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At 10:10 PM 6/28/2003, Alex Matulich wrote:
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.
I'm happy you solved the problem.
I would guess that the current model evolved from trading on daily bars. In
this, you get the bar for today and on the basis of that, calculate the
orders of tomorrow, (market. stop, or limit), then turn off your computer.
The next day, you enter the orders for the day before the open and go to
your day job. You then come home that night, turn on your computer and
repeat the sequence. The computer in not on during the day while you are at
work so there is not need to monitor the market.
Indicator-based day-trading was different. You watched indicators during
the day and sat with your finger on the trigger, waiting for the correct
instant to place the trade.
This latter method only works if the round-trip delays are sufficiently
small. This includes the time from the last trade, through being reported,
and the data being transferred from the exchange through the data vendor
chain to the communications media to your computer - then through your
decision-making process back through your broker to the exchange. It is
only recently that this has become fast enough to make such trading
possible off of the trading floor.
By calculating in advance what price point should trigger an order, you
bypass all of these delays. So a system based upon calculating the price
point in advance can actually be better than waiting for the price to
appear on your screen then placing the order.
Bob Fulks
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