Limit Orders to Avoid Spikes

• 02/06/2020 at 1:07 PM #118828
  adeelq79

  Hi,

  My code has been working as expected; yesterday trading the Dow on 10min candle, my conditions triggered and the system opened a trade on the 3pm candle open. However, the price spiked. The opening price of the candle was say 29,000 but in 1 second it spiked 50 points and opened a position for me at 29,050. Consequently it fell, stopped me out and I lost money.

  IG have said I should use LIMIT orders and at the minute I am using at market.

  So how do I introduce this LIMIT order  into my code, to say, if the price is 5 points (as an example) away from the opening candle, do not open a trade. Same for the sell side.

  Thanks

  defparam cumulateorders=false // --- settings size = 1 //size of orders maxDayOrder = 1 //max orders per day startBreakeven = 11 //how much pips/points in gain to activate the breakeven function? PointsToKeep = 6 //how much pips/points to keep in profit above of below our entry price when the breakeven is activated (beware of spread) TakeProfit = 30 //takeprofit in points/pips StopLoss = 45 //stoploss in points/pips // --- end of settings // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 090000 timeEnterBefore = time >= noEntryBeforeTime // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 160000 timeEnterAfter = time < noEntryAfterTime // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 //max orders each day if intradaybarindex=0 or day<>day[1] then orderscount=0 endif allowtrading=orderscount<maxDayOrder and timeenterbefore and timeenterafter and not daysforbiddenentry //indicators ema5=average[5,1](close) ema17=average[17,1](close) ema62=average[62,1](close) ignored, ignored, ignored, ignored, BuySignal, SellSignal, ignored = CALL "WA Explosion COMBO"[150, 30, 15, 15] irsi=rsi[7](close) //orders launch buysig = ema5>ema17 and ema62<ema5 and BuySignal>=260 and irsi>=83 sellsig = ema5<ema17 and ema62>ema5 and SellSignal>=260 and irsi<=22 if allowtrading then if buysig then buy size contract at market orderscount=orderscount+1 endif if sellsig then sellshort size contract at market orderscount=orderscount+1 endif endif set target pprofit takeprofit set stop ploss stoploss // --- breakeven function //reset the breakevenLevel when no trade are on market IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- // --- SELL SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF SHORTONMARKET AND tradeprice(1)-close>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF // --- end of SELL SIDE ---

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  defparam cumulateorders=false   // --- settings size = 1 //size of orders maxDayOrder = 1 //max orders per day startBreakeven = 11 //how much pips/points in gain to activate the breakeven function? PointsToKeep = 6 //how much pips/points to keep in profit above of below our entry price when the breakeven is activated (beware of spread) TakeProfit = 30 //takeprofit in points/pips StopLoss = 45 //stoploss in points/pips // --- end of settings   // Prevents the system from creating new orders to enter the market or increase position size before the specified time noEntryBeforeTime = 090000 timeEnterBefore = time >= noEntryBeforeTime // Prevents the system from placing new orders to enter the market or increase position size after the specified time noEntryAfterTime = 160000 timeEnterAfter = time < noEntryAfterTime // Prevents the system from placing new orders on specified days of the week daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0   //max orders each day if intradaybarindex=0 or day<>day[1] then orderscount=0 endif   allowtrading=orderscount<maxDayOrder and timeenterbefore and timeenterafter and not daysforbiddenentry //indicators   ema5=average[5,1](close) ema17=average[17,1](close) ema62=average[62,1](close) ignored, ignored, ignored, ignored, BuySignal, SellSignal, ignored = CALL "WA Explosion COMBO"[150, 30, 15, 15] irsi=rsi[7](close)   //orders launch buysig = ema5>ema17 and ema62<ema5 and BuySignal>=260 and irsi>=83 sellsig = ema5<ema17 and ema62>ema5 and SellSignal>=260 and irsi<=22 if allowtrading then if buysig then buy size contract at market orderscount=orderscount+1 endif   if sellsig then sellshort size contract at market orderscount=orderscount+1 endif endif   set target pprofit takeprofit set stop ploss stoploss   // --- breakeven function //reset the breakevenLevel when no trade are on market IF NOT ONMARKET THEN breakevenLevel=0 ENDIF   // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND close-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF   //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF   // --- end of BUY SIDE --- // --- SELL SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF SHORTONMARKET AND tradeprice(1)-close>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF // --- end of SELL SIDE ---

   

  

  adeelq79

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  02/06/2020 at 6:07 PM #118861
  Vonasi

  All the answers to most simple coding questions can be found in the manual.

  https://www.prorealcode.com/prorealtime-documentation/

  https://www.prorealcode.com/documentation/limit/

   

  

  Vonasi

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  02/06/2020 at 6:21 PM #118864
  adeelq79

  Thanks. So to be clear, would this code for long positions:

  buy size contract at market

  1	buy size contract at market

  change to:

  buy size contract at open +5 LIMIT

  1	buy size contract at open +5 LIMIT

  for short positions would it change from:

  sellshort size contract at market

  1	sellshort size contract at market

  change to:

  sellshort size contract at open -5 LIMIT

  1	sellshort size contract at open -5 LIMIT

  Thanks

   

  

  adeelq79

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  02/06/2020 at 6:26 PM #118865
  Nicolas

  I’m not sure to perfectly understand what IG is talking about. But, bear in mind that the code is read at the close of the candle and if the condition are fullfilled, then the order is opened at next bar open.

  Anyway, we could replace the AT MARKET with LIMIT orders to see how it goes, and to avoid gap, but I think that there will be some rejected orders that could lead to an automatic stop of the strategy, you should try this on demo platform first.

  

  Nicolas

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  02/06/2020 at 6:44 PM #118867
  adeelq79

  thanks Nicolas.

  what does LIMIT actually do then that you think it would stop the strategy and can I specify a “LIMIT distance” ie open a trade if within 5 points of candle open or reject?

  

  adeelq79

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  02/06/2020 at 8:19 PM #118873
  adeelq79

  I tried replacing AT MARKET with LIMIT but it comes up with an error. Any advice on what I should do here?

  

  adeelq79

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  02/07/2020 at 8:44 AM #118912
  Vonasi

  In your examples above you use OPEN. OPEN refers to the opening price of the just closed candle so it is likely that your order is sometimes the wrong side of current price for a pending order so it is rejected. Change OPEN to CLOSE.

  

  Vonasi

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  02/09/2020 at 2:38 PM #119090
  adeelq79

  ok thanks. will give it a try. See if I can avoid that happening again.

  I assume for short positions I should put ” at close -2 LIMIT”?

  

  adeelq79

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  02/09/2020 at 5:55 PM #119102
  Vonasi

  sellshort at close -2 limit

  1	sellshort at close -2 limit

  I think will be rejected because limit orders have to be at a better/more favourable price than current price.

   

  sellshort at close limit

  1	sellshort at close limit

  Will mean that if the next open is the same as the current close or the market gaps up then your order will be filled at the opening price.

  There is the possibility that this order could also be rejected if the broker sets a minimum order distance from price. They do for STOP orders but I’m not certain if they do for LIMIT orders. However as Nicolas suggested just putting the idea live in demo should tell you if this is the case or not.

  

  Vonasi

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  02/09/2020 at 6:59 PM #119114
  adeelq79

  Thank you both. Will give it a whirl. The previous code worked fine 6 times but on Monday price shot up and filled my order 50 points away…very odd.

   

  Thanks

  

  adeelq79

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