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I've found that if you want your stop executed at the exact price,
the price scale and minimum movement must be set correctly. For
example, for stocks, I use a price scale of 1/100 and min
movement of 1. The defaults always caused my stops to be off by
1/8
But unless you run on tick data or on 1-minute data with tick data
in your global server and tick data strategy resolution set, it seems
you'll get a TS "best guess" at where your trade should have been
executed based on where the open is in relation to the Low and
High.
Cash
Date sent: Tue, 4 Sep 2001 16:01:45 -0600
From: "Gary Fritz" <fritz@xxxxxxxx>
To: <mike@xxxxxxxxxxxxxxxxx>
Copies to: Omega - List <omega-list@xxxxxxxxxx>
Subject: Re: Problem of executing orders on next bar
> > I know there is a way around this problem...
> >
> > TradeStation seems to allow you only to execute orders at the next
> > bar or the current bar on close? I would like to execute a market
> > order on the very tick that my strategy says that it is a good
> > trade.
>
> You are correct: your system code runs ONLY when the bar closes --
> NOT at any time while the bar is forming. The only way to execute
> strategy logic on a specific tick is to run the *system* on every
> tick, and the only way to do that is to run the system on a 1-tick
> chart.
>
> If, in advance, you know a *price* where you want to buy/sell/exit,
> you can place a *price* stop on bar N that takes effect on bar N+1.
> That order will be executed on the exact tick that hits your
> specified price.
>
> But if you need to examine every tick -- or every 1min bar, or
> whatever -- to decide if your strategy says it's a good trade, then
> you have to run your system on bars of that size.
>
> Gary
>
"Buy Low, Sell High"
(If this statment is used for financial gain, I am entitled to 10% of all profits. ;) )
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