[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

next bar info... (again)



PureBytes Links

Trading Reference Links

Hello All.

I want to prevent a tick-data based strategy from taking trades on ticks
which are unlikely to be tradable.  I can get a start on this by putting
into the strategy something like:

AvgChng=average(absvalue(close-close[1]),50);
goodpx=true;
if (close-close[1])>3*AvgChng and (close-close next bar)>3*AvgChng then
goodpx=false;
if (close-close[1])<-3*AvgChng and (close-close next bar)<-3*AvgChng then
goodpx=false;
if goodpx then begin
	...strategy here
end;

That way, ticks that are significantly above or below the surrounding ticks
won't be traded -- which is fine by me, as I probably couldn't get executed
anyway.

My question is this:  Is there a way of doing something similar in an
indicator rather than a strategy?  My TS6 EasyLanguage editor tells me "Next
bar's prices can only be used in a Strategy".  Is there a workaround within
EL, or must I use a dll?

Thanks in advance for any help....

	Alex