global variables ?

[smartidea]

I'm looking to implement an EFS that could deal with pairs trading... here's what I have in mind:

- 1 advanced chart with ratio (stock 1 / stock 2)
- plot 2 moving average (10 days and 50 days) using this ratio value to use as a signal for entry and exit point of the trade
- whenever entry point is received, do a trade (eg. long stock 1 and short stock 2)

previously I was thinking that I could do this by using only 1 advanced chart, however someone point me out that I need to use additional two charts (for stock 1 and stock 2) and use global variable as a trigger for this additional charts.

could anyone give me like an example or guide on how I could achieve this ? thanks in advanced

cheers,
Marlon

[Doji3333]

Multi Stage EFS

Marlon,

Before I can assist you further, I need to ask you some questions...

Who are you using to trade?? IB or someone else??

The reason I ask is I need to know "how" to trade the shares for you. There are a number of solutions, but some are easier than others.

The setup is simple though....

If you are using Dynaorder (and know the pairs you want to trade), you can do it all from one file...(EFS).

If you are using something else, then the setup may be a bit more complex...

I can set it up for you using esignal paper trader module - so you can see how it works, then move onto actual trading later.

let me know what you want to do .

B

[smartidea]

Dynaorder

Hi Brad...

i'm currently testing and planning to use DynaOrder since it has the paper trading features which will come in handy for testing the strategy.

could you give more info please ? i tried contacting eSignal support however they told me that they would not support any questions related to EFS anymore.

thanks in advanced

[Foz]

Re: Dynaorder

Originally posted by smartidea
i tried contacting eSignal support however they told me that they would not support any questions related to EFS anymore.

What?? eSignal isn't supporting EFS anymore? Is this something new?

[eSignal_JasonK]

Hello Foz,

There must have been a misunderstanding about EFS support. We do support EFS through these forums. We do not have one-on-one phone support through the call center.

[smartidea]

Re: Re: Dynaorder

Originally posted by Foz
What?? eSignal isn't supporting EFS anymore? Is this something new?

sorry for the misunderstanding...

what i meant was eSignal's support would not answer any EFS-related questions anymore.

so sorry for my english.. my bad..

[Doji3333]

Example code..

I use a function called TradeMarket with Dynaorder. This allows me to do whatever I want within this function for my trading system. So, I'll illustrate an example using my code...

This code should give you an idea of how to accomplish this. With DO, you just issue a BUYMARKET, then SELLMARKET order for two symbols (see near the bottom of the code - within the trademarket() function). This way, you are assuming entry of the orders, there is a more complicated way to accomplish this, but for now - we'll keep it simple..

B

/*********************************************************
Matheny Enterprises © June 2004                          
**********************************************************/
var dots5 = new DLL ("dots5.dll");
var AltSymbol = "MSFT"
var ExpText = "";

var DefEntryContracts = 200;  //  The number of contracts to trade
var LossLimit = 1;  //  the number of losses allowed in a 24 hour period
var StopLevel = 2.0; //  your default stop offset (from the entry price)
var BELevel = 4.0;  //  Your default Beark-even level (for stops)
var PTLevel1 = 6.0;  //  Your default Profit Target

// system variables - DO NOT CHANGE!
var StrategyisInTrade = false;
var StrategyisShort = false;
var StrategyisLong = false;
var TradePending = false;
var EntryOrderID = 0;
var EntryOrderID2 = 0;
var StopOrderID = 0;
var PTOrderID = 0;
var CloseOrderID = 0;
var OpenContracts = 0;
//---------------------------------
var nLastRawTime = 0;
var BLBarOffset = 0;
var nLastvDay = 0;
var LossCount = 0;
var TradeCount = 0;

var nEntryPrice;
var nStopPrice;
  var vHour;
  var vMin;
  var vSec;
  var vDay;
  var vMonth;


function preMain() {
    setPriceStudy(true);
    setStudyTitle("Sample System RTDO");
    doInit();
}

function main() {
   
  var vTime = new Date();
//---------------------------------------------------
//  Get Time Variables 
  vTime = getValue("Time", 0);
  vHour = vTime.getHours();
  vMin = vTime.getMinutes();
  vSec = vTime.getSeconds();
  vDay = vTime.getDate();
  vMonth = vTime.getMonth() +1;

 if (getValue("rawtime", 0) != nLastRawTime) {
     nLastRawTime = getValue("rawtime", 0);
     BLBarOffset += 1;
     if (vDay != nLastvDay) {
       nLastvDay = vDay;
       LossCount = 0;
       TradeCount = 0;
     }
 }


if (getCurrentBarIndex() == 0) {
//  Entry Triggers 
 if ((LossCount < LossLimit) && (TradeCount >= 0)) {
  if ((SELL ENTRY TRIGGER) && (!StrategyisShort)) {
   drawShapeRelative(0, high()+0.25, Shape.DOWNARROW, null, Color.red, Shape.ONTOP, BLBarOffset+"3SELL");
   TradeMarket(2);
  }
  if ((BUY ENTRY TRIGGER) ) && (!StrategyisLong)) {
   drawShapeRelative(0, low()-0.25, Shape.UPARROW, null, Color.green, Shape.ONTOP, BLBarOffset+"3BUY");
   TradeMarket(1);
  }
 } // end if losscount < losslimit
} // end if get currentbarindex == 0

    return;
}




//  ------------  DO Functions.....
function doInit()
{
    dots5.addFunction ("IsHostRunning" , DLL.SHORT , DLL.STDCALL , "ISHOSTRUNNING");
    dots5.addFunction ("IsHostConnected" , DLL.SHORT , DLL.STDCALL , "ISHOSTCONNECTED");
    dots5.addFunction ("BuyMarket", DLL.INT, DLL.STDCALL, "BUYMARKET", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING, DLL.SHORT);
    dots5.addFunction ("SellMarket", DLL.INT, DLL.STDCALL, "SELLMARKET", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING, DLL.SHORT);
    dots5.addFunction ("BuyLimit", DLL.INT, DLL.STDCALL, "BUYLIMIT", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING, DLL.SHORT, DLL.FLOAT);
    dots5.addFunction ("SellLimit", DLL.INT, DLL.STDCALL, "SELLLIMIT", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING, DLL.SHORT, DLL.FLOAT);
    dots5.addFunction ("BuyStop", DLL.INT, DLL.STDCALL, "BUYSTOP", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING, DLL.SHORT, DLL.FLOAT);
    dots5.addFunction ("SellStop", DLL.INT, DLL.STDCALL, "SELLSTOP", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING, DLL.SHORT, DLL.FLOAT);
    dots5.addFunction ("BuyStopLimit", DLL.INT, DLL.STDCALL, "BUYSTOPLIMIT", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING, DLL.SHORT, DLL.FLOAT, DLL.FLOAT);
    dots5.addFunction ("SellStopLimit", DLL.INT, DLL.STDCALL, "SELLSTOPLIMIT", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING, DLL.SHORT, DLL.FLOAT, DLL.FLOAT);
    dots5.addFunction ("BuyTrailStop", DLL.INT, DLL.STDCALL, "BUYTRAILSTOP", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING, DLL.SHORT, DLL.FLOAT);
    dots5.addFunction ("SellTrailStop", DLL.INT, DLL.STDCALL, "SELLTRAILSTOP", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING, DLL.SHORT, DLL.FLOAT);
    dots5.addFunction ("CancelOrder", DLL.INT, DLL.STDCALL, "CANCELORDER", DLL.INT);
    dots5.addFunction ("StartOCAGroup", DLL.INT, DLL.STDCALL, "STARTOCAGROUP", DLL.STRING);
    dots5.addFunction ("StopOCAGroup", DLL.INT, DLL.STDCALL, "STOPOCAGROUP");
    dots5.addFunction ("GetOrderStatusN", DLL.SHORT, DLL.STDCALL, "GETORDERSTATUSN", DLL.INT);
    dots5.addFunction ("GetOrderPrice", DLL.FLOAT, DLL.STDCALL, "GETORDERPRICE", DLL.INT);
    dots5.addFunction ("GetOrderFilled", DLL.INT, DLL.STDCALL, "GETORDERFILLED", DLL.INT);
    dots5.addFunction ("GetOrderRemaining", DLL.INT, DLL.STDCALL, "GETORDERREMAINING", DLL.INT);
    dots5.addFunction ("SetEmailDefaults",DLL.INT,DLL.STDCALL,"SETEMAILDEFAULTS", DLL.STRING, DLL.STRING,DLL.STRING, DLL.STRING);
    dots5.addFunction ("EmailAlert",DLL.INT,DLL.STDCALL,"EMAILALERT",DLL.STRING,DLL.STRING,DLL.STRING);
    dots5.addFunction ("PopupAlert", DLL.INT, DLL.STDCALL, "POPUPALERT", DLL.STRING, DLL.STRING);
    dots5.addFunction ("SoundAlert",DLL.INT,DLL.STDCALL,"SOUNDALERT",DLL.STRING);
    dots5.addFunction ("CancelAll", DLL.INT, DLL.STDCALL, "CANCELALL");
    dots5.addFunction ("CancelAllFor", DLL.INT, DLL.STDCALL, "CANCELALLFOR", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING);
    dots5.addFunction ("GetMarketPosition", DLL.INT, DLL.STDCALL, "GETMARKETPOSITION", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING);
    dots5.addFunction ("ClosePositionFor", DLL.INT, DLL.STDCALL, "CLOSEPOSITIONFOR", DLL.STRING, DLL.STRING, DLL.STRING, DLL.STRING, DLL.FLOAT, DLL.STRING, DLL.STRING);
    dots5.addFunction ("GetAccountCashBalance", DLL.FLOAT, DLL.STDCALL, "GETACCOUNTCASHBALANCE");
    dots5.addFunction ("GetAccountUpdateTime", DLL.SHORT, DLL.STDCALL, "GETACCOUNTUPDATETIME");
    dots5.addFunction ("GetFirstOpenOrder",DLL.INT, DLL.STDCALL,"GETFIRSTOPENORDER");
    dots5.addFunction ("GetNextOpenOrder",DLL.INT, DLL.STDCALL,"GETNEXTOPENORDER",DLL.INT);
    dots5.addFunction ("GetAccountItem", DLL.FLOAT, DLL.STDCALL, "GETACCOUNTITEM", DLL.SHORT);
    dots5.addFunction ("SetTIF", DLL.INT, DLL.STDCALL, "SETTIF", DLL.STRING);
    dots5.addFunction("SetSharesAllocation",DLL.INT,DLL.STDCALL, "SETSHARESALLOCATION",DLL.STRING);

}


function TradeMarket(TradeType) {
 var host=dots5.call("IsHostRunning");
// var conn=dots5.call("IsHostConnected");
var conn = 1;
// debugPrintln("Host :"+host+"Conn :"+conn);
 if ((host == 1) && (conn == 1)) {
// debugPrintln("Host/Conn/vRT Connected!");

//  format symbol...
  var tsymbol = getSymbol();
   PosCount = tsymbol.split(" ");
    if (PosCount[0]) { tsymbol = PosCount[0]; }
     TAction+=1;
  var tOCAlabel = ""+TAction;
   dots5.call("SetTIF", "GTC");

//-------------------------------------------------------------------  
//--------------      New Buy Order
//-------------------------------------------------------------------  
  if (TradeType == 1) {
  //  New Buy Order
 debugPrintln("Executing BUY MARKET Order");
   if (StrategyisShort) {
     dots5.call("CancelOrder",StopOrderID);
     dots5.call("CancelOrder",PTOrderID);
    EntryOrderID=dots5.call("BuyMarket",tsymbol,"STK",ExpText,"",0,"SMART","",(DefEntryContracts+OpenContracts));

    EntryOrderID2=dots5.call("SellMarket",AltSymbol ,"STK",ExpText,"",0,"SMART","",(DefEntryContracts+OpenContracts));

   } else {
    EntryOrderID=dots5.call("BuyMarket",tsymbol,"FUT",ExpText,"",0,"SMART","",DefEntryContracts);

    EntryOrderID2=dots5.call("SellMarket",AltSymbol ,"STK",ExpText,"",0,"SMART","",DefEntryContracts);

   }
   
    StrategyisInTrade = true;
    StrategyisLong = true;
    StrategyisShort = false;
    OpenContracts = DefEntryContracts;
    TradeCount += 1;
  }



//-------------------------------------------------------------------  
//--------------      New SELL Order
//-------------------------------------------------------------------  
  if (TradeType == 2) {
  //  New Sell Order
 debugPrintln("Executing SELL MARKET Order");
   if (StrategyisLong) {
     dots5.call("CancelOrder",StopOrderID);
     dots5.call("CancelOrder",PTOrderID);
    EntryOrderID=dots5.call("SellMarket",tsymbol,"STK",ExpText,"",0,"SMART","",(DefEntryContracts+OpenContracts));

    EntryOrderID2=dots5.call("BuyMarket",AltSymbol ,"STK",ExpText,"",0,"SMART","",(DefEntryContracts+OpenContracts));

   } else {
    EntryOrderID=dots5.call("SellMarket",tsymbol,"FUT",ExpText,"",0,"SMART","",DefEntryContracts);

    EntryOrderID2=dots5.call("BuyMarket",AltSymbol ,"STK",ExpText,"",0,"SMART","",DefEntryContracts);

   }
   
    StrategyisInTrade = true;
    StrategyisLong = false;
    StrategyisShort = true;
    OpenContracts = DefEntryContracts;
    TradeCount += 1;
  }



//-------------------------------------------------------------------  
//--------------      Close all Order
//-------------------------------------------------------------------  
  if (TradeType == 12) {  
     dots5.call("CancelOrder",StopOrderID);
     dots5.call("CancelOrder",PTOrderID);

   
   if (StrategyisLong) {
    CloseOrderID=dots5.call("SellMarket",tsymbol,"STK",ExpText,"",0,"SMART","",OpenContracts);
   }
   if (StrategyisShort) {
    CloseOrderID=dots5.call("BuyMarket",tsymbol,"STK",ExpText,"",0,"SMART","",OpenContracts);
   }
   debugPrintln("Executing Close - GO FLAT Order");
    StrategyisInTrade = false;
    StrategyisLong = false;
    StrategyisShort = false;
    OpenContracts = 0;
  }

//-------------------------------------------------------------------  
//--------------      EOD Close all Order
//-------------------------------------------------------------------  
  if (TradeType == 13) {
   debugPrintln("Executing Close - GO FLAT Order");

   if (StrategyisLong) {
    CloseOrderID=dots5.call("SellMarket",tsymbol,"STK",ExpText,"",0,"SMART","",OpenContracts);
   }
   if (StrategyisShort) {
    CloseOrderID=dots5.call("BuyMarket",tsymbol,"STK",ExpText,"",0,"SMART","",OpenContracts);
   }

  //  Close All Open Positions
    dots5.call("CancelOrder",PTOrderID);
    dots5.call("CancelOrder",StopOrderID);

    StrategyisInTrade = false;
    StrategyisLong = false;
    StrategyisShort = false;
    OpenContracts = 0;
  }



 } //  End if Host & Conn are true
}