Understanding Runtime Code Execution
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Hello Nico,
This is because you never exit. Thus, your second example is OnMarket after the Buy, and after that the If will never run True anymore. If you create code for the Exit, it will buy again.
Understand ?
Peter
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Then about the first part :I start the test at 09:00 in the morning. So from my understanding when I run the backtest there should be one contract bought at 09:01 and then no more contracts should be bought. Instead what happens is that no contract at all will be bought.
This is more difficult to grasp.
ProrealCode has a default for bars not to execute code at first. This is about this command, would you like to overrule this default :1defparam preloadbars = 5000 // Overrule the default with 5000.I would call it a bug that your code surely is executed during this first phase of “preloadbars”, but that no orders will be handed to the (virtual) broker.
Thus what happens is that your Start variable will be set to 1, after that it is set to 0 by yourself, and nothing happened.Start your program with my example with
1If BarIndex > 5000and it will work.
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Try with:
1defparam preloadbars = 0In this case your code will not be read before it actually starts for real in ProOrder, so your ONCE will be set at first bar and not back in history.
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Thank you Nicolas. I was actually on the phone and just hung up. So I made it a too quick one with hopefully still some sense.
As for part1, when using the “NOT longonmarket” it does create a a buy order at the “virtual” broker at 09:01. I am using 1-minute bars, so can I conclude that ProRealCode does have a default “wait” of 1 bar before forwarding orders? In case example 2 would result in contracts being bought at 09:03, I would know that the default wait timer is 3 bars, 09:04 4 bars and so on. Am I getting there?
Of course you are. 🙂 It works like this :
When you use a 1 minute timeframe on your chart (and I estimate you do/did), then your code is called each minute. It is then executed BUT only at the next bar all will apply for real.
It is not easy to explain this and best is to remember that your code is executed each minute and that it comes down to the “next minute” it applies.
Thus suppose you look at your chart and it just has become 09:06. Your code is called and a buy (market) order (without further conditions) will be filled at 09:07.
Supposed that in the bar which builds at 09:07 a sell condition occurs, then you will notice this at the call of 09:08. If you(r code) decides to sell, then this will happen at 09:09. That in itself will be noticed in the next call (09:10) by means of OnMarket not being true.You will get the hang of his quickly.
Of course you can set the timeframe different for the chart you are using, hence what your code applies to. Make it one second, and the call will happen each second. The downside of this is that you will have less backtesting data.
When got the hang of this all, it is good to investigate the TimeFrame command. But this is really a step further and more “complicating”.1 user thanked author for this post.
The DefParam Preloadbars exists, so your calculations get “headroom” before the real ordering starts. Thus, if you want to know an average of the last 250 bars, that average must have been calculated properly before your first condition is judged/set for a buy order.
DefParam Preloadbars = 0 will readily execute your order indeed, but no e.g. Average(250) can have been calculated. Thus, Preloadbars should be set at the minimum number of bars you need ahead of your first order.The default is 1000 and the maximum is 10000.
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Hi again Nico,
Once : Only the very first time this is executed (the whole code is being called each bar). FlatBefore/-After is not related to this.
The code keeps on running; it is only that no orders will be executed during the “flat” period. I am not even sure whether Exits will take place in the “flat” period (Sell and ExitShort). Hopefuly others will know this.
when setting a stoploss it will set it depending on the AVERAGE position price. Which average is meant by this?
This is about accumulated positions. Buy a piece at first, later add another, later add more. Sell one. All together this forms an average price which is a mixture of prices and quantities for those prices.
Quite hard to check afterwards.1 user thanked author for this post.
Exits will take place in the “flat” period
FlatAfter 173000 … open positons will be closed at 173000 (if running on a TF that has a bar that closes at 173000).
If, for example, running on 1 hour TF then positions will be closed at 180000.
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