Sell at market instead of hitting guaranteed stop
-
The use of CLOSE in my code has nothing to do with waiting for the closing of the bar. Its purpose is just to make sure it’s a STOP order.
Pending orders last a whole bar and can get triggered while the new candle is forming.
Roberto,
Once I remove my original “set stop loss” and rely entirely on exiting trades using your code, I get incorrect results (see screengrab). As a reminder, here is the code in full.
DEFPARAM CumulateOrders = False Starttime = 000000 Limitentrytime = 220000 Exclude=time >=020000 and time <=050000 timeframe(225 minutes,updateonclose) if MACD[12,26,9](close) >0 then mac4flag=1 endif if MACD[12,26,9](close) <0 then mac4flag=-1 endif if close >ExponentialAverage[5](high) then upperflag=1 endif if close <ExponentialAverage[5](high) and close >ExponentialAverage[5](low) then upperflag=0 endif if close < ExponentialAverage[5](low) then upperflag=-1 endif timeframe(75 minutes,default) Averagecrosslong= Average[8](close) CROSSES OVER Average[20](close) Averagecrossshort= Average[8](close) CROSSES under Average[20](close) ONCE crossflag=0 ONCE avgflag=0 if close > ExponentialAverage[5](high) then avgflag=1 endif if close < ExponentialAverage[5](low)then avgflag=-1 endif longentry=0 if avgflag=1 and averagecrosslong then crossflag=1 endif c2 = close > Average[50](close) longentry= c2 limitbuy=ExponentialAverage[5](low) if not onmarket and crossflag=1 and longentry=1 and mac4flag=1 and upperflag=1 and time >=StartTime and time <LimitEntrytime and not exclude then sl=AverageTrueRange[14]*2 tp=sl * 1.5 slpricelong= close - sl //Set stop loss sl risk=100/sl BUY risk PERPOINT AT limitbuy limit endif shortentry=0 if avgflag=-1 and averagecrossshort then crossflag=-1 endif d2 = close < Average[50](close) shortentry= d2 limitsell=ExponentialAverage[5](high) if not onmarket and crossflag=-1 and shortentry and mac4flag=-1 and upperflag=-1 and time >=StartTime and time <LimitEntrytime and not exclude then sl=AverageTrueRange[14]*2 tp=sl * 1.5 Set target profit tp slpriceshort = close + sl //Set stop loss sl risk=100/sl Sellshort risk PERPOINT AT limitsell limit endif if onmarket then crossflag=0 endif if longonmarket and close > slpricelong then sell at sl stop endif if shortonmarket and close < slpriceshort then exitshort at sl stop endifIf the Close does not touch the pending Stop order, it will be placed again every next bar (if your conditions are still true).
Hi JS – Maybe you can rephrase that. Because it is there where it IMHO goes “wrong”. Why would a close not (or do) “touch” a pending stop order ? no such thing exists. And just saying : a pending stop order touching a close also does not exist. There is not even such a thing as a pending stop order unless
- It is a Market order placed in a closed market (and assumed that is allowed by the broker and settings);
- It is a Market Order waiting to get filled;
- It has a price limit attached to it, possibly even a time limit (kill end of day).
We are talking about #3 and nothing else that I can see. And this is the same as you putting a Stop Order manually, which has a price limit attached to it. There is nothing else for “pending stop” … (compare #1 and #2).
See the two subsequent attachments. I take it that you will agree that this is a Stop order. I place it at, well, a PRICE. Right ? at 1.14509. This makes it a Limit order to begin with.
This is not comparable at all to a Stop (without Limit) order in ProRealCode. That would make it a Market order, which for ProRealCode implies “Execute right at the start of the next bar” (when my code is handed to the broker system) and where it will wait to get filled. Net this means :If I place a Stop Order in my code, and I will do that when my whatever conditions are met, it WILL get filled, unless nobody wants to take my (market) price. But that not assumed, it will get filled during the execute of the next bar, most probably within tenths of seconds.
What I would want, no wait, what Mike wants (ne coincidentally heading for the very same), is that the order is only given to the exchange (yep) when a certain price is met. Thus, my code is handed to the broker, but it didn’t tell to sell (when Long). It only asks to sell when a price will be met. And if that does not happen in the next bar, then I happily own the stock (etc.) still. And THEN I might like to kill the Limit Order. Btw, manually I would kill in the middle of the bar (cross away at any random time), but with PRC that is not possible again. But beware, because with the same (so far according to Mike conflicting orders/techniques) I would be able to do that too. Admitted, all still theories.Something which would count for me surely :
If we don’t (and equally) fully understand how the PRT software interacts with the “candle system”, and when the code is executed and when it is executed again, and what can happen meanwhile within the time (of the candle) that our PRC code is not in control …
… then it is very hard to make something of this and discuss it.
but
Applying dozens of trades daily, which is not scalping at all, done in an environment which allows to learn the possibilities of PRT on one side and one of the broker systems on the other, and using a broker system with a plethora of possibilities to begin with and which is not IG …
… helps. Well, I think it does. 🙂Below the current possibilities of PRT, which is a subset of what IB allows. Well, partly, because PRT adds “soft” orders as well. And just saying : what a broker allows for is almost all “soft” only, but a platform has to comply to that. … Within that, trickery is possible because most comprises of elements and often several elements can be applied subsequently, without they know about each other. Example : a Limit order to Buy and a Limit order to SellShort at the very same time. Which executes first is to wait and see, but if the SellShort is fist and put above the Buy (Long) they will execute both if my expectation of the market is right (price drops, but at a certain level it will retrace). So I executed two orders while I wasn’t there (both Limit orders), both set in advance. I will end up with a Long, after having earned on the Short.
This latter is a part of my perception of the system as a whole. In the earlier post I told I could not do that in IG, probably because of wrong settings somewhere. But in IB I do this regularly, especially which all is swinging and I have nothing to do but having a bit of fun with certainty. Now, if you can’t copy this way of trading (or are sure it can’t exist) then don’t expect that I can make clear what, well, I like to make clear. 🙂
If you miss some trade buttons in IG settings, it does not mean that it can’t be done by PRC code.Ready to learn more, really …
PeterPS: JS, see the last line in the attachment. I deliberately copied that in. That looks like what you were saying. But is it what you referred to ? (again, ready to learn more)
@ Mike Boorman
Your code is executed at the end of each bar, suppose that at the end of a certain bar your conditions are true so you are LongOnMarket and Close > LongExit1 (LongExit1 = SLPrice = Close – ATR[14]*2) then Roberto’s code will place a STOP order on LongExit1.
This STOP order is a PENDING order that starts at the beginning of the new bar and is valid until the end of that bar. When the Close hits the pending Stop order IN this bar, it is executed (equivalent to a StopLoss).
If the Close does not touch the pending Stop order, it will be placed again every next bar (if your conditions are still true).
Okay, so what is it in the code that means that Roberto’s conditions are hit immediately for shorts (no trade of over one bar), and almost never hit for longs? (there’s a trade of over 1,000 bars, for example, which should only be 42). You can see from my screengrab the list of trades which shows the unreliable results. Three or four of those results do actually mirror what they were when I used the “set stop loss” command to execute the same exit conditions, but the great majority do not. Would you be so kind as to help me fix this so the stop order mirrors the stop loss more accurately?
DEFPARAM CumulateOrders = False Starttime = 000000 Limitentrytime = 220000 Exclude=time >=020000 and time <=050000 timeframe(225 minutes,updateonclose) if MACD[12,26,9](close) >0 then mac4flag=1 endif if MACD[12,26,9](close) <0 then mac4flag=-1 endif if close >ExponentialAverage[5](high) then upperflag=1 endif if close <ExponentialAverage[5](high) and close >ExponentialAverage[5](low) then upperflag=0 endif if close < ExponentialAverage[5](low) then upperflag=-1 endif timeframe(75 minutes,default) Averagecrosslong= Average[8](close) CROSSES OVER Average[20](close) Averagecrossshort= Average[8](close) CROSSES under Average[20](close) ONCE crossflag=0 ONCE avgflag=0 if close > ExponentialAverage[5](high) then avgflag=1 endif if close < ExponentialAverage[5](low)then avgflag=-1 endif longentry=0 if avgflag=1 and averagecrosslong then crossflag=1 endif c2 = close > Average[50](close) longentry= c2 limitbuy=ExponentialAverage[5](low) if not onmarket and crossflag=1 and longentry=1 and mac4flag=1 and upperflag=1 and time >=StartTime and time <LimitEntrytime and not exclude then sl=AverageTrueRange[14]*2 tp=sl * 1.5 slpricelong= close - sl //Set stop loss sl risk=100/sl BUY risk PERPOINT AT limitbuy limit endif shortentry=0 if avgflag=-1 and averagecrossshort then crossflag=-1 endif d2 = close < Average[50](close) shortentry= d2 limitsell=ExponentialAverage[5](high) if not onmarket and crossflag=-1 and shortentry and mac4flag=-1 and upperflag=-1 and time >=StartTime and time <LimitEntrytime and not exclude then sl=AverageTrueRange[14]*2 tp=sl * 1.5 Set target profit tp slpriceshort = close + sl //Set stop loss sl risk=100/sl Sellshort risk PERPOINT AT limitsell limit endif if onmarket then crossflag=0 endif if longonmarket and close > slpricelong then sell at sl stop endif if shortonmarket and close < slpriceshort then exitshort at sl stop endifHi Peter,
Yes, via code…
if longonmarket and close > longexit1 then sell at longexit1 stop endifPeterSt thanked this post
- You must be logged in to reply to this topic.
Author
Summary
This topic contains 61 replies,
has 6 voices, and was last updated by 
4 years ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/04/2022 |
| Status: | Active |
| Attachments: | 20 files |
