How-to-code-intraday-limit-order

2021-03-13T01:32:16Z - 2021-03-13T01:32:16Z ago

The following code is testable. According to discuss, the position is not created during intraday. How to code intraday limit order ?

CODE:
public override void Execute(BarHistory bars, int idx)
        {
         int index = idx;
         Position foundPosition0 = FindOpenPosition(0);
         if (foundPosition0 == null)
         {
            PlaceTrade(bars, TransactionType.Buy, OrderType.Limit, bars.Close[idx]*0.99, 0);
            
         }
         else
         {
            ClosePosition(foundPosition0, OrderType.Limit, foundPosition0.EntryPrice * 0.97);            
         }
        }

#WealthLab7

1,210

Solved

3 Replies

Bookmark

Notify

Sort

Glitch8

( 10.62% )

2021-03-13T01:44:37Z - 2021-03-13T01:44:37Z ago

A limit order, by nature, often executes intraday. WL7 will simulate this, and you will see the little circle in the fill marker appear in the middle of the bar, at precisely the intraday fill price. If prices open up below the limit price, the order will get filled at market open, just like in real trading.

gregChen8

2021-03-13T06:00:13Z - 2021-03-13T06:00:13Z ago

Thanks Glitch.

Above code is WL7 sample code and works for daily bar.
Question:
1) if 5 min bar is used, is above code still corrected?

2) If not, can we use _transaction.IsActive, instead of checking position count, to create a single entry strategy? Looks like _transaction do not have an EntryBar property? Can someone create a sample code?

Thanks a lot.

Cone8

( 4.98% )

2021-03-17T11:07:36Z - 2021-03-17T11:07:36Z ago

Question:
1) Sure. Strategy code always operate on the time scale of the data you load in the Strategy Settings.

2)Use the template code that comes with WL7. if (!HasOpenPosition ... ) does the trick for a single entry strategy.

CODE:
        //execute the strategy rules here, this is executed once for each bar in the backtest history
        public override void Execute(BarHistory bars, int idx)
        {
            if (!HasOpenPosition(bars, PositionType.Long))
            {
                //code your buy conditions here
            }
            else
            {
                //code your sell conditions here
            }
        }

Best Answer

Bookmark

Notify

Sort