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Jonathan,
>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 don't understand why you would have a problem.
>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.
What if you also had a stop loss at 1101? Which price should
TS assume got hit first, 1115 or 1101? You might not put a
stop there, but someone else might and TS would have to be
prepared to handle it. At one time I also wished that TS
could handle this but now I think it is expecting too much
to make these kinds of assumptions. Back then I wrote my own
indicators to test day trading strategies on end of day
bars. However, I don't think it's wise to trade based on
this kind of testing.
The great thing about TS is that can write your own code to
do this kind of testing and build in as many assumptions as
you want. I don't know of any other commercial trading
software that has that level of flexibility and power. There
are things I don't like about their software and there's
lots of room for improvement, but I haven't found anything
better.
What is a Defender of Sticks?
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