Time of day priority: Bracket order and time based exit
Author: Christos
Creation Date: 12/14/2012 5:49 AM
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Christos

#1

12/14/2012 5:49 AM

I am trying to implement time of day priority for a strategy that buys at limit intraday and may sell at a profit target, or at a stop loss. If nothing of these two levels is reached I want to exit the position at the end of the same day.

How could I implement time of day priority for all of these orders without writing the strategy for intraday data?

My intraday data are in ASCII format.

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Eugene

#2

12/14/2012 6:14 AM

Choose from solutions available in Community Components:

Setting Priority for AtStop/AtLimit Orders
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Christos

#3

12/14/2012 6:32 AM

I have already seen these solutions and also read the relevant post
In that post you mentioned that there is a really cumbersome workaround for using the SetTimeOfDayPriority method (accurate method) for non WealthLab.BarDataStore data. Can you explain what would that be?

Secondly, regarding the estimated priority solution, would you confirm that the tighter the bracket order's bands the most unreliable the results would be?

Thanks
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Eugene

#4

12/14/2012 6:35 AM

I don't remember what I was thinking in April, so why not simply give LimitPriorityLong/IntradayFillPriorityEstimate a try first?
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Christos

#5

12/14/2012 6:56 AM

Because I believe that the estimation will be really far from reality taking into account the very tight bracket order I have in mind.
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