Re: Handling of Early Close in Strategy?

["ax" <ax@xxxxxxxx>]

Carroll
Faced with the same problem I found  "SetExitonClose"  worked for me

Good luck

ax
----- Original Message -----
From: "Mike Gossland" <mga@xxxxxxxx>
To: "carrslem" <carrslem@xxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Wednesday, January 29, 2003 4:05 PM
Subject: Re: Handling of Early Close in Strategy?


At 12:45 PM 01/29/2003, you wrote:

>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