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Alex:
Actually, there is one special situation when TS updates the
system while the bar is being formed. This happens in back
testing when using the built in SetStopLoss percent. The
behavior is exactly what Alex wants, viz., determine if a new
high (low) is being formed, and deduct, say 20 % of Most
Favorable Excursion from said high (low), whereupon a stop order
is executed WITHIN the bar.
IMHO, this is a BUG since foreknowledge is required to compute
the result. This bug was documented in TradeStation Express by
Bill Brower years ago. Once the bug is corrected, some systems
can generate DRAMATICALLY different results then systems with the
bug.
Likewise, Pierre O. has explained this issue way back. Closing
the bar is required if one is to build a reliable platform that
can match historic back test in real time.
Leslie
p.s. if I had foreknowledge, I would not need TS or WLD. :-)
Bob Fulks wrote:
>
> 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
>
>
--
Regards,
Leslie Walko
610-688-2442
--
"Life is a tragedy for those who feel, a comedy for those who
think"
Horace Walpole, 4th earl of Orford, in a letter dated about 1770
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