Creating a stop-limit order in ProOrder

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Viewing 15 posts - 1 through 15 (of 26 total)
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  • 02/28/2023 at 6:54 PM #210669
    jost

    Hi, there are options to create stop-limit orders manually but I could not find documentation or examples on how to create them through an automatic trading system.

    Just to specify what I mean: Let’s say current market price for a certain instrument is 50. I want to take a long position if the price reaches 60 (stop) and do not want to buy in case price is above 62 (limit) when the order is executed.

    Thanks for your help.

    02/28/2023 at 7:21 PM #210670
    PeterSt

    Hi Jos,

    It works a little differently. Just one example :

    This means that I sell  x contracts when the price reaches the StopPrice which is to be above the current price (for a Long position).
    This example could be extra complicated for you, but it tells about all.

    Anyway, with this you can search the (PDF) Manual(s) from ProBacktest and find the syntaxes for various combinations.
    Combine in Google “Prorealcode” with parts of commands will also work, but things may be out of context for you at first.

    Good luck !
    Peter

    PS: You may find things like my example impossible with Manual Trading. With AutoTrading about everything is possible, as long as you understand what to do. This is most of the time not easy at all.

     

    02/28/2023 at 8:12 PM #210672
    jost

    Thanks, Peter. Good to hear that with AutoTrading about everything is possible.

    I checked the ProBacktest PDF and searched for coding samples but could not find any on how to create a stop-limit order. What I mean is an order like the green long oder in the example attached.

    From a logical perspective the coding should be something like

    BUY 1 contracts AT 145,590 STOP AND AT 146,150 LIMIT

     

    I would appreciate a coding example on how this can be accomplished with ProOrder.

     

     

    02/28/2023 at 8:41 PM #210674
    GraHal

    Try …

    If Close < 146,150 Then
    Buy at 145,590 STOP
    Endif

    02/28/2023 at 9:00 PM #210676
    jost

    Hi Grahal,

    Thanks. I think this is a bit different.

    In my manual example I have a pending stop-limit order at the market, which is executed automatically once the price hits the stop level. The execution is done at the market at a price not higher than the limit price. If there is a very fast upwards movement, the order may not be executed at all.

    If I understand it correctly, in your example you place a simple stop order at the market if the closing pricing before is below 146.150. I do not see how you ensure that the execution price cannot be above 146.150 once the order has been placed.

    02/28/2023 at 9:04 PM #210677
    GraHal

    You would need to run your Account using Guaranteed Stops, a small cost is incurred if the Guaranteed Stop is triggered.

    Guaranteed Stop is a box you can tick when you start an Aut0System.

    02/28/2023 at 9:12 PM #210678
    jost

    It is not about the stop. It is about the limit. In your example I don’t see a limit in your order.

    If this is all ProOrder has to offer in this regard, it is not what I’m looking for.

    In this case I think it is missing important order types which are available in manual trading.

    02/28/2023 at 9:43 PM #210679
    GraHal
    jost wrote:

    it is not what I’m looking for.

    Somebody else may have a better idea than my suggestion?

    02/28/2023 at 10:15 PM #210680
    JS

    I think you can do something with:

    If NOT OnMarket then

    Buy 1 contract at 60 STOP

    Buy 1 contract at 62 LIMIT

    EndIf

    When the STOP order is executed, the LIMIT order expires because you are on market at that moment…

    If the STOP order is not executed, the executing price will never exceed the LIMIT order price…

    1 user thanked author for this post.
    avatar GraHal
    02/28/2023 at 10:33 PM #210681
    jost

    Thanks JS. I have 2 questions regarding this proposal. Assumption is still that the market price when placing the orders is below both prices, e.g. at 50:

    1. How is it ensured that the first order (stop order) is not executed above 62 ?
    2. What pevents the second order (limit order) from being executed immediately?
      I understand that because market price is below the price for the second order, this order gets executed immediately. (See also page 12 of the tradings systems programming guide PDF.)

     

    02/28/2023 at 10:40 PM #210684
    JS

    You are right, it is not correct what I write above because a LIMIT order must of course always be below the last price and not above it…

    Maybe this solution works:

    If Close < = 62 then

    Buy 1 contract at 60 STOP

    EndIf

    The STOP order will be placed every time as long as the price is below 62…

    When the price rises above 62, the STOP order will no longer be placed…

    02/28/2023 at 10:50 PM #210685
    jost

    This is a similar proposal like the one from Grahal above. My same comments apply.

    Once the order is placed, nothing prevents it from being executed at a price above 62. The if condition applies to the price before the order is placed.

    02/28/2023 at 11:04 PM #210687
    JS

    It is the Close of the bar and during the Open of the next bar the STOP order is placed… But it is true that there is no guarantee that the order will not be executed above 62…

    02/28/2023 at 11:11 PM #210688
    jost

    I agree. It seems to me that this is not possible with ProOrder – which would be a pity.

    02/28/2023 at 11:20 PM #210689
    jost

    A workaround would be to create these orders manually. However, it does not seem possible to have the orders managed by an automated trading system afterwards. (For example, to adjust stop-loss limits or cancel dependent orders automatically.)

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