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Volker, I appreciate the reply, but you're suggesting ways to get
around a real deficiency in WL (and also TS) that just won't work
for many daytraders.
>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.
This isn't what I'm trying to do. See below.
>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.
This isn't what I'm trying to do either.
>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?
More or less, but not really.
>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.
No, this doesn't apply either.
Here's the situation. I'm trying to automate a process for a trader
who does it manually. He watches bars form in real time, and his
indicators update on every tick in real time (a feature of TS), and
when he sees a signal on his indicators, he enters a limit order
with an entry price based on another indicator. Often, his order is
filled IN THE SAME BAR.
So in software, I have three conditions, one that generates a set-up
signal, one that generates an entry trigger on price, and one that
determines a different price for a limit order. The set-up signal
often occurs on a prior bar, in which case there's no problem, I can
place the limit order which may or may not be executed on the next
bar.
The problem happens when the set-up (based on one indicator) and
the price trigger and the limit price all occur on the SAME bar.
This is often a swing turning point. You must admit that one would
rather enter the order right on a turn than on the next bar! This
trader can do this, manually. The software cannot. My trader friend
sits there, watching his indicators, and while a bar is forming, he sees
the setup, so he places the limit order, and the limit order is filled
before the bar is done.
Good real-time simulation and backtesting software should be able to
simulate real trading. In this case neither WL nor TS can do it.
TS comes a little closer in that it can update indicators on every
tick, but can't update signals.
-Alex
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