How do I create a Limit-On-Open Order for backtesting?

ijackdoe85 · 2017-04-08T04:43:26+00:00

I want to backtest buying at a Limit Price, but only on the Open. Example: I want to buy 100 shares on today’s Open, but only if today’s Open is at yesterday’s Close or Less. I don’t want to buy if today opens above yesterday’s Close, and then during the day the price drops down to the limit price. I want it to occur only on the Open, and if it doesn’t, then I want it to be disregarded. What is the coding for that? Thank you, Jack

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04/08/2017 at 5:43 AM #31409 quote

ijackdoe85
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I want to backtest buying at a Limit Price, but only on the Open.

Example: I want to buy 100 shares on today’s Open, but only if today’s Open is at yesterday’s Close or Less. I don’t want to buy if today opens above yesterday’s Close, and then during the day the price drops down to the limit price. I want it to occur only on the Open, and if it doesn’t, then I want it to be disregarded.

What is the coding for that?

Thank you,

Jack

04/08/2017 at 10:40 AM #31421 quote

GraHal
Participant

Master

Just my initial thoughts, guess you tried similar to below?

‘GH code’ to save me thinking / finding the correct syntax …

If DOpen <= DClose[1] Then
Set BuyStop at DOpen
Endif

Code is only read at the end of a bar and the Buy / Sell Short / Exit is completed at the beginning of the next bar … I guess you know that? So depending on what Timeframe you are using the Price may very well have zoomed past the DOpen level so best you allow some %, i.e. DOpen + 5*pipsize or whatever?

Also did you know that – as a general rule – most Up days start with the Day Open > Day Close yesterday and if it is a big range UP day then that day will finish close to / on the High of the day.

Just a few thoughts
GraHal

04/08/2017 at 3:25 PM #31432 quote

GraHal
Participant

Master

Sitting in the garden in the sun and my answer flicked through my mind! 🙂

You can’t read Daily Open Price until at least 1 bar has closed after the Daily Open (code is read at the end of bars) and so you would need to be on TimeFrame 1 Min or less else Price may run away and you would never get a Buy at or near the Open.

Here’s a question … when is the Daily Open anyway? Is it at 120001 (a new day / date) in the Timezone of the market or is it at the Market Open for the Timezone? So Dax Open is 090000 CET?? Anybody??

04/09/2017 at 5:53 PM #31519 quote

ijackdoe85
Participant

New

Thank you GraHal for your suggestion. But that doesn’t seem to do what I’m wanting.

Another way of stating what I’m trying to do is:

I want to buy 100 shares on tomorrow’s Open, but only if tomorrow’s Open is at today’s Close or Less. I don’t want to buy if tomorrow opens above today’s Close, and then during tomorrow the price drops down to the limit price. I want the buy to occur only on the Open, and if it doesn’t, then I want it to be disregarded.

Here is what I have so far:

IF c1 AND c2 AND c3 THEN
BUY 100 shares AT CLOSE limit
ENDIF

What I don’t know, is how to limit the order to only to be filled on the Open of tomorrow.

Thank you,

Jack

04/10/2017 at 10:28 AM #31586 quote

GraHal
Participant

Master

Hi Jack

There is no code for Tomorrow Open so 1 bar needs to have closed tomorrow so that code can decide if Todays Open was <= Yesterday Close

If DOpen <= DClose[1] Then
BUY 100 shares AT CLOSE limit
ENDIF

I’ll have a think about … buy to occur only on the Open, and if it doesn’t, then disregard … my grandson is here so I have to get off my computer 🙂

GraHal
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This topic contains 4 replies,
has 2 voices, and was last updated by GraHal
9 years, 5 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	04/08/2017
Status:	Active
Attachments:	No files