2 minute time frame in strategy
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just a little reminder
always take standard units where everyone is and have a top down approach
M2, M3, … never used on my side.
Hi GraHal,
Running my example code as per below on the 1 minute time frame, see attached screenshots where the order generates in the first minute and disappears in the next:
DEFPARAM CUMULATEORDERS = FALSE Timeframe (2 minutes, updateonclose) td1 = 1 AND OpenDayOfWeek = 1 AND OpenTime >= 000000 AND OpenTime <= 235900 //Monday td2 = 1 AND OpenDayOfWeek = 2 AND OpenTime >= 000000 AND OpenTime <= 235900 //Tuesday td3 = 1 AND OpenDayOfWeek = 3 AND OpenTime >= 000000 AND OpenTime <= 235900 //Wednesday td4 = 1 AND OpenDayOfWeek = 4 AND OpenTime >= 000000 AND OpenTime <= 235900 //Thursday td5 = 1 AND OpenDayOfWeek = 5 AND OpenTime >= 000000 AND OpenTime <= 235900 //Friday td = td1 or td2 or td3 or td4 or td5 TIMEFRAME(2mn, updateonclose) BBlow = low < Bollingerdown[20](close) Risk = 10 IF NOT ShortOnMarket AND BBlow and td THEN Set stop loss High - low + 1 Buy (Risk / (High - Low)) CONTRACTS AT High + 1 Stop SET TARGET PROFIT 1*(High - low + 1) ENDIFLuckily the conditions were met just there when I ran it to give you the perfect example. Are you not seeing behaviour like this?
I used this code (which is the same as my second one I posted mith the addition of MyHI to make Entry fixed for the 1-minute bars), in addition I added some debugging instructions, Graph & GraphOnPrice, on the 1-min chart:
DEFPARAM CUMULATEORDERS = FALSE Timeframe (2 minutes, updateonclose) td1 = 1 AND OpenDayOfWeek = 1 AND OpenTime >= 000000 AND OpenTime <= 235900 //Monday td2 = 1 AND OpenDayOfWeek = 2 AND OpenTime >= 000000 AND OpenTime <= 235900 //Tuesday td3 = 1 AND OpenDayOfWeek = 3 AND OpenTime >= 000000 AND OpenTime <= 235900 //Wednesday td4 = 1 AND OpenDayOfWeek = 4 AND OpenTime >= 000000 AND OpenTime <= 235900 //Thursday td5 = 1 AND OpenDayOfWeek = 5 AND OpenTime >= 000000 AND OpenTime <= 235900 //Friday td = td1 or td2 or td3 or td4 or td5 TIMEFRAME(2mn, updateonclose) BBlow = low < Bollingerdown[20](close) IF BBlow AND Not OnMarket THEN MySL = range + 1*pipsize MyTP = 1*MySL MyHI = High + 1*pipsize ENDIF Risk = 10 TIMEFRAME(default) IF NOT ShortOnMarket AND BBlow and td THEN Set stop loss MySL Buy (Risk / range) CONTRACTS AT MyHI Stop SET TARGET PROFIT MyTP ENDIF // graph BBlow Graphonprice positionprice + MySL coloured(255,0,0,255) AS "SL" Graphonprice positionprice - MyTP coloured(0,0,255,255) AS "TP" graphonprice MyHI coloured(0,255,0,255) AS "Entry"I also used this indicator on the 2-min chart to have the signals as a histogram:
RETURN low < Bollingerdown[20](close)As you can see from pic BB1, the signal (on Dax €5, today at 14:02 Utc +2 is plotted correctly (there was a signal even the previous candle, but the entry price was never reached), the 1-minute bar at 14:03 (the second 1-minute bar only can see the signal, as it’s generated when the 2-minut bar closes, unless there’s a previous adjacent signal) places the pending order, which is immediately executed.
As you can see from pic BB2, another signal was plotted on the 2-min bar today at 09:18 Utc+2. The second pending order was placed at 09:20 (the first 1-minute bar AFTER the 2-min bar) and it entered at 09:21.
Being based on signals showing on the 2-min TF, the pending orders on the 1-min bar can be placed:
- on the second (or last) 1-min bar of the 2-min bar, since signals are only updated when the 2-minute bar closes
- on the first 1-min bar of the 2-min bar AFTER the 2-min bar that originated the signal, for the opposite reason, since the signals show on the last 1-min bar of the 2-min bar, the first 1-min bar of each 2-min bar still has the PREVIOUS 2-min bar VALID.
If you remove UPDATEONCLOSE, you can see the difference.
If there’s still something incorrectct, please:
- post the code you used
- post the name of the instrumend traded
- post the date and hour of both the 2-min and 1-min candles involved
so that we can replicate any issue.
Hi Roberto,
“Being based on signals showing on the 2-min TF, the pending orders on the 1-min bar can be placed: on the second (or last) 1-min bar of the 2-min bar, since signals are only updated when the 2-minute bar close” or “on the first 1-min bar of the 2-min bar AFTER the 2-min bar that originated the signal, for the opposite reason, since the signals show on the last 1-min bar of the 2-min bar, the first 1-min bar of each 2-min bar still has the PREVIOUS 2-min bar VALID.”
If I understand correctly from what you’ve said above, then a pending order can only be placed on the close of the last minute of the two minute bar since this is when ‘updateonclose’ executes? Am I correct in my interpretation?
I ran you code as per below on demo (which I modified the bollinger band length from 20 to 2 purely to generate more frequent orders for observation) on EURUSD around 15:00 UTC + 0 :
DEFPARAM CUMULATEORDERS = FALSE Timeframe (2 minutes, updateonclose) td1 = 1 AND OpenDayOfWeek = 1 AND OpenTime >= 000000 AND OpenTime <= 235900 //Monday td2 = 1 AND OpenDayOfWeek = 2 AND OpenTime >= 000000 AND OpenTime <= 235900 //Tuesday td3 = 1 AND OpenDayOfWeek = 3 AND OpenTime >= 000000 AND OpenTime <= 235900 //Wednesday td4 = 1 AND OpenDayOfWeek = 4 AND OpenTime >= 000000 AND OpenTime <= 235900 //Thursday td5 = 1 AND OpenDayOfWeek = 5 AND OpenTime >= 000000 AND OpenTime <= 235900 //Friday td = td1 or td2 or td3 or td4 or td5 TIMEFRAME(2mn, updateonclose) BBlow = low < Bollingerdown[2](close) IF BBlow AND Not OnMarket THEN MySL = range + 1*pipsize MyTP = 1*MySL MyHI = High + 1*pipsize ENDIF Risk = 10 TIMEFRAME(default) IF NOT ShortOnMarket AND BBlow and td THEN Set stop loss MySL Buy (Risk / range) CONTRACTS AT MyHI Stop SET TARGET PROFIT MyTP ENDIFI observed in picture 1 attached a pending order placed on the open of the second 1 minute bar @ 14:57 on the two minute candle. I don’t understand why this order placed assuming my statement on ‘updateonclose’ as per above being a requirement for order placement.
FYI the indicator BBlow shown in the pictures attached is:
Return BBlow = low < Bollingerdown[2](close)I observed in picture 2 attached a pending order being placed at 15:14 on the close of 15:12 on the two minute chart despite no bollinger touch on close the 15:12 candle (BBlow indicator = 0).
So I’m not observing the behaviour I’d be expecting to see with my current understanding of the code.
I tried removing ‘updateonclose’ for observation and if I remember correctly saw orders placed on the close of each 1 minute bar when the BBlow indicator was returning 1.
So still a bit confused on my end..
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 07/05/2020 |
| Status: | Active |
| Attachments: | 9 files |
