|
PureBytes Links
Trading Reference Links
|
>I need help with what I hope is a simple issue. I am developing a TS6
>"strategy" (system) which always exits by the end of the trading day. My
>problem is that I don't know how to handle early closes. I.e., if my
>strategy has not logically exited by the time of the close, I want to exit
>at (or near) the market close.
>
>I determine when a new day has started (and, by hindsight, when the previous
>day has ended) by date<>date[1]. By then, however, it's too late to exit my
>position at the end of the previous day and this "hanging" trade screws up
>handling of the subsequent trade.
>
>This seems like such a common problem that I'm sure there must be a simple
>answer and I would greatly appreciate your advice.
>
>Thanks,
>Carroll Slemaker
This is a problem that I've never seen a very clean resolution for. Of course you can't expect TS to know that a day is ending early, at least not without telling it.
The best I can suggest is to create a signal with nothing but Date and Time as inputs. (You could also hard code known early closes in code.) Force an exit at that timestamp. Add this signal to your strategy.
HTH,
Mike Gossland
|