Jim Dean Sage     Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA  User Profile | BarryC/RyanO/ThadD - this one's for you ... What I'm (reasonably) sure of: Using EOD 20-min delay bars, if I write a Stop routine that uses Signal=ExitSignal (not ExitLevel), and if the Order type is "Market", and if I set up OPilot to download & recalc at say 3:50pmEST (using ~3:30pm delayed data), then the Stop logic will treat that bar (in its 3:30pm OHLC state), for Exit purposes, as a complete bar and will fire the Market-Order exit based on the calc that uses the bar as of ~3:30pm. Here's what I need assurance or correction about ... Same strategy, but using "realtime" DAILY bars. RT does not permit a "BOC" order (for complicated reasons, I cannot use BOO). I want to set up the TradePlan & OPilot so that in RT, it acts similarly to the EOD example I gave above. Question #1: please verify or correct how I propose to do it with RT daily: 1. Since no "download" is involved, I can't set OPilot to trigger a set time of day to process exit calc's 2. I can modify my OLang Stop condition on the TradePlan order, to ignore any exit signals until after 3:30, using BeforeSessionClose(0,30). ... or w/non-delayed feed I could finetune it to maybe 3:50pm "real" time. 3. If the exit condition logic fires Signal=Exitsignal using the full OHLC bar-so-far-up-to-3:30pm that day, then OPilot will send it immediately to the broker. Question #2: ignoring minor differences in the RT feed service and the EOD service, so that the 3:30 RT "close" is presumably similar to the 3:50 EOD "close", would you expect the Exit Signals to fire on the same bar, if the whole thing were run in parallel (EOD vs RT as described) for a month or so? Note: I realize that the broker will get the orders (EOD vs RT) at different times, so the exit price and the P/L on the account would differ somewhat ... but that's not my specific concern here. Question #3: if I set up a "timer method" using OLang and my system clock (rather than BeforeSessionClose), so that it waits till the last five minutes of each 30min bar, will it work essentially the same way? (I did do this a few years ago but I'm not sure if Hans has changed how things work) Question #4: when using the EOD Market Order method listed above, will backtesting analysis voteline-Advisor show exits at the Close of the bar, for the same bar-date (ie NOT at the open or some other price of the following bar). Question #5: If I use the same EOD method, but use a MOC order type instead of Market, will it fire on the same bar but be filled at a different price? Question #6 (IMPORTANT): will the proposed *RT* method work any DIFFERENTLY for Forex or Futures? I realize that Futures have different exchange times, so consider my example modified accordingly. Forex OLang code would specify whatever (system) time I wanted, based on which markets I am focusing on. Question #7 (pretty important): even tho I've not discussed entries here, I'd like to know if the way that "Signal" bars precede "Entry" bars for stocks works the same way, logically, for Forex - in backtesting as well as at the HRE. It's my understanding that the logic is the same, but I've not tested it exhaustively with Forex. Please note any differences (other than of course the specific "exchange time" differences. THANK YOU VERY MUCH! [Edited by Jim Dean on 9/26/2014 9:21 AM] | |
