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Alex,
Why don't you add a new datastream, one that has a higher resolution
(tick based) than the original datastreams?
Mark.
> -----Original Message-----
> From: Alex Matulich [mailto:alex@xxxxxxxxxxxxxx]
> Sent: Sunday, June 29, 2003 05:11
> To: l.walko@xxxxxxxxxxx
> Cc: omega-list@xxxxxxxxxx
> Subject: Re: Tradestation or Weathlab ?
>
>
> 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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