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MedianRenko close/open

  #11 (permalink)
 hawks67 
Chicago, IL
 
Experience: Intermediate
Platform: NinjaTrader
Broker: AGN/Rithmic
Trading: CL
Posts: 22 since Apr 2010
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Thanks, Aslan and Mike...

I understand the backtesting issue, but what I'm experiencing is live. I'm watching each fill take place at the close of the previous bar.

Is there anything I can do in my code (aside from changing it to a limit order) to get around this?

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  #12 (permalink)
 
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 aslan 
Madison, WI
 
Experience: Advanced
Platform: ALT
Trading: ES
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Even live, it is likely you would be filled at the open minus a tick. If you are getting an uptick forcing the bar to close, that is likely someone buying the ask, and the bid is likely a tick lower, which is where your market sell would execute. Since the bid/ask is dynamic, you don't know what you will get, but if you want to sell that up tick price, then you have to use a limit and risk not being filled.

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  #13 (permalink)
 hawks67 
Chicago, IL
 
Experience: Intermediate
Platform: NinjaTrader
Broker: AGN/Rithmic
Trading: CL
Posts: 22 since Apr 2010
Thanks Given: 14
Thanks Received: 2


Awesome answer, Aslan...thanks!

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  #14 (permalink)
 hawks67 
Chicago, IL
 
Experience: Intermediate
Platform: NinjaTrader
Broker: AGN/Rithmic
Trading: CL
Posts: 22 since Apr 2010
Thanks Given: 14
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Actually, one more question. Probably a stupid one...

The NT chart trader features buttons that allow the user to Buy/Sell the Bid, and Buy/Sell the Ask. Since you suggested that the new range bar forms when someone buys the ask (the uptick), is there a way to programmatically do the same thing, or is that just another way to say "limit order"?

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  #15 (permalink)
 
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 aslan 
Madison, WI
 
Experience: Advanced
Platform: ALT
Trading: ES
Posts: 625 since Jan 2010
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If you try those buttons, you will see that "sell the ask" will put a limit order in at the ask price. Anytime you want a specific price or better you need to use a limit order.

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Last Updated on July 19, 2010


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