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Re: Faking a Limit Order on Current Bar



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>Wait.  You're saying that for e.g. minute 10:12, you're looking
>at the High and Low of the 10:12 bar to determine the limit
>orders in effect for that same 10:12 bar??

>That seems very unstable.  The H/L of your "virtual" 1min bar can
>change continuously until the close of the bar.  Do you expect
>your limit order prices to change continuously throughout the
>bar?

    i think that's the point he was trying to make and it is a valid point.
***suppose sp sets a new high for the day and you want to exitlong off that "high - stop" on that current bar.
( whether you will catch the bar high or just running high  is a different question ) but
currently it's *not possible* in TS on minute bars. what is possible is to exit on the close of that bar if stop condition is met...
that's the best that could be done...  and because of the low res when you have excess volatility you will end up
giving up more than you need to... the workaround is the indicator with UET enabled with alert, but it's bad workaround.
( do not confuse high - stop conditional, where high is previous bar high )

( i am getting way ahead here but let's try )
another point is then, suppose you have your high res tick by tick platform and suppose conditional orders
are allowed on the currentbar then another issue pops up: how many conditional buy vs sell orders do you allow per bar?
the answer is, maximum of 2 buy_and_sell orders ( same type orders, you don't care how many there ),
that's a typical minimum requirement for a complete trade...
else could have a situation where you have 4,5 trades ... on the same bar. that would not look good on the chart and in
trading...

>If so, then doing it on a 1tick chart is about the only way you
>COULD do it.  You'd be recalculating your limit orders on every
>tick that made a new H or L within the bar.  I'd be fairly
>surprised if something like that really worked and was robust,
>but I've been surprised before.

exactly the point, high res platform is a tick by tick platform... actually they could do is
something like in Radar Screen 7.0, update system every, say 30 seconds, instead of tick,
or even every point, if they dig that...

>Usually (at least within the TS model) you use something stable,
>like the H/L of a *completed* bar, to generate orders for the
>NEXT bar, but maybe this moving-target approach works well.

>Let's say you're trading with daily data, and you're running with
>tight stops -- maybe a stoploss and profit target stops that both
>fall within the range of one daily bar.  Which stops got hit
>first?  Did the market hit your PT before it knocked you out for
>a loss, or vice versa?

this is easy to figure out. first time condition is met the order gets executed.
suppose you have an order to sell off the high - stop. first time price deviates
away from any CURRENT high - stop, bam you get a sell arrow and a position change
flag, what happens after that is not important. so if those conditions are met several
times within the bar with higher high then you are out of luck selling it higher.


> Gary is right. that's the major  limitation in TS as a platform...
> all because TS is still a low res. platform. price path inside the
> bar is not known... however the truth is that they are just plain
> lazy, if they really wanted they could implemented it at least
> partially, ( without resorting to data1/data2 setup) for example in
> TS 6.0, 7.0 they could if they wanted use higher resolution like 1
> min or  even tick to implement market/stop orders on current bar.

>They *DID* implement that.  That's the "resolution" option I
>described above.

yes, but only for backtesting resolution and not for orders...

> ps. other major limitation that i am encountering now is overnight
> gaps which present discontinuities in the price, volume flow,
> especially in the markets with overnight sessions.

>Yeah, that's a problem.  It's especially bad if the market makes
>a limit move.  If price exceeds your stop level then TS blithely
>fills you, whether you could actually have been filled or not.

well now that the overnight and custom sessions are supported at least you
can code an overnight stop order, that's a big plus... before that the lack of
that feature basically made auto swing trading hardly possible and holding positions overnight risky.
the problem with gaps is not actually the overnight stops, but gaps will throw off
your indicators. suppose you are computing returns, close - close[1] variance, etc..
with overnight large gap this one value will be huge that that will generate shift
in variance value, this is just simple example that could be solved, others are more complex.

bilo.
ps. as it is said the devil is in the details... slight error will cost you a trade and can throw your whole system
off  and TS people so far have not shown total attention to details.  and it still shows... that's my little whine...