Custom trading hours won't work with dopen/dclose

• 07/05/2020 at 8:03 PM #138488
  mykologen

  Hi!

  I have been using GAP-strategies (SPTRD/USA500) with custom trading hours for the US market UTC+1 (14:30-21:00 + enabled the Daily data option) without any issues.

  Now I am taking the same approach for Swedish market open UTC (08:00-16:30 + enable daily data) and this won’t work as intended. The candles/price is cut off in the right way on my chart but the strategy doesn’t work properly. It will for example trade even though the open-price is not above previous close. It seems to work if I restrict the time from 10:00-16:30 but then the data is of course incorrect. Attached my settings and a trade that shouldn’t happen.

  Any idea what might be wrong?

  DEFPARAM CumulateOrders = False if date>date[1] and dopen(0)>dclose(1) then gap=1 else gap=0 endif if gap=1 then Buy 1 contract at market Endif if longonmarket and time=170000 then sell at market endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

  DEFPARAM CumulateOrders = False   if date>date[1] and dopen(0)>dclose(1) then gap=1 else gap=0 endif   if gap=1 then Buy 1 contract at market Endif   if longonmarket and time=170000 then sell at market endif

   

  

  mykologen

  Participant

  Topics: 2

  Replies: 7

  Been thanked: 0 times
  07/05/2020 at 9:20 PM #138495
  GraHal

  I haven’t digested all you say, but a couple of other members on here have made comments about Gap Strategies not working recently.

  Link below

  https://www.prorealcode.com/topic/prt-not-showing-gaps/

   

   

  

  GraHal

  Participant

  Topics: 212

  Replies: 8790

  Been thanked: 2189 times
  07/06/2020 at 9:00 PM #138592
  mykologen

  Strange… In my case I cut off the price manually, hence I create the GAPs but PRT won’t understand them. I am just confused since the same approach works for the US market. Will contact PRT.

  

  mykologen

  Participant

  Topics: 2

  Replies: 7

  Been thanked: 0 times
  07/11/2020 at 9:28 AM #138992
  mykologen

  No answer from PRT but found out that on the 5 min TF code below will work properly. However on the 1-4 min TF neither does my first code or this one work as intended, I am clueless.

  ONCE entertime = 090000 tt1 = opentime >= entertime tt2 = opentime <= entertime tradetime = tt1 and tt2 ONCE closetime = 172500 if opentime >= closetime and opentime <= closetime then lastcl = close endif If NOT LongOnMarket and tradetime and close > lastcl then Buy 1 contract at market endif if longonmarket and time=closetime then sell at market endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

  ONCE entertime = 090000 tt1 = opentime >= entertime tt2 = opentime <= entertime tradetime = tt1 and tt2   ONCE closetime = 172500 if opentime >= closetime and opentime <= closetime then lastcl = close endif   If NOT LongOnMarket and tradetime and close > lastcl then Buy 1 contract at market endif   if longonmarket and time=closetime then sell at market endif

   

  

  mykologen

  Participant

  Topics: 2

  Replies: 7

  Been thanked: 0 times
  07/11/2020 at 10:52 AM #138996
  mykologen

  Seems to work now, it was somehow bugged, had to switch from 1 min TF to 5 min and then back again to reload the candles/data, then it suddenly started to work on the 1 min TF as intended…

   

   

  

  mykologen

  Participant

  Topics: 2

  Replies: 7

  Been thanked: 0 times
• Author
  Posts