|
PureBytes Links
Trading Reference Links
|
Alex.
I might have been a bit short in my explanation. I try to show you the
two variations that explains the difference a bit better.
1. Buy at highest high of last bar.
This order will be placed as soon as the current bar is over. So when
the high was at 100 and the close is at 99 and a new bar shows up WL is
placing the order to buy at 100. Let's say the next bar open at 99 and
moves at 101 you will be triggered of course on that bar because you or
the ATE has placed the order.
2. Buy if RSI (Bar, Close(14)) > 70 AND high > highest high of last bar.
This order would need the closing price of the current bar. WL waits
until this bar is over and if the high > then the highest high of
previous bar then it will place the order.
I can see your argument that you want to buy if RSI (Bar, HIGH(14)) > 70
then buy at highest high. And then you don't want to buy only after the
fact but right then when the price is moving over a certain level,
correct?
In that case I guess I would solve this problem by calculating the price
level that would trigger this and would try something like:
If the highest high yesterday is > then the trigger level of the RSI
(the number that you would need to fulfil the RSI criteria) then buy at
100. I know it is more complex and a bit of twisting but it should work.
Also I must say we have not tried this kind of ATE.
I hope I clarified a bit of the misunderstanding.
Regards.
Volker Knapp
Wealth-Lab Inc.
www.wealth-lab.de
www.wealth-lab.com
-----Ursprüngliche Nachricht-----
Von: unicorn@xxxxxxxxx [mailto:unicorn@xxxxxxxxx] Im Auftrag von Alex
Matulich
Gesendet: Freitag, 27. Juni 2003 15:30
An: VK
Cc: omega-list@xxxxxxxxxx
Betreff: Re: AW: Tradestation or Weathlab ?
Volker:
A bit of a contradiction here:
>TICK UPDATE:
>WL does not update indicators on every tick. It was our conclusion that
>when you test systems you use the closing price for indicators, so you
>should/want to trade with those prices.
and then:
>AUTOMATED TRADING EXECUTION:
>Version 3 will have the automated trading execution with IB and we are
>planning to add other brokers.
If that is the case, then WL would be just as useful (or useless)
for automated intraday trading as TradeStation. You can't have true
automation unless both trading systems and indicators are updated
every tick.
This could be an option set by the user. It's not hard; every on
every tick the system state is restored to the close of the previous
bar, and the subsequent H, L, and current tick value is used to
update the indicator. On the last tick of the bar, the system state
is saved as the new "previous bar" system state.
If I have a system running on 5 minute bars, I will be watching the bars
form in real time (I can do that online on quote.com now), and when
something generates an order mid-bar, I want to place that order NOW,
not 3 minutes from now. That's how intraday trading works.
I have written systems that place a limit order and expect it to be
executed within the same bar. It waits for an intra-bar price to
be reached and then place a limit order to enter the market a bit
beyond that price. This system CAN enter the top or bottom bars of
a market IF it could execute an order intra-bar. If it has to wait
for the next bar to place an order, it's too late.
>GENERAL:
>If the demand is big enough for an indicator that updates every tick
>then we might look into that for our next version or an earlier build.
Well, "update every tick" is something Tradestation has done for
a long time, and many people do use that feature. Tradestation
doesn't do it for strategies that generate signals however. I don't
know if WL separates codes into different types like functions,
indicators, signals, paintbars, etc., but if it does, then signals
as well as indicators need an option to update every tick.
-Alex
|