Closing trades on weighted average price

• 11/16/2022 at 2:31 PM #204257
  neddyboy

  Hi,

  I’m trying to correct the following code to close all positions on the weighted average price if there is more than one trade open.  If only one trade is open it will close on the indicator signal.  Any help would be greatly appreciated.

   

  // Definition of code parameters DEFPARAM CumulateOrders = True // Cumulating positions deactivated // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 m = 0.4 ONCE positionsize = 0.5 // Conditions to enter long positions indicator1 = williams[14](close) c1 = (indicator1 CROSSES OVER -80) IF NOT LONGONMARKET AND c1 AND not daysForbiddenEntry THEN BUY positionsize PERPOINT AT MARKET ENDIF //let's add another order while price continue to get lower (more than 10 points) than the last order taken with a condition of 1 bars elapsed since then IF LONGONMARKET AND TRADEINDEX>1 AND close-TRADEPRICE<-20 THEN Buy PositionSize * (1 + (countofposition * m)) perpoint at market endif // Conditions to exit long positions indicator2 = williams[14](close) c2 = (indicator2 CROSSES UNDER -20) IF c2 THEN SELL AT MARKET ENDIF IF COUNTOFPOSITION > 0.5 AND Close > POSITIONPRICE THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator3 = williams[14](close) c3 = (indicator3 CROSSES UNDER -20) IF NOT SHORTONMARKET AND c3 AND not daysForbiddenEntry THEN SELLSHORT positionsize PERPOINT AT MARKET ENDIF //let's add another order while price continue to get higher (more than 10 points) than the last order taken with a condition of 1 bars elapsed since then IF SHORTONMARKET AND TRADEINDEX>1 AND close-TRADEPRICE>20 THEN Sellshort Positionsize * (1 + (ABS(countofposition) * m)) perpoint at market endif // Conditions to exit short positions indicator4 = williams[14](close) c4 = (indicator4 CROSSES OVER -80) IF c4 THEN EXITSHORT AT MARKET ENDIF IF COUNTOFPOSITION < -0.5 AND Close < POSITIONPRICE THEN EXITSHORT AT MARKET ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = True // Cumulating positions deactivated     // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6   m = 0.4   ONCE positionsize = 0.5     // Conditions to enter long positions indicator1 = williams[14](close) c1 = (indicator1 CROSSES OVER -80)   IF NOT LONGONMARKET AND c1 AND not daysForbiddenEntry THEN BUY positionsize PERPOINT AT MARKET ENDIF   //let's add another order while price continue to get lower (more than 10 points) than the last order taken with a condition of 1 bars elapsed since then   IF LONGONMARKET AND TRADEINDEX>1 AND close-TRADEPRICE<-20 THEN Buy PositionSize * (1 + (countofposition * m)) perpoint at market endif   // Conditions to exit long positions indicator2 = williams[14](close) c2 = (indicator2 CROSSES UNDER -20)   IF c2 THEN SELL AT MARKET   ENDIF   IF COUNTOFPOSITION > 0.5 AND Close > POSITIONPRICE THEN SELL AT MARKET   ENDIF     // Conditions to enter short positions indicator3 = williams[14](close) c3 = (indicator3 CROSSES UNDER -20)   IF NOT SHORTONMARKET AND c3 AND not daysForbiddenEntry THEN SELLSHORT positionsize PERPOINT AT MARKET ENDIF   //let's add another order while price continue to get higher (more than 10 points) than the last order taken with a condition of 1 bars elapsed since then   IF SHORTONMARKET AND TRADEINDEX>1 AND close-TRADEPRICE>20 THEN Sellshort Positionsize * (1 + (ABS(countofposition) * m)) perpoint at market endif   // Conditions to exit short positions indicator4 = williams[14](close) c4 = (indicator4 CROSSES OVER -80)   IF c4 THEN EXITSHORT AT MARKET   ENDIF   IF COUNTOFPOSITION < -0.5 AND Close < POSITIONPRICE THEN EXITSHORT AT MARKET   ENDIF

  

  neddyboy

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  11/16/2022 at 3:06 PM #204262
  Nicolas

  In order to close the orders basket at average price, add this code at the top of the strategy:

  if abs(countofposition)>1 then if longonmarket then sell at positionprice limit else exitshort at positionprice limit endif endif

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  if abs(countofposition)>1 then if longonmarket then sell at positionprice limit else exitshort at positionprice limit endif endif

  

  Nicolas

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  11/16/2022 at 10:59 PM #204304
  neddyboy

  Thanks for the reply. I’ve added the suggestion to the code but unfortunately it still seems to be closing only on the indicator criteria being met and not the average weighted price when there is more than one trade. Do you know what is causing this?

  Many thanks in advance.

  

  neddyboy

  Participant

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  11/17/2022 at 9:30 AM #204308
  Nicolas

  This is the code i’m using, seems ok:

  // Definition of code parameters DEFPARAM CumulateOrders = True // Cumulating positions deactivated if abs(countofposition)>1 then if longonmarket then sell at positionprice limit else exitshort at positionprice limit endif endif // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 m = 0.4 ONCE positionsize = 0.5 // Conditions to enter long positions indicator1 = williams[14](close) c1 = (indicator1 CROSSES OVER -80) IF NOT LONGONMARKET AND c1 AND not daysForbiddenEntry THEN BUY positionsize PERPOINT AT MARKET ENDIF //let's add another order while price continue to get lower (more than 10 points) than the last order taken with a condition of 1 bars elapsed since then IF LONGONMARKET AND TRADEINDEX>1 AND close-TRADEPRICE<-20 THEN Buy PositionSize * (1 + (countofposition * m)) perpoint at market endif // Conditions to exit long positions indicator2 = williams[14](close) c2 = (indicator2 CROSSES UNDER -20) IF c2 THEN SELL AT MARKET ENDIF IF COUNTOFPOSITION > 0.5 AND Close > POSITIONPRICE THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator3 = williams[14](close) c3 = (indicator3 CROSSES UNDER -20) IF NOT SHORTONMARKET AND c3 AND not daysForbiddenEntry THEN SELLSHORT positionsize PERPOINT AT MARKET ENDIF //let's add another order while price continue to get higher (more than 10 points) than the last order taken with a condition of 1 bars elapsed since then IF SHORTONMARKET AND TRADEINDEX>1 AND close-TRADEPRICE>20 THEN Sellshort Positionsize * (1 + (ABS(countofposition) * m)) perpoint at market endif // Conditions to exit short positions indicator4 = williams[14](close) c4 = (indicator4 CROSSES OVER -80) IF c4 THEN EXITSHORT AT MARKET ENDIF IF COUNTOFPOSITION < -0.5 AND Close < POSITIONPRICE THEN EXITSHORT AT MARKET ENDIF graphonprice positionprice

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  // Definition of code parameters DEFPARAM CumulateOrders = True // Cumulating positions deactivated     if abs(countofposition)>1 then if longonmarket then sell at positionprice limit else exitshort at positionprice limit endif endif   // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6   m = 0.4   ONCE positionsize = 0.5     // Conditions to enter long positions indicator1 = williams[14](close) c1 = (indicator1 CROSSES OVER -80)   IF NOT LONGONMARKET AND c1 AND not daysForbiddenEntry THEN BUY positionsize PERPOINT AT MARKET ENDIF   //let's add another order while price continue to get lower (more than 10 points) than the last order taken with a condition of 1 bars elapsed since then   IF LONGONMARKET AND TRADEINDEX>1 AND close-TRADEPRICE<-20 THEN Buy PositionSize * (1 + (countofposition * m)) perpoint at market endif   // Conditions to exit long positions indicator2 = williams[14](close) c2 = (indicator2 CROSSES UNDER -20)   IF c2 THEN SELL AT MARKET   ENDIF   IF COUNTOFPOSITION > 0.5 AND Close > POSITIONPRICE THEN SELL AT MARKET   ENDIF     // Conditions to enter short positions indicator3 = williams[14](close) c3 = (indicator3 CROSSES UNDER -20)   IF NOT SHORTONMARKET AND c3 AND not daysForbiddenEntry THEN SELLSHORT positionsize PERPOINT AT MARKET ENDIF   //let's add another order while price continue to get higher (more than 10 points) than the last order taken with a condition of 1 bars elapsed since then   IF SHORTONMARKET AND TRADEINDEX>1 AND close-TRADEPRICE>20 THEN Sellshort Positionsize * (1 + (ABS(countofposition) * m)) perpoint at market endif   // Conditions to exit short positions indicator4 = williams[14](close) c4 = (indicator4 CROSSES OVER -80)   IF c4 THEN EXITSHORT AT MARKET   ENDIF   IF COUNTOFPOSITION < -0.5 AND Close < POSITIONPRICE THEN EXITSHORT AT MARKET ENDIF   graphonprice positionprice

  The white line on the price chart is where the orders should close when accumulating.

  

  Nicolas

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