flatbefore / flatafter in a daily timeframe?

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  • 03/09/2018 at 1:01 PM #64901 quote
    Despair
    Blocked
    Master

    I got an interesting suggestion from IG support (not PRT support but IG) to my problem that often strategies were stopped monday morning because PRT sends orders too early to a market that is still closed.

    The support suggested to use flatbefore/flatafter to solve this and this might be solution. I thought that this to commands were not available when running a strategy on daily bars.


    @Nicolas    : Can you confirm that this commands also work on daily bars? So for example when I want the strategy to place a limit order monday 9:00 but the strategy runs on daily bars. Will this work in that way that the strategy really places the order at 9:00 and not before if i include the line:

    defparam flatbefore=090000
    GraHal thanked this post
    03/09/2018 at 1:25 PM #64903 quote
    Nicolas
    Keymaster
    Master

    It should works in a daily timeframe if this time is tested by the daily bar at its Close.  I’ll try to confirm this assumption, this afternoon.

    GraHal thanked this post
    03/09/2018 at 4:32 PM #64921 quote
    Nicolas
    Keymaster
    Master

    FlatAfter and FlatBefore are not useful in a daily timeframe, I just had confirmation that these instructions are useless on any timeframe that are not ‘intraday’ ones.

    03/09/2018 at 9:09 PM #64935 quote
    Despair
    Blocked
    Master

    OK, then it was like I thought. 🙁 Then only IT-Finance can solve the problem with orders that are send too early.

    Thank you very much for this confirmation Nicolas!

    03/09/2018 at 9:49 PM #64937 quote
    Nicolas
    Keymaster
    Master

    Your problem with what you think about orders sent too early on Monday morning is not a problem on PRT side but with the broker, as it has already been said by the PRT support team.

    03/09/2018 at 9:53 PM #64938 quote
    Despair
    Blocked
    Master

    It is obviously a problem in the communication between IG and PRT.

    The only thing that I say is that it is not possible to fix it from my side as it looks like. And if I’m wrong with that, I’d be VERY grateful if somebody could tell what to do to avoid the problem!

    08/31/2020 at 9:12 AM #143030 quote
    steviaggi
    Participant
    Average

    Perhaps the answer is now obsolete.

    Now that multi-timeframe is available, you can use daily timeframe to calculate conditions and intraday timeframe to execute orders, so flataftfer\flatbefore (or other conditions of the variable time) can work.

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flatbefore / flatafter in a daily timeframe?


ProOrder: Automated Strategies & Backtesting

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This topic contains 6 replies,
has 3 voices, and was last updated by steviaggi
5 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 03/09/2018
Status: Active
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