Market Buy on High[bar+1] or Sell on Low[bar+1]
Author: TCust
Creation Date: 6/1/2012 9:22 AM
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TCust

#1
Hello

How create this and other order's on High or Low price on the next bar ?

I want agressive test intradey system, for example on 1 minutes, parameters slippage not good for me.

Ps. System test will use not ( Open, Close ), opposite ( High, Low ) price bar...
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Eugene

#2
Hi,

You don't know the High/Low prices of the next bar until it's closed. Remember, you're sending an order for bar+1 at bar. Without peeking, you can not do that - just like in real life.
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TCust

#3
Eugene if use this for system test on history ?

Real life - we send BuyAtMarket, with a high probability we have entry not Open bar, but on not good price High price bar

BuyAtMarket use Open[bar+1] dataseries, why not create BuyAtMarket use High[bar+1] dataseries ? ( Option's for system test )

or ShortAtMarket use Low[bar+1] dataseries
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Cone

#4
If you want to always penalize your market order trades, apply Slippage in Preferences (F12) > Slippage and Round Lots.

The fact when trading stocks, however, is that slippage works both ways, i.e., sometimes it's to your advantage.
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TCust

#5
Cone Slippage not good for intraday system and small timeframe's, my opinion.

For example, we may have 10 bar's with range ( High - Low ) 0.10$, and Next bar with range 0.35$

Or other, construction BuyAtMarket use Open[bar+1], if on Open bar we have Bid price ? I understand that my entry price for Market Buy in intraday -> High[bar+1] for the history system test
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Cone

#6
Use EnterAtPrice and ExitAtPrice from Community.Components.
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TCust

#7
Ok Thanks :)
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