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Trade Plans
Entries & Exits - Market Vs. Market on Open
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Vinay

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Subject : Entries & Exits - Market Vs. Market on Open
Posted : 2/24/2014 8:36 AM
Post #31006

How are the "Market GTC" Entries & Exits different from "Market on Open GTC" from the perspective of EOD Trading? The Advisor shows both of them as being executed on next market opening date and rate.

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Jim Dean

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/24/2014 8:59 AM
Post #31007 - In reply to #31006

Hi, Vinay

This is sort of a frustrating topic for me so I will try to limit my comments.

OT has some undeniable bugs when it comes to the Advisor vs the Voteline vs the vertical trade boundary lines in the chart vs what the Condition &/or Order type might be telling it to do. Also, how some of the Order Types do (and do not) work. I've reported various aspects of these bugs repeatedly and thus far very few if any have been addressed.

So ...

My current methodology is to try to learn what OT *does* do, and what it does *reliably*, and stick to those features. As far as Order Types go, the ONLY totally reliable ones (ie that do what you expect, and which report those activities correctly in the various visual and written ways), is Market On Open (aka Bar On Open for RT), and Stop Market. The Market Order is a pretty much meaningless distinction for backtesting, but does seem to work properly and usefully for integrated brokerage trading at the HRE. Limit orders regularly act strangely ... I have not trusted real dollars to them. Stop Limit orders are totally useless - imho that option should be eliminated from the package entirely until it is completely rewritten.

PART of the reason for the Market order thing seems to have stemmed from some draconian changes made behind the scenes a few years ago. It had been possible to write OLang code that incorrectly allowed stops to fire with "hindsight" during historical bar simulations ... and, rather than fixing the OLang code parsing rules, or just warning users not to do it, they seem to have modified the entire underlying order-processing engine so as to prevent nuanced modelling completely. The details as to what used to be (legitimately) possible, and how it could be abused, are buried in the mists of forum-time and not worthwhile to discuss now, since they've been disallowed.

Regarding the EOD Market order thing ... I *believe* that the "corporate position" on this boils down to ... since the EOD bar cannot be dissected in historical simulation, one must assume that the Market order was fired only AFTER the full bar was complete ... which means the earliest possible moment the trade could actually be entered would be first thing on the next trading day ... ie at the open. Thus, from a historical simulation perspective, it's functionally the same as a MOO order. Of course, in actual trading, the two order types, both submitted at the open, will give different results, depending on a wide variety of factors.

Interestingly, the MOC order in the Orders Block has not been removed ... which logically would suffer from the same issues. If I'd been the one making the draconian decision, I'd have force a "Market" order to be linked to the Close price of the current bar, rather than the open of the next bar. This is possible to do with EOD bars at the HRE by doing a download and recalc a few min before the Close of the day, without introducing significant error in the vast majority of cases. Certainly less error than presuming MOO the next bar is equiv to Market on the current bar. But ... that's just my opinion, and I'm trying not to "rant" here.

My advice on this is just to grin and bear it. I've recently reminded some of the staff at Nirvana of the long-standing problems with these order-type and conditional execution issues. One of these days, hopefully, their priority will bubble up high enough to get addressed. Collectively, these issues are, admittedly, a messy problem both from a logical standpoint, and by the fact that any decent fix would be fiddling with the "core" components of the code rather than just a formatting issue or some such.

Bottom line:
For now, Market orders "look" like MOO orders in historical simulation, but ACT differently (earlier) at the HRE.

[Edited by Jim Dean on 2/24/2014 9:03 AM]

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Vinay

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/24/2014 9:45 AM
Post #31008 - In reply to #31006

Thanks Jim for clearing many confusions which I had regarding working of Trade Plans. Not only its documentation is poor, several bugs as described by you adds to the confusion.

I acquired "The Power of Trade Plans" seminar in the hope that it will clear many confusions I had, but I am sorry to say that this seminar is next to useless.

The gist of your post seems to be that we should only use MOO Entries and Exits in our Strategies, if we want to see correct Advisor and PortSim results. What about MOC Entries and Exits? I have found that these shows far superior results as compared to MOO Entries and Exits in PortSims.



[Edited by Vinay on 2/24/2014 9:47 AM]

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Jim Dean

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/24/2014 10:02 AM
Post #31009 - In reply to #31008

Don't forget about Stop Market orders ... they seem to work just fine!

I use Market vs MOO distinctions if I plan to trade Market at the HRE, so that it works "properly" there.

MOC seems to work fine but has the problem of requiring the user to do the just-before-market-close download and execution process, in real life, to match the performance in simulation. If you can do that, either via OPilot or manual timing, I think MOC makes a lot of sense. If not, then stick with MOO or Mkt so your testing matches your trading.

One of my desires, if N could get Limit orders AND Entry conditions via OLang to work reliably, would be to apply "trigger" logic to an entry, so that after a signal is given, the OLang routine could examine the O of the next bar vs the C of the signal bar, and enter (or not) conditionally, ON that bar just after the signal bar (ie enter with a market or limit order, on the SAME bar where you tested the Open).

A "shadow" of this is possible with current TP but the execution limitations are annoying ... it only can be done with OScript ... and it forces the actual entry to take place TWO bars after the Signal, rather than on the SAME bar as the conditional test. Plus, the TP architecture needed to accomplish this is sort of non-intuitive ... you need a conditional "jump" using Nbars=1 in the second step, to get it to work right. Messy.

Again ... the rule of thumb I go by is not to "predict" what the TP will do via logic, but rather to "TEST" it in a simple case, to FIND OUT how it works (or doesn't). TP's are incredibly powerful, but unfortunately they get tripped up by these core-level glitches, when you try to do something that is outside of the "Nirvana Norm".

[Edited by Jim Dean on 2/24/2014 10:04 AM]

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Vinay

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/24/2014 10:13 AM
Post #31010 - In reply to #31009

Originally written by Jim Dean on 2/24/2014 9:02 PM

TP's are incredibly powerful, but unfortunately they get tripped up by these core-level glitches, when you try to do something that is outside of the "Nirvana Norm".


Jim...I am ready to do things inside of "Nirvana Norms", but in the absence of proper comprehensive documentation, we don't know exactly what "Nirvana Norm" is? Perhaps they themselves are confused and don't know how to deal with this issue.




[Edited by Vinay on 2/24/2014 11:02 AM]

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Jim Dean

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/24/2014 10:28 AM
Post #31011 - In reply to #31010

Nirvana is not "confused" - they are FOCUSED on what they believe are the most useful approaches. Their normal practice, as seen in their many examples in plugins and seminars, etc, is to use MOO(BOO), Market, and StopMarket orders. I don't recall ever seeing any "for sale" packages that use Limit or StopLimit, or that use any Entry Conditions in the Trade Plan.

So, stick within those guidelines and you'll be good to go.

Also - I'm confident they "know how" to deal with this stuff ... but they have limited resources and need to make bottom line business decisions, every day, that leave some things behind. That's life.

[Edited by Jim Dean on 2/24/2014 10:31 AM]

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Vinay

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/24/2014 11:17 AM
Post #31012 - In reply to #31006

Thanks Jim...I will stick with the guidelines given by you.

One more question regarding MOC Exits. In case of Fixed Loss, Breakeven Stops etc where the price levels are known in advance, Is it perfectly fine to use MOC Exits from the practical use perspective or OT has some gotchas in store there as well? Thanks once again.



[Edited by Vinay on 2/24/2014 11:19 AM]

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Jim Dean

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/24/2014 11:25 AM
Post #31013 - In reply to #31012

I have not recently tested MOC with the canned Fixed Loss or BreakEven stops. Usually afaik, those kinds of stops are driven solely by the "tails" (H/L) of the bar. So, using MOC would be sort of an anticlimax, and somewhat contrary to the intention of the stop. I could be wrong ... the internal code of the stop might be designed to handle things differently if Close rather than HiLo is selected as a radio-button option. As I mentioned before, it's best if you set up a controlled test and carefully examine the behavior (esp via Advisor Exit Price). If you've tried to set it up to exit based on Close crossover, but you find a case where the exit clearly was driven by H/L crossover, then I'd give up on the MOC with those stops.

I'm not sure anymore whether it "works" to write OLang code that checks an internal threshold vs the Close and exits on that same bar. My guess is that is disallowed to assure no hindsight creeps into backtesting ... and also since at the HRE, the "Close" price is at one point in time or another, equal to the H/L price during the formation of the bar. My guess is that if it does work inside OLang, the exit will be taken on the NEXT bar ... and if you select MOC in that situation, it will be at the Close of the NEXT bar rather than of the current bar.

Test test test.
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Vinay

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/25/2014 8:30 AM
Post #31019 - In reply to #31006

Jim...I am trading on EOD data and not using integrated brokerage. I want to exit the trade immediately once the Fixed Loss level is crossed.

After your recommendation to use only MOO and Stop Market orders, I decided to use Stop Market order in my Fixed Loss Stop instead of the MOC orders which I was using earlier. However I am confused as to how should I configure the Orders in the Trade Plan. There are so many options with very little info about them. Please guide me. Thanks in advance.






[Edited by Vinay on 2/25/2014 8:33 AM]

Attached file : Orders.jpg (34KB - 543 downloads)

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Jim Dean

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/25/2014 10:19 AM
Post #31022 - In reply to #31019

Important question - do you want the exit if the H/L crosses the threshold, or only if the C crosses? In the former case, you can use the canned Fixed Loss Stop. In the latter case, you MIGHT need to use OLang - I don't recall there being a canned stop variant that ignores H&L during the day and only checks the C.

It MAY be that the fairly-recently-added UNdocumented feature "Test Stop Against: LastPrice | EntireBar" would apply here ... possibly the LastPrice uses the Close, based on your most recent download ... and possibly the EntireBar option looks for the extremes. I've not taken time to test this out ... but it wouldn't be hard to do ... just create two variations of a simple trade plan with a Fixed Loss or Trailing Profit stop, and see if changing from LastPrice to EntireBar will make the difference between using the true Close or the H/L as crossover points.

I also don't know what "TestDuringSession" checkbox does ... it could mean it only applies during normal exchange hours (similar to the "View All Sessions" checkbox ... no effect on EOD), or it could mean the test of the price that you selected with the radio button WAITS till the BAR is complete - my guess is the latter, but if so, N made a very poor choice of the label ... if that's the case, it should say "Test After Bar is Complete" ... which would probably mean a one-bar delay since the only way OT knows a bar is "complete" is by seeing the next bar begin.

As I said a couple of times before, the PROPER way to do these things is to TEST them yourself. I know - there should be good, complete, uptodate documentation - but there ISN'T ... so your choice is either to stick to what you know, or assume you understand something new, or to TEST and FIND OUT what's going on.

Once N has done a thorough housecleaning of the various Order Types and Conditionals etc, re the bugs I've previously reported to them, then it will make sense for me personally to do massive testing and create video tutorials (if they don't) "All About Trade Plans" ... but until things are fixed that I know are wrong, it doesn't make sense to spend massive amounts of time doing that "study" and "training".

BUT ... if you are focused on a PARTICULAR question, for a PARTICULAR need, then it is usually very practical to do the tests yourself.

[Edited by Jim Dean on 2/25/2014 10:22 AM]

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Vinay

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/25/2014 10:38 AM
Post #31023 - In reply to #31006

So basically Nirvana have left us in the lurch as far as Trade Plans are concerned. No bug fixes or help forthcoming from them. We need to find our own solutions if there are any.



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Jim Dean

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 2/25/2014 10:45 AM
Post #31024 - In reply to #31023

I certainly would NOT say that "Nirvana has left us in the lurch".

Nirvana has provided a powerful tool for us, that gives us the capability to do many things.

Some of that capability comes at the cost of less-than-optimal documentation. That's unfortunate but some folks might consider that a reasonable tradeoff for the ability to get bugs fixed or new features added.

Bug fixes ARE being done on a regular basis, but sometimes the priority of them is not as high as some people wish ... patience is important.

Yes, if you want to design your own system then of course you need to "find your own solution". That's why I recommend TESTING things.

TANSTAAFL - These Ain't No Such Thing As A Free Lunch!
... there are tradeoffs ... nothing is perfect ... the secret is to make the most of what you have, wisely!

[Edited by Jim Dean on 2/25/2014 10:46 AM]

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Vinay

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/22/2016 9:52 AM
Post #37339 - In reply to #31007

Originally written by Jim Dean on 2/24/2014 7:59 PM

OT has some undeniable bugs when it comes to the Advisor vs the Voteline vs the vertical trade boundary lines in the chart vs what the Condition &/or Order type might be telling it to do. Also, how some of the Order Types do (and do not) work. I've reported various aspects of these bugs repeatedly and thus far very few if any have been addressed.

As far as Order Types go, the ONLY totally reliable ones is Market On Open (aka Bar On Open for RT), and Stop Market. Limit orders regularly act strangely ... I have not trusted real dollars to them. Stop Limit orders are totally useless - imho that option should be eliminated from the package entirely until it is completely rewritten.


Can anyone confirm whether problems w.r.t Limit Orders and Stop Limit Orders were fixed subsequently or they are still there and we should avoid using them? Thanks for any update.

[Edited by Vinay on 9/22/2016 9:59 AM]

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Jim Dean

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/22/2016 3:38 PM
Post #37340 - In reply to #37339

I have not been notified.

I'm pretty sure that if they did fix it, Barry would have let me know.
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Vinay

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/23/2016 9:14 AM
Post #37341 - In reply to #31006

Thanks Jim for clarifying. I had hoped that Nirvana might have fixed theses issues while they enhanced Trade Plans recently to support Options Trader 4 and Forex Trader.

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Barry Cohen

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/23/2016 9:56 AM
Post #37342 - In reply to #37341

There has been work done regarding limit orders, it was needed in order to get limit orders working with option spreads. Vinay, is there a specific issue you're wanting to know about or report?

Limit Orders & Stop Limit Orders should work just fine. Now maybe there's a particular issue if you use them in a certain way or in conjunction with other things, but if that's the case let me know.

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Vinay

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/23/2016 10:37 AM
Post #37343 - In reply to #31006

Thanks Barry. I have not encountered any issues with Limit Orders since I have never used them because I though they don't work properly. However it is good to know that they have been fixed now.

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Jim Dean

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/23/2016 5:38 PM
Post #37344 - In reply to #37343

Barry

I sent extensive documentation and test files to you a long time back - have all of those documented issues been resolved?
Please be specific about what was fixed.
Especially re use of virtual limit levels set in Olang. New reserved word was needed was it added? What is it?
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Vinay

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/26/2016 6:43 AM
Post #37350 - In reply to #31006

It would be very helpful if the details of what was fixed and what (if any) points which Jim mentioned in his mail are still outstanding so that we can be careful about using them. It will save us from potential unexpected and unpleasant results.



[Edited by Vinay on 9/26/2016 6:46 AM]

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Barry Cohen

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/26/2016 9:36 AM
Post #37352 - In reply to #37344

Especially re use of virtual limit levels set in Olang. New reserved word was needed was it added? What is it?


Nothing regarding limit orders with OmniLanguage has changed.
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Jim Dean

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/26/2016 12:06 PM
Post #37354 - In reply to #37352

Vinay … Translation: virtual (OLang-set) limit and stop limit orders still don't work.

[Edited by Jim Dean on 9/26/2016 1:04 PM]

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mgerber

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/26/2016 12:17 PM
Post #37355 - In reply to #37354

Thanks, Jim, for the simple English translation! Simple, to the point, and understandable.

--Mark G.
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Barry Cohen

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/26/2016 12:38 PM
Post #37356 - In reply to #37354

Saying something doesn't work implies it doesn't work at all, which simply isn't true. There are probably some enhancements that need to be made to meet Jim's OL needs, but for customers simply wanting to use Limit Orders & Stop Limit Orders in their trading, they should work just fine.

Jim, if you'd like to revisit this, please email me.

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Jim Dean

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/26/2016 1:00 PM
Post #37357 - In reply to #37356

Sorry Barry but fact is that *virtual* (i.e. OLang-set) levels do not work properly for Limit orders and Olang-set *virtual* stop+limit levels are impossible to implement using olang or oscript. Unless something has been fixed that I have not been told about.

See prior documentation.

If you believe I'm incorrect then I will repeat my request of long ago - please provide one working OLang example of each

[Edited by Jim Dean on 9/26/2016 1:03 PM]

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Barry Cohen

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Subject : RE: Entries & Exits - Market Vs. Market on Open
Posted : 9/26/2016 1:18 PM
Post #37359 - In reply to #37357

*virtual* (i.e. OLang-set) levels do not work properly for Limit orders and Olang-set *virtual* stop+limit levels are impossible to implement using olang or oscript.


This is not the only function limit orders have. The average user will not have a problem using them.
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