How can I cancel a stop entry order intrabar??
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Hi Vonasi/Roberto,
have attached a code that I’m running at the moment. On the Australia 200 ($1 or $5 market) – but – you must set your time to UTC+10/Brisbane time – so that the code operates in the spread=1 hours.\
Have had the problem that the platform can’t get/runs out of tick data, and that’s why the test stops where it does. Just have to go through and do different tests at different (x) units, but the test I did shown gives a good number of trades at least in up/down conditions.
Thank you for your code ideas – I don’t have MTF yet I just have 10.3 on IG – I’ll have to look at trying to get that upgrade then.
Haven’t fully studied your posts above but I will in detail – just sending this now to add fuel to fire.
A couple of things:
- Would be great if you could defeat the market stop limit of 4 – eg – is “If close<close[1]-2 then sell at market” – would this work not as a stop order but just as a market order? Even if it’s the open of the next bar it would be functional – just drop timeframe.
- And again (I can see that it’s touched on above), being able to buy within that market stop limit of 4 – so effectively being able to buy at “buy at market +2” would open up a whole world of opportunities with this method.
To be fair I have tried to make this briefly work with FTSE and DAX, but their market structure seems to be a lot more complex (market moves up and down through the open point a lot more in a bar or reverts before a move is completed) – or – it needs the functionality of the above 2 problems solved would help a great deal.
I guess what you could call what I’m trying to do a breakout from a spread?
Cheers,
Finning.
//------------------------------------------------------------------------- // Main code : Intrabar asx200 15min 5 dol //------------------------------------------------------------------------- defparam cumulateorders = false defparam flatbefore = 095900 defparam flatafter = 155900 //////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Optimal f position sizing psize = 1 pvalue = 5 Usedfromaccount = 0.05 Invested = (1747+strategyprofit)*Usedfromaccount Tier1Margin = 0.005 Tier1Max = 315 Tier1DolPerContract = Tier1Margin*(close/Psize)*pvalue ContDolinTier1 = Tier1Margin*(close/Psize)*pvalue*Tier1Max Tier2Margin = 0.01 Tier2Max = 3150 Tier2DolPerContract = Tier2Margin*(close/Psize)*pvalue //ContDolinTier2 = Tier2Margin*(close/Pipsize)*pointvalue*Tier2Max a = Invested/Tier1DolPerContract //This is initial contracts if all on tier 1 margin If (a>Tier1Max) then //Tier 1 number of contracts a = 315 b = (Invested - ContDolinTier1)/Tier2DolPerContract else b = 0 endif d = a + b // this is the total number of tiered contracts if d > Tier2Max then d = Tier2Max endif positionsize = round(d) ///////////////////////////////////////////////////////////////////////////////////////////////////////////////// // Total Margin Calculation If countofposition <=315 then ee = countofposition else if countofposition>315 then rr = countofposition-315 endif endif //TotalMargin2 = ABS((ee * Tier1DolPerContract) + (rr * Tier2DolPerContract)) TotalMargin = ABS((ee * Tier1DolPerContract) + (rr * Tier2DolPerContract)) if not onmarket then totalmargin = 0 endif //////////////////////////////////////////////////////////////////////////////////////////////////////// RVComb, RVCombTEMA = CALL "RV comb"[20,20] don8 = CALL "8 average direction Donchian"[2] av = triangularaverage[60](weightedclose) RC =ROC[2](typicalprice) atr = AverageTrueRange[2](totalprice) RVComb=RVComb RVCombTEMA=RVCombTEMA atr = atr don8=don8 ///////////////////////////////////////////////////////////////////////////////////////////// // Using triangular average If RVCombTEMA>RVCombTEMA[1] and don8>2 and av>av[1] then buy positionsize contract at close+4.1 stop sellshort positionsize contracts at close-4.1 stop endif If RVCombTEMA<RVCombTEMA[1] and don8<7 and av<av[1] then sellshort positionsize contract at close-4.1 stop buy positionsize contracts at close+4.1 stop endif ///////////////////////////////////////////////////////////////////////////////////////////// // No Triangular average but strong Donchian trend and price ROC If RVCombTEMA>RVCombTEMA[1] and don8=8 and RVComb>8 and RC>0 then buy positionsize contract at close+4.1 stop sellshort positionsize contracts at close-4.1 stop endif If RVCombTEMA>RVCombTEMA[1] and don8=1 and RVComb<-8 and RC<0 then sellshort positionsize contract at close-4.1 stop buy positionsize contracts at close+4.1 stop endif //////////////////////////////////////////////////////////////////////////////////////////// If abs(RC)<=0.03 then set target profit 0.4 endif If abs(RC)<=0.05 then set target profit 0.5 endif If abs(RC)>0.05 then set target profit 0.6 endif If abs(RC)>0.06 then set target profit 0.7 endif If abs(RC)>0.07 then set target profit 0.8 endif If abs(RC)>0.08 then set target profit 0.9 endif set stop loss 4.1 if strategyprofit < -150 then quit endif //if totalmargin>invested then //quit //endif totalmargin=totalmargin //graph positionsize*Tier1DolPerContract //graph strategyprofit+1747 if positionsize*Tier1DolPerContract>strategyprofit+1747 then quit endif //------------------------------------------------------------------------- // Function : RV comb //------------------------------------------------------------------------- RV = CALL "Recent Volatility"[a] RV2 = CALL "Recent Volatility Negative"[a] dd = abs(RV2) - abs(RV) TMA = TEMA[AV](dd) return dd as "RV Comb", TMA as "RV Comb TEMA" //------------------------------------------------------------------------- // Function : 8 average direction Donchian //------------------------------------------------------------------------- //short term Upper = HIGHEST[a](HIGH[0]) If Upper > upper[1] then Ucol = 1 else if Upper = upper[1] and ucol = 1 then ucol = 1 endif endif if upper < upper[1] then ucol = 0 else if upper = upper[1] and ucol = 0 then ucol = 0 endif endif ////////////////////////////////////////////////////////////////////// Lower = Lowest[a](Low[0]) If Lower > lower[1] then lcol = 1 else if Lower = Lower[1] and lcol = 1 then lcol = 1 endif endif if lower < lower[1] then lcol = 0 else if lower = lower[1] and lcol = 0 then lcol = 0 endif endif /////////////////////////////////////////////////////////////////////// Mid = (Upper + Lower) / 2 If Mid > Mid[1] then mcol = 1 else if Mid = Mid[1] and mcol = 1 then mcol = 1 endif endif if Mid < Mid[1] then mcol = 0 else if Mid = Mid[1] and mcol = 0 then mcol = 0 endif endif if lcol=1 and mcol=1 and ucol=1 then c10 = 8 endif if lcol=0 and mcol=1 and ucol=1 then c10 = 7 endif if lcol=1 and mcol=0 and ucol=1 then c10 = 6 endif if lcol=0 and mcol=0 and ucol=1 then c10 = 5 endif if lcol=1 and mcol=1 and ucol=0 then c10 = 4 endif if lcol=0 and mcol=1 and ucol=0 then c10 = 3 endif if lcol=1 and mcol=0 and ucol=0 then c10 = 2 endif if lcol=0 and mcol=0 and ucol=0 then c10 = 1 endif return c10 //------------------------------------------------------------------------- // Function : Recent Volatility Negative //------------------------------------------------------------------------- ll = lowest[p](low) dd = (typicalprice - ll) return dd //------------------------------------------------------------------------- // Function : Recent Volatility //------------------------------------------------------------------------- HH = highest[p](high) dd = (hh-typicalprice) return dd
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 09/19/2019 |
| Status: | Active |
| Attachments: | 3 files |
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