Hello there folks,
I’m building a system that uses predefined time periods to enter trades. The time periods are derived from a single figure (i.e. 083000) combined with a number of minutes before and after the original figure to give a time zone where Pro Order is allowed to enter. For example, with an 8-minute buffer on either side, an original time of 083000 becomes an allowable trading zone that begins at 082200 and ends at 083800. I am manually typing a middle value for each trade, and then trying to automatically spread an entry range either side of it.
The code I have added here creates the zone correctly most of the time using the top variables “beforetime” and “aftertime”, but when it tries to add from a time that is towards the end of the hour, i.e. 085600, it understandably fails to come up with the right time of 090400.
085600 +
000800 (8 minutes) =
086400 (which obviously isn’t a real bar time because there is never a 64th minute in an hour!)
Although I know it is possible for me to work around this by telling Pro Order to only enter each trade between a time range (i.e. between 085600 and 090400), unfortunately this is no good for my backtesting. I want to quickly be able to answer the question of “what would my profit have been last week if I increased the range from the middle figure to be +16minutes and -16minutes?” I need some way of finding the optimum width of my allowed trading zones without retyping every single entry and exit time.
Does anyone know how I could do this?
Thank you in advance…
DEFPARAM CumulateOrders = False
breathing=16
beforetime= 000800
aftertime= 000800
longentry1= close crosses over SuperTrend[1.5,34]
shortentry1= close crosses under SuperTrend[1.5,34]
longexit1= close crosses under SuperTrend[1.5,34]
shortexit1= close crosses over SuperTrend[1.5,34]
wedtime1=002000
wedtime2=065800
wedtime3=081800
wedtime4=095400
wedtime5=151200
wedtime6=183600
wedtime7=220800
wedtime8=0
wednesday=0
wed1start = wedtime1 - beforetime
wed1end = wedtime1 + aftertime
wed2start = wedtime2 - beforetime
wed2end = wedtime2 + aftertime
wed3start = wedtime3 - beforetime
wed3end = wedtime3 + aftertime
wed4start = wedtime4 - beforetime
wed4end = wedtime4 + aftertime
wed5start = wedtime5 - beforetime
wed5end = wedtime5 + aftertime
wed6start = wedtime6 - beforetime
wed6end = wedtime6 + aftertime
wed7start = wedtime7 - beforetime
wed7end = wedtime7 + aftertime
wed8start = wedtime8 - beforetime
wed8end = wedtime8 + aftertime
if time >=wed1start and time <=wed1end or time >=wed2start and time <=wed2end or time >=wed3start and time <=wed3end or time >=wed4start and time <=wed4end or time >=wed5start and time <=wed5end or time >=wed6start and time <=wed6end or time >=wed7start and time <=wed7end or time >=wed8start and time <=wed8end then
wednesday = 1
endif
If longentry1 and wednesday =1 and opendayofweek=3 then
BUY 1 PERPOINT AT MARKET
wednesday =0
ENDIF
If shortentry1 and wednesday =1 and opendayofweek=3 then
Sellshort 1 PERPOINT AT MARKET
wednesday =0
ENDIF
if longonmarket and longexit1 and close > tradeprice then
sell at close stop
endif
if longonmarket and longexit1 and close <= tradeprice then
sell at tradeprice - breathing stop
endif
if shortonmarket and shortexit1 and close < tradeprice then
exitshort at close stop
endif
if shortonmarket and shortexit1 and close >= tradeprice then
exitshort at tradeprice + breathing stop
endif
Did you try adding code to achieve something like …
4R = 4th digit from right
5R = 5th digit from right
If 4R = 6 Then
4R = 0
5R = 5R + 1
Endif
Thanks for the response.
No, I haven’t tried doing that. What syntax would I need in order to capture “4th digit from right” in a six-digit number?
PaulParticipant
Master
I tried the same using hours/minutes to let stop/limit orders run a certain time in the future using a timeframe retrieval snippet from Nicolas & Vonasi, which then is possible to optimise with factor x .
The problem occurred when reaching the end of the hour or let’s say the end of the day. I thought time would be more robust then bars because sometimes there are no bars when going to lower timeframes or have an instrument with low volatility.
Anyway I settled with bars. So x bars after the bar I specify (and before). Have a look at the programming guide prorealtime on p11.
Still i’am curious if you find a way for your approach!
What syntax would I need in order to capture “4th digit from right” in a six-digit number?
Off the top of my head, no idea if / how it would work, but I was thinking somehow using …
Time = 6R5R4R3R2R1R
Might spark an idea in our resident coding wizards minds? 🙂
Above should read MyTime = 6R5R4R3R2R1R (from your calcs / whatever you are calling the results of your calcs in your code).
I say above as TIME (reserved word in PRT) could never get to 6 as a 4R digit etc.
time is simply HH MM and SS.
Then if we add a period of time on – for example HH=22 and we add 8 hours we get HH=30.
Then we say that if HH>24 then HH=HH-24 which will mean HH=6.
We also need to check if HH=24 and change it to HH=00 if it does.
We then reassemble our HH MM and SS to get our new time value.
Here is how to break time down to HH MM and SS
hhmmss = opentime
hhmm00 = max(0,(round((opentime/100)-0.5))*100)
hh0000 = max(0,(round((opentime/10000)-0.5))*10000)
ss = hhmmss - hhmm00
mm = (hhmmss - hh0000 - ss)/100
hh = hh0000/10000
Thanks for the suggestion, but I’m struggling to understand how to incorporate it into my current code. At the moment I have eight instances of time that I manually input (eventually this will be for every day of the week, so there will be 40). Do I need to copy your code and replace “opentime” with each instance of my manually inputted time, i.e. wedtime2=065800?
wedtime1=002000
wedtime2=065800
wedtime3=081800
wedtime4=095400
wedtime5=151200
wedtime6=183600
wedtime7=220800
wedtime8=0
wednesday=0
wed1start = wedtime1 - beforetime
wed1end = wedtime1 + aftertime
wed2start = wedtime2 - beforetime
wed2end = wedtime2 + aftertime
wed3start = wedtime3 - beforetime
wed3end = wedtime3 + aftertime
wed4start = wedtime4 - beforetime
wed4end = wedtime4 + aftertime
wed5start = wedtime5 - beforetime
wed5end = wedtime5 + aftertime
wed6start = wedtime6 - beforetime
wed6end = wedtime6 + aftertime
wed7start = wedtime7 - beforetime
wed7end = wedtime7 + aftertime
wed8start = wedtime8 - beforetime
Vonasi time breakdown added as Log 197 here …
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