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> What you are asking for is very simple with intra-day data.
Well... that's true if I use intraday data to resolve a daily order
sequence. But if I'm working on a day trading system, I have the same
problem trying to apply same-day order changes to 5-minute bars or
1-minute bars or whatever.
> I assume you are using end of day data. You are asking
> TradeStation to make assumptions about intra-day price
> movement based only on knowing the open, close, high and low
> prices. Can you really make such assumptions?
THANK you! You play the straight man part very well.
The answer is no. I mean yes. Actually, both. Sometimes, a day's
trading range can cause ambiguity, but there are some circumstances
where you can conclusively identify a proper sequence. For example, if
you look at this OHLC: 1101 1120 1100 1119
there are some guaranteed and likely conclusions you can draw.
a) The open was at the bottom of the trading range.
b) The close was at the top of the trading range.
c) If I had two orders like this, I KNOW that they got filled:
BUY 1105 stop
If filled, then SELL 1115 limit
There's no reason that in this bar, I should not expect to have a
completed trade. The open price was below the first order, and the
closing price was above the second order. Even in a fast market, I get
filled; the first order is a stop (so maybe I get filled at 1120, but I
still get filled), and the limit order is below the closing range.
d) If one wanted to be slightly more liberal, one could also draw the
conclusion that the market PROBABLY DID NOT touch the low after the high
was reached. In a polarized trading day of this magnitude, it would be
very unlikely that after risking 19 S&P points from the open, the market
would then travel down twenty points, and *then* back up again to close
at the top end of the range. It would be a hell of a day. :-)
Tradestation does not allow me to reprogram its entry and exit rules to
take advantage of known same-day fills, nor to allow me to define
degrees of assumption (as per "d", above) to use. It always assumes
that limit orders are filled if the market traded at the price (rather
than through it), which everyone knows is not always true unless you've
not yet had the irritating experience of watching the wrong side of the
spread touch your limit price over and over without filling you. I have
no way to modify that behavior either.
I know, blah blah blah... but this is the kind of thing that makes me
say that EasyLanguage is not bad for expressing trading ideas, but
there's no way I'd depend on it to produce results that I can trust
going forward.
Sticks
--
Troutman, Defender of Sticks troutman@xxxxxxxxxxxx
(aka) http://www.teleport.com/~troutman
Jonathan Matte, President No banner ads, no cookies,
Defender Capital Management, Inc. no sekrit sniffers!
Introducing Broker, Commodity Trading Advisor
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