Is Strategy function work like OCA Group and what is the live time of order ?

[eherbelot]

hi,

1) Is Strategy function work like OCA Group on a bar ?

2) if for exemple, Im not fill, should i place again the order for the next bar or ?

as Order on next bar are cancelled, or will stay alive until ?

thanks,
regards,

[Doji3333]

Strategy Functions..

For "Strategy" (Backtesting) functions, an order is valid for THISBAR or NEXTBAR (depending on when parameter you select).

If you place a MARKET order for NEXTBAR - it will always fill the order.

If you place a LIMIT order to THISBAR, then you should check the price action of the bar to determine if the order was allowed to be filled.

I assume, you could check Strategy.isLong() or Strategy.isShort() to determine if your order was placed. But I always check the price action of the bar I'm trying to enter on to determine if my order is able to be filled. For example..

LongEntryPrice = low(-3)-0.50;

if ((low() < LongEntryPrice) && (!Strategy.isLong())) {
Strategy.doLong("Long Limit Order", Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, LongEntryPrice);
}

[eherbelot]

Is Strategy function work like OCA Group and what is the live time of order ?

hi,

I want to know, if Strategy function for back testing work like OCA Group ?
As if i place a buy and a sell order, with strategy.STOP and strategy.NEXTBAR, then if one is FILLED, is the other pending order automaticly cancelled, or ?

thanks,
regards,

[Doji3333]

No...

The Stragegy functions work like this...

If you place a BUY order for NEXTBAR, then that order is only valid on the next bar (In backtest mode)..

If you place a BUY MARKET order for NEXTBAR, then it will automatically FILL the order at the OPEN PRICE of the next bar.

If you place a BUY LIMIT order for NEXTBAR, then the order will only FILL if the next bar trades in a range that will allow to FILL this order. This is why I normally track the RANGE of any subsequent bar to determine if we can get filled or not.

For example, if I wanted to place a BUY LIMIT order at $35 and the stock was trading at $36 - there is not chance that I can get filled. So, I would record the projected trade direction and price, then track the market price till I GOT FILLED or A NEW TRIGGER FORMED (that may change the entry status). Like this..

//  Establish Entry Trigger Patterns and conditions.
if ((buy_trigger) && (!Strategy.isLong())) {
  TradeDirection = 1; //  bullish
  TradeEntryPrice = close();  //  lets assume $35.00
}

if ((sell_trigger) && (!Strategy.isShort())) {
  TradeDirection = -1; //  bearish
  TradeEntryPrice = close();  //  lets assume $33.00
}

//  Test for Established Entry Trigger Orders to be filled.
 if (TradeDirection != 0) {
   if ((TradeDirection > 0) && ((low() <= TradeEntryPrice))) {  // bullish trigger
     if (open() <= TradeEntryPrice) { // possible GAP below entry price
       Strategy.doLong("Le Open", Strategy.MARKET, Strategy.THISBAR);
     } else { // Assume entry at limit price
       Strategy.doLong("Le Lmt", Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, TradeEntryPrice);
     }
    TradeDirection = 0; //  Neutral
    TradeEntryPrice = null;  //  nothing
   }

   if ((TradeDirection < 0) && ((high() >= TradeEntryPrice))) {  // bullish trigger
     if (open() >= TradeEntryPrice) { // possible GAP above entry price
       Strategy.doShort("Se Open", Strategy.MARKET, Strategy.THISBAR);
     } else { // Assume entry at limit price
       Strategy.doShort("Se Lmt", Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, TradeEntryPrice);
     }
    TradeDirection = 0; //  Neutral
    TradeEntryPrice = null;  //  nothing
   }

 } 

Hope this helps. The bottom line is I've always found it easier to CODE my system to track everything than assume something is going to happen the want I want it to.