesn't know in what order the 
prices were really hit anyway.  It only knows OHLC for sure.  So 
anything you do with multiple orders in one bar is error-prone and is 
not an accurate indication of what might have happened in realtime.  
That includes MM stops that get hit in the bar of entry and ANY other 
case where multiple orders are hit by one bar.

Gary