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Multi Time Frame Strategy Cancellation


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  #1 (permalink)
 jthom 
Sydney / Australia
 
Experience: Intermediate
Platform: NT
Broker: AMP
Trading: Oil
Posts: 118 since Jun 2009
Thanks Given: 129
Thanks Received: 105

Hello,

I currently have a multitimeframe strategy setup on 4 range and 1 range bars. 4 range handle the entry conditions and initial entry order, while the 1 range series handles order cancellation if the close price moves 2 ticks away from entry order.
The problem im having is that once an order has been placed, a cancellation preceeds it immediately.

 
Code
                            
if (Position.MarketPosition == MarketPosition.Flat && BarsInProgress == 0) { 
  if (
Bla Bla) {
     
entryOrder1 = EnterLongLimit(0, true, DefaultQuantity, Close[0] - 2 * TickSize, "Long 1a");
     
Buy = true;}
if (
Position.MarketPosition == MarketPosition.Flat && BarsInProgress == 1) {
   if (
Buy == true && entryOrder1 != null && entryOrder1.LimitPrice != null && Close[0] == entryOrder1.LimitPrice + 2 * TickSize) { 
   
CancelOrder(entryOrder1);
   
Buy = false;} 


The issue seems to be the use of Close[0] in BarsArray = 1. If I use Closes[0][0], it will wait for next 4 range bar to close before cancelling order, which is too far away.
I cannot use Indicator(BarsArray[1])[0] command as the indicator is custom 3rd party.

Any ideas on how to combat this?

Thanks

James


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  #3 (permalink)
kconradbell
Dallas Texas United States
 
Posts: 5 since Apr 2014
Thanks Given: 1
Thanks Received: 0


James,

Did you ever get this figured out? I'm having the same problem.

Thanks,

Conad


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Last Updated on October 9, 2014


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