|
PureBytes Links
Trading Reference Links
|
Gary, we are talking about the same thing.
when i say h[0] - x i mean high of current bar order for this bar
ie what i ment is h[-1] - x in strict TS terms.
you can't place an order like this:
buy next bar high - x
those orders are not possible in TS, but possible outside of TS.
( order like buy next bar high + x is of course not possible )
anyway...
best workaround is if high[0] - close[0] >= x then sell or sell market.
those are possible because the expression is evaluated on the close
of the bar which TS knows both in real and historical.
but you should be able to do in real time too since in real
time TS is capable of tracking intrabarhigh - x delta
if orders like that were allowed then historical results would not
match the real time results. in fact historical results will be worse
than real time for "off the pivot" type orders. i know it because
i have done it in the past. i would take X is pass it to autoexe
module that would monitor intrabar high and low, etc.
same reason why trailer stops don't work of current high low
same reason bouncing ticks setting was there... etc..
intrabar path is unknown on historical data.
----- Original Message -----
From: Gary Fritz
To: Bilo Selhi
Cc: omega-list@xxxxxxxxxx
Sent: Wednesday, June 12, 2002 12:00 PM
Subject: Re: AW: Unidentified subject!
> what's all the confusion.
> high[0] +- whatever or
> low[0] +- whatever stop orders are not
> allowed in TS for one simple fact.
>Well, they ARE, but not the kind of order you're talking about.
>buy high[0] - X stop (or buy high - X stop, which is equivalent) is
>perfectly legal in TS, but it means "at the close of this bar, place
>an order on the NEXT bar to buy at THIS bar's High - X."
yes, except
, but it means "at the close of this bar, place
an order on the NEXT bar to buy at THIS bar's High[1] - X."
>I think you're talking about an intrabar order which says "if the
>price WITHIN THIS BAR hits H[0] and then comes down X, instantly buy
>at the market."
not really market, stop ( but who cares ) ...
i want to buy if intrabarclose - intrabarlow >= X, on first occurance.
ie every time a new low is set i put a stop order of that low X points higher
or, like you said go at market, at low + X ( all examples ), same thing.
>You can't do that in TS because you can't issue buy orders intrabar.
>System code doesn't run until the close of the bar.
yes, the point i was trying to make.
other point is that for a stop set on [1] the system code will run intrabar...
else will run only on close of bar.
reason is same... to be able to show limits and stops...
>However, you can get basically the same results by going to a shorter
>bar. So e.g. if you were trying to run that strategy on 60min bars,
>you could instead run it on 1min bars. You would then have to track
>the recent high and wait for it to come down X. You could test the
>price against RecentHigh-X at the close of each 1min bar, or you
>could set a limit order at RecentHigh-X. With the buy limit order,
>the results should be very similar to the hypothetical case you're
>talking about.
nuh, too much ...
ideally we need high resolution trading platform totaly based on
tick data where intrabar tick by tick path is known, or at least
1 min resolution. then we won't have problems like this.
like i said this can be solved with external autoexecution module.
pass X to it an monitor for close - low >= X then go market, all
of course outside of TS.
bilo.
|