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I'm using daily bars that are updating live and for this I am trying to use TS 7.1
I just wish there was a DLL that would let me reference that open for an order on the same bar .. otherwise all the code has to be changed to accommodate a 1 minute bar chart (very painful). and you have to hope that the stop level is not hit in the first minute.
----- Original Message -----
From: "Gary Fritz" <fritz@xxxxxxxx>
To: "Chris Evans" <evanscje@xxxxxxxxxxxxx>
Sent: Thursday, October 02, 2003 8:36 AM
Subject: (Fwd) Re: next day open DLL
> My emailer crashed just as I was sending this. Sorry if you get
> two copies.
>
> ------- Forwarded message follows -------
> From: Gary Fritz <fritz@xxxxxxxx>
> To: "Chris Evans" <evanscje@xxxxxxxxxxxxx>
> Subject: Re: next day open DLL
> Send reply to: Gary Fritz <fritz@xxxxxxxx>
> Date sent: Thu, 02 Oct 2003 09:34:53 -0600
>
> > so i tried :
> > If date<>Date[1] then
> > Todaysopen=Open
>
> That will get the open of the first bar of the day, which BTW is
> the same as what OpenD(0) returns.
>
> > Buy at Q contracts at TodaysOpen +N*Range stop
> > .. and I get the error "Market,stop, and limit orders must
> > specify "Next bar"
>
> You must be on TS6/7. They started forcing that extra noise
> syntax in those releases. TS has ALWAYS issued stops on the next
> bar, but they decided they had to make that bleedingly obvious by
> making you type it into every order.
>
> > If I put in "next bar" into the order then the value for Todaysopen
> > will always be yesterday's open - not today's
>
> Are you using daily bars? I wasn't sure since you talked about
> both intraday and EOD stuff.
>
> Remember that stops **ALWAYS** apply to the next bar, and always
> have. Your system code **ALWAYS** runs at the CLOSE of the bar,
> so by the time your code runs on a bar, it's too late to issue
> any stops on that bar.
>
> If you're using intraday data, then you can use the approach
> above to get the opening price, and issue the stop on subsequent
> bars during the day. You CAN'T issue a stop on the first bar,
> since you don't know the value of TodaysOpen until the CLOSE of
> the first bar.
>
> Similarly, if you are using daily bars, you CAN'T use the
> approach above. You won't know TodaysOpen until the CLOSE of the
> day's bar, at which point it's too late to issue stops for that
> day.
>
> For daily bars, the ONLY way to issue stops based off the opening
> price is to use the "Open of next bar" or (equivalent) "Open of
> tomorrow" syntax. That peeks into the future and lets you place
> your stops on TOMORROW's bar using TOMORROW's open.
>
> In reality you can't tell tomorrow's open at the close of today.
> But in reality you could place stops tomorrow morning using
> tomorrow's opening price (calling your broker right after the
> open), and you can't do that in TS. So they use this "unreal"
> workaround to simulate what you really can do in real trading.
>
> Gary
>
>
> PS: Do you mind if I copy this to the Olist?
>
> ------- End of forwarded message -------
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