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At 12:38 PM 6/28/2003, Alex Matulich wrote:
The problem here is, one can only get the resolution down to 1
minute. In this thing I'm coding for someone, he needs indicators
calculated from periodic bars (not ticks). Any signal that
generates a limit order, and the subsequent execution of that order,
must be able to occur inside the same bar.
The concept is that a bar is completed and on the basis of that bar, you
enter a stop order or limit order in the market. That is the way most
people work. Those orders are active on every tick. If something changes on
a subsequent bar and your order has not been filled, you cancel that order
and enter a new stop/limit order that is active on every tick.
The other possibility is to us a 1-tick chart where each "bar" is one tick.
You can then enter a market order if the tick hits your value. But if you
know the value at which you want to enter the market order, you might as
well simply enter the stop/limit order at that price in advance.
Either method requires you to solve the indicator formulas in reverse to
find the price at which some condition occurs. This can often be done
algebraically but if not, you can usually extrapolate from the last few points.
This is how he trades manually, and I'm trying to automate it for
him. He watches bars form, his indicators update every tick, and
when he sees a signal based on his indicators WHILE THE BAR IS
FORMING, he clicks his mouse to place an order, and often the order
is filled before the bar finishes.
I have never been able to make a system do something exactly as a
discretionary trader does it with indicators. It is better to figure out
what he is doing then design a system to do that. The system may work on a
different bar compression than the indicators or even a tick based chart.
Decent trade-simulation software SHOULD let me perform the same
thing in software, without jumping through a lot of hoops. That's
why I suggested that if indicators can be updated every tick, then
so should signals.
If systems were updated at every tick you could get dozens of trades within
a bar - buy, sell, buy, sell, etc. You would then have to add code to limit
how many you could get - seems very messy.
Neither WealthLab nor Tradestation can do this.
Maybe that should tell us something...
Bob Fulks
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