Stop orders rejected because too close to current price

• 12/08/2020 at 5:54 AM #152932
  mr blue

  Yes, in backtesting everything works fine and looks great. But when it comes to live trading some parameters change.

  So my strategy enters a trade using STOP orders. And I am struggling at the moment with the situation, that somethings the algo calculates the levels of the STOPs to close to the current price, so that IG rejects the STOP orders and the strategy stops.

  Any idea how to prevent this? How can I identify what the minimal distance of points to the current price must be on financial instrument level?

  Thanks

   

  

  mr blue

  Participant

  Topics: 10

  Replies: 77

  Been thanked: 14 times
  12/08/2020 at 7:27 AM #152934
  robertogozzi

  There’s no way to know what that distance is at runtime and it changes when there’s high volatility or news.

  You should check what it is with IG, then use this code to make sure your SL is not below:

  Once Distance = 10 . . MyStopLoss = max(MyStopLoss, Distance)

  1 2 3 4

  Once Distance = 10 . . MyStopLoss = max(MyStopLoss, Distance)

  this will not guarantee your strategy will never be stopped again when exceptions occur, but most of the times it will.

  1 user thanked author for this post.

  mr blue

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 18046

  Been thanked: 4612 times
  12/08/2020 at 9:14 AM #152939
  mr blue

  Thats a helpful snipped of code – Grazie

  

  mr blue

  Participant

  Topics: 10

  Replies: 77

  Been thanked: 14 times
  12/08/2020 at 12:07 PM #152955
  BC

  Thanks Robertogozzi

  Some of my algo which use pending stop order also affect by IG conditions (too close to market price).

   

  Any command can read the current price so that I use your syntax?

  

  BC

  Participant

  Topics: 24

  Replies: 170

  Been thanked: 34 times
  12/08/2020 at 1:40 PM #152970
  robertogozzi

  You need to apply that code whenever you place an order, be it a SET STOP LOSS or a PENDING LIMIT/STOP order (not AT MARKET).

  Before you place the order make a difference between the current price (CLOSE) and your desired entry price, then check that it’s not less than the required distance:

  ONCE Distance = 10 * pipsize . . IF MyLongConditions AND close > close[1] THEN //your long conditions on a raising market EntryPrice = min(Close - Distance,low[1]) //enter al the lowest price between LOW[1] and CLOSE-Distance to make sure your order is not rejected BUY 1 CONTRACT AT EntryPrice LIMIT ENDIF

  1 2 3 4 5 6 7

  ONCE Distance = 10 * pipsize . . IF MyLongConditions AND close > close[1] THEN  //your long conditions on a raising market    EntryPrice = min(Close - Distance,low[1])   //enter al the lowest price between LOW[1] and CLOSE-Distance to make sure your order is not rejected    BUY 1 CONTRACT AT EntryPrice LIMIT ENDIF

  in this case say you want to enter LIMIT at LOW[1] on a raising market, so you want to make sure that the entry price is at least within DISTANCE pips from the current price (CLOSE) at the very moment you place the order.

  Obviously you will have to check with IG what is the correct value for DISTANCE (if any).

   

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 18046

  Been thanked: 4612 times
  12/08/2020 at 2:40 PM #152975
  BC

  Thanks for your suggestion, Robertogozzi.

   

  But actual syntax is as below:-

   

  ONCE Distance = 10 * pipsize InitialTargetPrice = DClose(1) + AverageTrueRange[20](Close) If LongCondition then FinalTargetPrice = Max(InitialTargetPrice, CurrentPrice + Distance) Buy 1 Contract at FinalTargetPrice Stop EndIf

  1 2 3 4 5 6 7 8 9 10 11

  ONCE Distance = 10 * pipsize   InitialTargetPrice = DClose(1) + AverageTrueRange[20](Close)   If  LongCondition then   FinalTargetPrice = Max(InitialTargetPrice, CurrentPrice + Distance)   Buy 1 Contract at FinalTargetPrice Stop   EndIf

  So I wondering what command can replace the CurrentPrice?

  

  BC

  Participant

  Topics: 24

  Replies: 170

  Been thanked: 34 times
  12/08/2020 at 3:34 PM #152980
  robertogozzi

  CLOSE is the current price.

  In strategies it’s the last price of the most recently closed candle since currently forming candles cannot be accessed, while in indicators and screeners it’s the last price of the candle being formed.

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 18046

  Been thanked: 4612 times
  12/09/2020 at 6:34 AM #153041
  BC

  Yes, I should use Close to detect current price.

  Million thanks Robertogozzi.🙏🙏

  

  BC

  Participant

  Topics: 24

  Replies: 170

  Been thanked: 34 times
• Author
  Posts