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Folks, I received the following comment in response to a post of mine
where I translate the ekam scalper [1].
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The second thing I noticed was the way the position is closed. I don't
know how tradestation does it, but in my experience developing an ATS,
it's alot better to let the broker deal with stop and limit orders.
It's much safer (from an automated trading standpoint) to place the
entire order as a bracket order with auto-cancellation of the other
side rather than have the trading system's code monitor whether a stop
or limit was hit and then put in the order. In my version, if I hit
patienceThreshold, I cancel the pending STP and LMT close the
position. Seems your implementation of cover-at-market, (sell|buy)-at-
(limit|stop) need to monitor a live datafeed, or be alot more
complicated when doing backtesting versus live trading.
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Is it possible to place a bracket order with auto-cancellation of the
other side in EasyLanguage?
My understanding is that this is not necessary due to the order
cancellation rules but I wanted to check.
Thanks, Joel
[1] http://tinyurl.com/628tsh
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wagerlabs.com
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