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Dimitris,
In fact all you have to do is to place one buy stop order just after trading starts.
Then you can turn off the monitor and go for a walk. You don't need intraday
feed for this and you don't need to watch the market.
All work is done by your broker.
For more reference see:
http://www.interactivebrokers.com/index.html?html/tws/stop_orders.html~top.body
http://www.interactivebrokers.com/index.html?html/tws/stop_limit.html~top.body
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, February 18, 2003 8:34 AM
Subject: [amibroker] Re: BuyPrice
> Tomasz,
> thank you for the extended explanation.
> You just described an intraday technique. It is a matter of
> definition.
> For me, any action within the session is intraday and not EOD
> trading.
> You need RT, you need to be there, no matter how long, you need to
> receive prices, make your calculations, talk to your broker, within
> the session. It is so easy to loose 5 or 10 min just after the Open.
> We have seen many bearish days the last 3 years and the prices, all
> day long, were lower than the first 5 min.
> I have no experience of this buystop technique. It must be quite
> profitable for the user [if it is to buy the dinner also...].
> Back to my RSIA now...
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
> wrote:
> > Dimitris,
> >
> > You are wrong. See the blue comments below.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: Dimitris Tsokakis
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Monday, February 17, 2003 7:36 PM
> > Subject: [amibroker] BuyPrice
> >
> >
> > Tomasz,
> > Here is an example to clear my point :
> > In AA we have
> >
> > Stoplevel = Open + 0.6 * Ref( H - L, -1 );
> > Buy = High >= StopLevel;
> > BuyPrice = StopLevel;
> > Sell=Ref(Buy,-3);// for example
> >
> > and in IB we have
> >
> > Stoplevel = Open + 0.6 * Ref( H - L, -1 );
> > Buy = High >= StopLevel;
> > BuyPrice = StopLevel;
> > Sell=Ref(Buy,-3);
> > Plot(C,"C",1+6*Buy,64);
> > Plot(STOPLEVEL,"STOPLEVEL",4,1);
> >
> > On Sept29, point X, we have the red line STOPLEVEL=11.58,
> H=11.65, consequently High>=StopLevel and this is a Buy signal.
> > Since we use EOD, we know the Buy signal AFTER the end of the
> session.
> > This is NOT true. Backtesting uses EOD data, but you can place
> buy order during the session without knowing
> > what the final High will be. You just have to understand the way
> buy stop orders are placed.
> > BEFORE trading hours start on Sept 29 we know the H-L range of
> YESTERDAY, right ?
> > Now trading starts - we learn what the OPEN price is, OK ?
> > Now we can call the broker (or place the order by internet) : we
> place BUY STOP order at ( TODAYS OPEN + 0.6 of YESTERDAY RANGE ).
> > and now we can forget it... we can go for a good dinner or have a
> good time with friends.
> > Now the trading is OVER for today. We read the EOD records for
> Today.
> > And now we find out that the High of today was HIGHER than our
> BUY STOP level.
> > Our broker automatically fulfilled our order at BUY STOP level.
> > We didn't need to know what the final High is. It is just enough
> to know
> > that final High was higher than our stop level so our order got
> fulfilled sometime during
> > trading hours (it does not matter when - only the limit price
> matters).
> >
> > Now. ... if we backtesting such thing - we don't really need
> intraday quotes. It is enough to
> > know that High was above our stop limit that was based only on
> YESTERDAY data and todays OPEN price.
> > The backtester takes buystop limit as the trade entry price and
> everything is OK.
> > We don't look into the future and this is perfectly tradeable.
> >
> > (if you wonder what happens when prices do not move above buystop
> limit during the day
> > - it is simple : our broker just does not fulfill the order -
> there is no trade)
> >
> >
> > We give to our broker the order Buy at 11.58 for tomorrow, the
> Sept30.
> > But, it is impossible, since the highest Sept30 is 11.08.So, the
> order will not be executed.
> > On the other side, in the AA we see a buy arrow on Sept29 and [in
> actual trades mode] a buy arrow on Sept30.
> > The same for Aug6, 2002, point Y
> > STOPLEVEL=12.06, H=12.62
> > It is a Buy, with BuyPrice 12.06.
> > But, the next bar range was [12.52,13.45]. What is the actual
> price we buy on Aug7 ?
> > In general, a buyprice given in advance may not happen at all the
> next trading day, no matter if it appears in AA results.
> > Here is the conflict, AA says we have an impossible trade for
> tomorrow.
> > Do I still miss something ?
> > Dimitris Tsokakis
> >
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