Closing all Active Positions at the end of the day

Author: Shaaker

Creation Date: 10/23/2012 12:57 PM

Wealth Lab » WealthScript (.NET) » Closing all Active Positions at the end of the day

Shaaker

10/23/2012 12:57 PM

The following strategy simply buys during the day and is supposed to close all the positions buy the end of the day. But in many situations it fails to do so and some positions remain open until many days later. Am I missing anything here?

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[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using System.Threading; // Sleep()
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	class MyStrategy : WealthScript
	{			
		protected override void Execute()
		{
			bool doubleBuy 		= false;
			bool tradedOnce 	= false;
			double open		= 0;
			double buyLimit 	= 0;
			double doubleBuyLimit 	= 0;
		
			for (int bar = FirstBarofDay (391); bar < Bars.Count;  bar++) 
			{
				if(Bars.IntradayBarNumber(bar) == 0)
				{
					open = Bars.Open[bar];			
					buyLimit = open - 1.0; 
					doubleBuyLimit = open - 2.0; 
					doubleBuy = false;
					tradedOnce = false;
				}
			
				if(!IsLastPositionActive) 
				{					
					if(GetTime(bar) < 1550 && !tradedOnce)
					{	
						RiskStopLevel = buyLimit * 0.98;
						if(BuyAtLimit (bar+1, buyLimit , "1st buy") != null)
							tradedOnce = true;
					}
				}
				else
				{		
					if(GetTime(bar) < 1550 && !doubleBuy)
					{	
						RiskStopLevel = doubleBuyLimit * 0.98;
						if(BuyAtLimit (bar+1, doubleBuyLimit , "Double Buy") != null)
							doubleBuy = true;
					}	
						
					
					for( int pc = ActivePositions.Count - 1; pc > -1 ; pc-- )
					{		
						Position p = ActivePositions[pc];
						double sellLimit = p.EntryPrice + 1.0;
						
						if (Bars.IsLastBarOfDay(bar))
						{	
							SellAtClose(bar, p, "EOD");
						}
						
						if (High[bar+1] > sellLimit)
						{
							SellAtLimit(bar+1, p, sellLimit, "");
						}
					}		
				}
			}	
			
		}
		
		public int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}
		
		public int FirstBarofDay (int bar)
		{
			int FB = bar - Bars.IntradayBarNumber(bar);
			return FB;
		}
	}
}
[/CODE]