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Leslie:
> 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.
Ugh. No, that's not exactly what I had in mind, for the reason you say:
> 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.
Volker and Bob both pointed out to me that having a system update on every
tick would potentially create a lot of entries and exits on a bar. It
wouldn't with my code. And I still don't think this is an unreasonable
feature request. It's certainly not for non-programmers or people who
don't know what they're doing or how to write code to handle such a
feature. I wrote mine to handle it, because I assumed this feature
existed.
I did partially solve it by extrapolating an indicator to the next bar and
testing whether this extrapolation would activate a set-up condition that
would generate a limit order. If so, I generate a limit order for that
upcoming bar. It works, sort of. Catches some trades that would be
missed otherwise, but generates some falsies. Fortunately this situation
where a signal, order, and execution all occur on the same bar, doesn't
happen often.
-Alex
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