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Stop limit orders in MC strat


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Stop limit orders in MC strat

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  #11 (permalink)
 
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 Nicolas11 
near Paris, France
 
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@aczk,

About stop limit orders with MultiCharts, the following thread could be worth a look : MultiCharts: Trading Software for Automated Trading and [AUTOLINK]Backtesting[/AUTOLINK] • View topic - Stop-[AUTOLINK]Limit order[/AUTOLINK] in Auto Trading

Below please find a code.

BuySetup shall be modified by you to be true when there is a setup on the current bar, and false otherwise.
In the below example, BuySetup is true if the current bar is an inside bar (more precisely: the 2nd bar of the inside bar).

BuyEntryPrice shall be modified by you to contain the entry price in case of setup. In the below example, we buy in case of breakout of the 1st bar of the IB (the tallest bar). So BuyEntryPrice = H[1].

Then, at each bar, if there was a setup at the current bar, the bar before or the 2nd bar before, a stop limit order is launched for the next bar at the "BuyEntryPrice" of the setup.

Note: with MultiCharts auto trading, the order are just valid for the next bar. They do not "stay". So, they have to be sent again at each bar, if relevant.

Nicolas

 
Code
Variables:
	BuySetup	( false ),
	BuyEntryPrice	( 0 );
	
BuySetup = H < H[1] AND L > L[1]; // inside bar
if BuySetup then BuyEntryPrice = H[1]; // highest high of the IB

if MarketPosition = 0 then begin
	if BuySetup then begin // the current bar is an IB
		Buy next bar at BuyEntryPrice stop BuyEntryPrice limit;
	end else if BuySetup[1] then begin // the bar before current bar is an IB
		Buy next bar at BuyEntryPrice[1] stop BuyEntryPrice[1] limit;
	end else if BuySetup[2] then begin // the 2nd bar before current bar is an IB
		Buy next bar at BuyEntryPrice[2] stop BuyEntryPrice[2] limit;
	end;
end;

if MarketPosition = 1 AND BarsSinceEntry = 3 then begin 
	// close the trade after 3 bars
	Sell next bar at market;
end;

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  #12 (permalink)
 aczk 
London, UK
 
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yep...my bad...sorry.

it is a stop limit order !
thx

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 Nicolas11 
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OK. Please kindly refer to my last message above.

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  #14 (permalink)
 aczk 
London, UK
 
Experience: Intermediate
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ok got it now. thx

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Last Updated on June 19, 2012


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