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EL question--need help intraday programming


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EL question--need help intraday programming

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jschultzjr
new york, ny
 
Posts: 2 since Sep 2013
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Is there a way to make an intraday strategy execute just one time? In other words, say you have a strategy.... it executes, then later it closes the position.....I want to make sure it doesn't execute again...one execution per day then strategy shuts down. Any thoughts?

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 ABCTG   is a Vendor
 
Posts: 2,426 since Apr 2013
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You could monitor the number of trades and block additional trades for the day when a new trade happens.

You could also use a true/false variable that you use as a flag. When you enter a trade you set this variable to false and reset it on a date change.

 
Code
if Date <> Date[1] then
TradingAllowed = true;


if TradingAllowed and your other entry conditions are matched then
begin
 Take a trade
TradingAllowed = false;
end;
You might need to change the position where you set the flag to false, to something like
 
Code
if MarketPosition <> 0 then TradingAllowed = false;
Something like the above should get you started.

Regards,
ABCTG

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  #4 (permalink)
jschultzjr
new york, ny
 
Posts: 2 since Sep 2013
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ABCTG,

Thanks for help and reply.

The problem I am running into still is that the strategy is missing trades that it should be taking. The problem may be that I am using hourly charts....? Is there any other way to know when a new day has arrived so I can reset the flag?

Using stock tradestation new low function:


 
Code
[IntrabarOrderGeneration = false]

inputs: int PeriodType( 1 ) ;
{ pass in 1 for chart, 2 for day, 3 for week, 4 for month, 5 for year }

variables: 
	int BT( BarType ),
	int tradecount ( 0 ),
	bool TradingallowedL ( true ),
	bool LastBarOfPeriod( false ), 
	double LowestLo( -1000000 ), { LowestLo is initialized to a large -ve value to 
	 ensure that if a calendar period is specified, the first such period on the 
	 chart is ignored because it may be incomplete }
	bool IsDailyBarOrShorter( false ),
	bool IsWeeklyBarOrShorter( false ),
	bool IsMonthBarOrShorter( false ),
	bool NextBarIsNewDay( false ),
	bool NextBarIsNewWeek( false ),
	bool NextBarIsNewMonth( false ),
	bool NextBarIsNewYear( false ) ;
		
If date<>date[1] then tradingallowedl=true;


if CurrentBar = 1 then
	begin
	IsDailyBarOrShorter = BT <= 2 or BT = 14 ;
	IsWeeklyBarOrShorter = BT <= 3 or BT = 14 ;
	IsMonthBarOrShorter = BT <= 4 or BT = 14 ;
	end ;

NextBarIsNewDay = Date <> Date next bar ;
NextBarIsNewWeek =  DayOfWeek( Date) > DayOfWeek( Date next bar ) ;
NextBarIsNewMonth = Month( Date ) <> Month( Date next bar ) ;
NextBarIsNewYear = Year( Date ) <> Year( Date next bar ) ;

if ( PeriodType = 2 and IsDailyBarOrShorter and NextBarIsNewDay )
	or ( PeriodType = 3 and IsWeeklyBarOrShorter and NextBarIsNewWeek )
	or ( PeriodType = 4 and IsMonthBarOrShorter and NextBarIsNewMonth )
	or ( PeriodType = 5 and IsMonthBarOrShorter and NextBarIsNewYear )
then
	LastBarOfPeriod = true 
else
	LastBarOfPeriod = false ;

if ( CurrentBar = 1 and ( PeriodType <= 1 or PeriodType > 5 ) ) 
	or LastBarOfPeriod[1] 
	or Low < LowestLo 
then
	LowestLo = Low ;
	
	
	
  if LastBarOfPeriod = false and tradingallowedl=true then
  begin
	Sell Short( "NewLo" ) next at bar at LowestLo - 1 point stop ;
	tradingallowedl=false;
    end;


The Red parts above it what I added to the stock new lo from tradestation....just using a simple % pair to exit...

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 ABCTG   is a Vendor
 
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jschultzjr,

you are welcome. Can you show some examples of missed trades and explain why you would expect a trade at these points?

Regards,
ABCTG

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 sptrader 
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jschultzjr View Post
Is there a way to make an intraday strategy execute just one time? In other words, say you have a strategy.... it executes, then later it closes the position.....I want to make sure it doesn't execute again...one execution per day then strategy shuts down. Any thoughts?

***************************************************************
Tradestation has a Function called "Tradestoday", so all you have to do is add the following:
if Tradestoday(date) = 0 then begin

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Last Updated on September 26, 2013


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