Hi there
I wrote a simple code that takes the high/low of the market at close time and sets a buy/sell orders.
The buy/sell orders should only be called once per day.
I used an hourly time frame but I see that sometimes the orders are called more than once a day. It happens when the order was triggered and successful on the same bar.
So on the next bar there was no time to set a flag to state that the order was already ONMARKET to prevent it from going in again.
If I move the time frame to 1 second or even 1 minute this problem will probably not occur or occur less often but then I would not have access to enough historical data.
I am attaching this simple code snippet.
Is this a multiframe issue? is there any simple solution for this?
Any advice would be welcomed
Thanks in advance
DEFPARAM CumulateOrders = false
DEFPARAM FLATBefore = 220000
DEFPARAM FLATAfter = 090000
ONCE EndOfMarketTime = 220000
ONCE CutOffTime = 09000
ONCE WasInMarketFlag=0
ONCE StopLoss=50
ONCE StopLimit=50
ONCE StakeSize=10
ONCE EntryBuffer=10
ONCE LongTriggered = 0
ONCE ShortTriggered = 0
ONCE State=100
//GRAPH MyBuyprice
//GRAPH MySellprice
GRAPH State
//for every bar
IF ONMARKET THEN
WasInMarketFlag=1
ENDIF
//if time is EndOfMarketTime - reset all states for new day and set buy/sell
IF time = EndOfMarketTime THEN
MyBuyprice = DHIGH(0)+EntryBuffer
MySellprice= DLOW(0)-EntryBuffer
StopLoss = MyBuyprice - MySellprice
State=1
WasInMarketFlag=0
ENDIF
//if between EndOfMarketTime && CutOffTime -> if WasInMarketFlag is false - reset bar for buy/sell
IF WasInMarketFlag = 0 THEN
IF LongTriggered=0 THEN //if long
BUY StakeSize CONTRACTS AT MyBuyprice stop
State=3
ENDIF
IF ShortTriggered=0 THEN
SELLSHORT StakeSize CONTRACTS AT MySellprice stop
State=4
ENDIF
SET STOP LOSS StopLoss
SET TARGET PROFIT StopLimit
ENDIF
//if time is CutOffTime - stop all markets (if ONMARKET)
IF time >= CutOffTime AND WasInMarketFlag>0 THEN
IF LONGONMARKET THEN //TERMINATE TRADE AT END OF DAY
SELL AT MARKET
ELSIF SHORTONMARKET THEN
EXITSHORT AT MARKET
ENDIF
ENDIF
This is a version supporting MTF (I only have tested it for syntax errors):
DEFPARAM CumulateOrders = false
DEFPARAM FLATBefore = 220000
DEFPARAM FLATAfter = 090000
TIMEFRAME (1 hour,updateonclose)
ONCE EndOfMarketTime = 220000
ONCE CutOffTime = 090000 // ---> I added one more ZERO (it was 00:90:00 in your code)
ONCE StopLoss=50
ONCE StopLimit=50
ONCE StakeSize=10
ONCE EntryBuffer=10
ONCE LongTriggered = 0
ONCE ShortTriggered = 0
ONCE State=100
//GRAPH MyBuyprice
//GRAPH MySellprice
GRAPH State
//if time is EndOfMarketTime - reset all states for new day and set buy/sell
IF time = EndOfMarketTime THEN
MyBuyprice = DHIGH(0)+EntryBuffer
MySellprice= DLOW(0)-EntryBuffer
StopLoss = MyBuyprice - MySellprice
State=1
ENDIF
//if between EndOfMarketTime && CutOffTime -> if WasInMarketFlag is false - reset bar for buy/sell
IF WasInMarketFlag = 0 THEN
IF LongTriggered=0 THEN //if long
BUY StakeSize CONTRACTS AT MyBuyprice stop
State=3
ENDIF
IF ShortTriggered=0 THEN
SELLSHORT StakeSize CONTRACTS AT MySellprice stop
State=4
ENDIF
SET STOP LOSS StopLoss
SET TARGET PROFIT StopLimit
ENDIF
//////////////////////////////////////////////////////////////////////////
TIMEFRAME (default)
ONCE WasInMarketFlag=0
ONCE IamLong =0
ONCE IamShort =0
IF IntraDayBarIndex = 0 THEN
WasInMarketFlag=0
IamLong =0
IamShort =0
ENDIF
IF time = EndOfMarketTime THEN
WasInMarketFlag=0
ENDIF
//if time is CutOffTime - stop all markets (if ONMARKET)
IF time >= CutOffTime AND WasInMarketFlag>0 THEN
IF LONGONMARKET THEN //TERMINATE TRADE AT END OF DAY
SELL AT MARKET
ELSIF SHORTONMARKET THEN
EXITSHORT AT MARKET
ENDIF
ENDIF
IF WasInMarketFlag = 0 THEN
IamLong = LongOnMarket
IamShort = ShortOnMarket
WasInMarketFlag = IamLong OR IamShort
ENDIF
This will set WasInMarketFlag once in a 1-Minute TF and will be cleared each new day, so your 1-hour TF will not enter any longer for the rest of the trading day.
You will have less history.
If you don’t want to use MTF, then you would be able to know you were ONMARKET by checking STRATEGYPROFIT against its initial value saved at the beginning of each new day, something like:
ONCE MyProfit = 0
IF IntraDayBarIndex = 0 THEN
MyProfit = STRATEGYPROFIT
ENDIF
IF Not OnMarket AND Not OnMarket[1] THEN //no trades apparently since last bar
IF MyProfit <> STRATEGYPROFIT THEN
IwasLong = 1
ENDIF
ENDIF
You will have less history.
Thats great! thank you so much for this.
A question about the “less history” part.
Does it meant that MTF will always give the amount of data based on the lower time frame (so 1 sec time frame will have a few days even if the “main” code is based on daily)
Thanks again
Alan
Yes, the importance of the TF is just the opposite in MTF.
MTF recognizes the lowest TF as the main TF, the one used to launch your strategies on which BARINDEX, TRADEINDEX, INTRADAYBARINDEX, ONMARKET and so on… are updated.
All other TF’s must be multiple of the lower ones and variables can be created/changed only in one TF but read by any TF.
