Creating a stop-limit order in ProOrder

• 02/28/2023 at 11:34 PM #210690
  JS

  That is indeed not going to work, manual and auto trading cannot work together…

  

  JS

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  03/12/2023 at 8:10 PM #211438
  JS

  Hi @jost,

  I’ve been thinking about the Stop-Limit-Order…

  Using your first example, you could work with:

  If Close >= 60 then

  Buy 1 contract at 62 Limit

  EndIf

  

  JS

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  03/12/2023 at 8:55 PM #211439
  PeterSt

  This is all quite maddening and to be honest I myself will only achieve what’s on my mind after a couple of hours trialing …

  If Close >= 60 then
  Buy 1 contract at 62 Limit
  EndIf

  That will work all right … as a Market Order … when the price is at 63 in the mean time.

  For the days without new posts in this topic (waiting for that) I had an of course vague explanation and examples, which I finally threw out yesterday (maybe I saved it). I mean, if it takes hours to get things to work myself, I better not try to explain it text. All I can say is that all can be done. The hint is to do what you see below, and look for where the triangles appear. If always on top of the body of the bar – see 2nd screenshot, then it does not work as intended. Notice that of course this 2nd screenshot is faked because else my own system would not be working, which you can see on the Limit order line not being involved. So it is something else there (a Market Order). But anyway, as soon as your triangles appear on top of the body of the candle (bottom for short) it does not work as intended.

  Sorry I don’t have a real guide for you …

   

  

  PeterSt

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  03/12/2023 at 9:08 PM #211442
  PeterSt

  This may explain the complexity better;
  Because you expect the price to drop, you can make this Limit order (always above the price for Long). So price drops indeed and the order is filled. But this is all not intuitive and relatively complex to code as a whole.

  … Because you obviously want to rise …

  

  PeterSt

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  03/12/2023 at 9:13 PM #211444
  JS

  Jost wanted to buy above 60 but with a maximum of 62 (so never above 62). When the price exceeds 60, this limit order will be placed and the price will be purchased when the price is (still) below 62…

  If the price is now above 62, this limit order will not be executed…

  

  JS

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  03/12/2023 at 9:32 PM #211446
  JS

  Buy Limit is always below the current price and not above it…

  

  JS

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  03/13/2023 at 8:11 AM #211456
  PeterSt

  In the program code I can put any type of order where I want it. Nothing goes wrong – nothing blows up (hence it won’t be so that if I place an order (of certain limit/stop type) at the wrong place of the price, I lose all my money – but beware trading around (midnight etc.) gaps).

  What jost literally asks for, you see in the first picture. That is fine, but that won’t be what he intends. But anyway it will work out to something. So in this case I will buy 3 contracts (Long) when the price reaches that level (say 60 – price currently is at 50) , and when it goes higher to 62, it will take the profit accordingly.
  But it will never do what the text from jost asks for (I probably don’t understand it).

  In the second picture I showed something to additionally confuse. That too is possible – and why not (and I do these things all the time). So that will additionally buy. Or it will initially buy, depending on where the price goes first. Notice that none of these orders are connected hence they all live independently.

  The third picture shows that it is not just stupid theories because this is Live combined with forward backtesting (at the moment of this writing this just occurred 45 minutes ago). Notice that the triangle shows quite 100% exactly where I wanted it to be (which is what the Enter Limit line shows) and that the triangles overlap each other (blue and green). And this really is a Buy Limit order – trust me.

  Although I showed manual orders to visualize what we are talking about and which orders could exist in there, I don’t think that what can be done programmatically (thus in the code) has a manual representation. This is about the when such orders can be placed hence when they will work out usefully and especially : which orders can combine in the code during the life time of one bar.

  So again – all order types can be put where we want, but it is about what will happen with them. And the sheer fact that like in this case, the order is filled in the middle of the bar (in these case in the bottom wick) tells that what we do is useful. Would that triangle be at the opening price of that bar, then it was not useful because equal to a market order.

  

  PeterSt

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  02/22/2024 at 4:01 AM #228539
  inverse

  I’m resurrecting this thread (not quite necro) because it covers bits I find interesting.

  Was this ever ‘resolved’, I guess the OP was after a ‘sweep order w/ hard limits of 2pts (from 60)’ ….. never buying @ more than 62.

  Can this be programmed as a market order? No because it’s @mkt.

  Years gone by you’d have boutique orders, where you could sweep @mkt (or stop) w/ hard limit in other ecosystems.

  With a limit, you’d be snipping (or trying to)(selling into res. etc) but it’ll remain @limit, a stop on the other hand can go mkt once executed.

  Would/could there also be a trade manager of sorts that could massage it for you. For example buy 30 DAX, fill 25, then kill it (partial fill tolerance of <=5 remaining) and go again on the reverse (exit) for either a limit, stop, mkt exit.

  IG does something like this.

  Apologies for dredging up past habits, I like what PRT can do, so digging around for options.

  Ideally an open source trade manager that can be hit via a GO button or a system. My understanding is systems are active as they go ‘live’, however conditional.

  Idea here is to ‘launch’ the system manually (initialise it) and let programmed conditions manage the exit, mainly target prices (fib / any level-ind even, so long defined) and flatten 15min before close.

  I’ve read elsewhere that what’s ‘in system generated (positions)’ must remain ‘in system’ and have no problem with that, so long as you can flatten. (Open and close in-house-ecosystem).

  So what I meant by launching was to ‘initialise’ the system so it’s live based on a ‘pre-condition’ which could be system or user-determined (manually enabling it or scripted).

   

  I came across this:

  https://www.prorealcode.com/topic/anybody-coded-an-open-trade-manager/

  Which linked or tried to link to:

  https://market.prorealcode.com/product/trade-manager-intraday-prorealtime/

  I’m not sure if it does what I ask and whether it’d be lifetime lic. or can be user-modified to further ideas. Not keen on ‘keys’ and / or telemetry possibilities.

   

   

  I hope some of this makes sense.

  Cheers,

  inv

   

   

   

  

  inverse

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  02/23/2024 at 4:00 AM #228613
  inverse

   

  
  @PeterSt do you have this option on your Interactive Acc. ?

  Or whether it’s exposed to you by another means…. and / or can hook into PRT.

  https://www.interactivebrokers.com.au/en/trading/orders/sweep-to-fill.php

  Just spit-balling creative order types.

   

   

   

   

  

  inverse

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  02/23/2024 at 1:00 PM #228640
  PeterSt

  inverse wrote:

  
  @PeterSt do you have this option on your Interactive Acc. ?

  Yes – without re-checking I have seen that. But it can not be done in PRT.
  Now I must be careful with that, because from the back of my mind something tells me that this is exchange dependent. So, choose a Future / Fxgoing over an other exchange and it may start to work ? But undoubtedly hard – up to impossible to (back)test.

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  inverse

  

  PeterSt

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  02/23/2024 at 10:22 PM #228671
  inverse

   

  Appreciate the feedback.

  I think I know where your coming from (now), in that it’s exchange specific and not across the board, a closer look at what and where they make X avail. confirms this.

   

  

  inverse

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