Has the behavior changed for the Strategy Object Stop Order type in 10.4

[demarcog]

Are there changes in 10.4 when using the Strategy Object and methods for STOP orders?

It appears that when a STOP type order for entry is used to generate a long or short position that if the price is outside the range for that bar the order is not entered?

Thanks,

Glen

[ACM]

Re: Has the behavior changed for the Strategy Object Stop Order type in 10.4

Glen
Aside from the setStop() method [which has been fixed as per the readme file] I have not noticed a difference in the behavior of the Strategy Object in version 10.4.
If you are instead seeing a difference then you may want to post the code you are using and provide the necessary details so that someone at eSignal can try to replicate it
Alex

Originally posted by demarcog
Are there changes in 10.4 when using the Strategy Object and methods for STOP orders?

It appears that when a STOP type order for entry is used to generate a long or short position that if the price is outside the range for that bar the order is not entered?

Thanks,

Glen

[demarcog]

Alex,

Thanks for the response. The EFS is quite long and contains several libraries so I need some time to modify it so it can be easily reproduced.

The strategy looks for a simple indicator condition based on the last completed bar (-1) and then the trade is triggered when the price exceeds the hiigh for long or low for short of the last price bar.

A stop entry order type is used for entry at a price of 1 tick above the high of the (-1) setup for a long trade or 1 tick below the low of the (-1) setup bar for a short trade.

In the past regardless of the range of the entry bar for a stop order, the fill price was whatever price was passed to the Strategy Method in the Stop/Limit positional parameter.

Coding this properly was a little tricky for me anyway. If the strategy was no coded correctly the profits would be very much be overinflated as the entry price passed to the Strategy.doLong() or doShort() methods was usually more favorable for some reason then the actual "real" price that would have been filled.

In this case with 10.4 it appeared that when either the Limit or Market order type was passed a Long/Short trade order and position was always initiated. But when simply changing the order type to STOP the number of trades reported was significantly different.

After reading the README.TXT change regarding the setStop() method I though perhaps the same validation logic was incorporated into the Strategy.doLong() and Strategy.doShort() methods. Not necessarily a "bad thing" IMHO but I was wondering if those methods were changed?


Thanks very much for your assistance.

Glen

[ACM]

Glen

After reading the README.TXT change regarding the setStop() method I though perhaps the same validation logic was incorporated into the Strategy.doLong() and Strategy.doShort() methods. Not necessarily a "bad thing" IMHO but I was wondering if those methods were changed?

Not that I am aware of
Alex

Originally posted by demarcog
Alex,

Thanks for the response. The EFS is quite long and contains several libraries so I need some time to modify it so it can be easily reproduced.

The strategy looks for a simple indicator condition based on the last completed bar (-1) and then the trade is triggered when the price exceeds the hiigh for long or low for short of the last price bar.

A stop entry order type is used for entry at a price of 1 tick above the high of the (-1) setup for a long trade or 1 tick below the low of the (-1) setup bar for a short trade.

In the past regardless of the range of the entry bar for a stop order, the fill price was whatever price was passed to the Strategy Method in the Stop/Limit positional parameter.

Coding this properly was a little tricky for me anyway. If the strategy was no coded correctly the profits would be very much be overinflated as the entry price passed to the Strategy.doLong() or doShort() methods was usually more favorable for some reason then the actual "real" price that would have been filled.

In this case with 10.4 it appeared that when either the Limit or Market order type was passed a Long/Short trade order and position was always initiated. But when simply changing the order type to STOP the number of trades reported was significantly different.

After reading the README.TXT change regarding the setStop() method I though perhaps the same validation logic was incorporated into the Strategy.doLong() and Strategy.doShort() methods. Not necessarily a "bad thing" IMHO but I was wondering if those methods were changed?


Thanks very much for your assistance.

Glen