Customized Trading session

This topic has 11 replies, 4 voices, and was last updated 5 years ago by solar.

Viewing 12 posts - 1 through 12 (of 12 total)

05/24/2019 at 9:36 AM #99319

solar

Hi everyone,

I am new to prorealcode.

I have an strategy which trades on price levels using previous trading session’s open, high, low, close. The CFD market may trade 24hrs a day, yet i would only use price information between 0915-0100 (1 complete session)to calculate my price levels.

I wonder if there is anyway on coding that could help me automatically store the values using the concept of “previous session”and tackle the issues during weekend(price level on monday would be based on Friday’s OHLC)

solar

Participant

Topics: 13

Replies: 57

Been thanked: 2 times

05/24/2019 at 9:41 AM #99320

jebus89

U can alter the time-data in “Platform options”..

jebus89

Participant

Topics: 118

Replies: 586

Been thanked: 238 times

05/24/2019 at 10:03 AM #99324

solar

I am sorry. is the coding charts based? which means if I display 0915-0100 on the chart then my orders would only be able to execute during 0915-0100?

If so the next question are there any keywords/ functions (e.g.similar to dhigh[0]) for me to store previous 0915-0100 session’s OHLC.

Many thanks!

solar

Participant

Topics: 13

Replies: 57

Been thanked: 2 times

05/24/2019 at 10:27 AM #99330

Vonasi

Do you want this as an indicator or as part of a auto strategy?

I have moved your topic to the ProOrder forum which is for auto-trading questions. You posted in the General Trading Discussion forum which is not the right place for these sort of questions. Please try to post in the correct forum with future topics. 🙂

Vonasi

Moderator

Topics: 192

Replies: 5088

Been thanked: 1811 times

05/24/2019 at 10:34 AM #99335

solar

It is a part of the auto-trading.

I am sorry for any inconvenience caused.

solar

Participant

Topics: 13

Replies: 57

Been thanked: 2 times

05/24/2019 at 11:25 AM #99348

Vonasi

You can do something like:

starttime = 091500
endtime = 130000

if time = starttime then
op = open
lo = low
hi = high
endif

if time = endtime then 
lastop = op
lastcl = cl
lasthi = hi
lastlo = lo
cl = close
endif

if time >= starttime and time < endtime then
hi = max(hi,high)
lo = min(lo,low)
endif

starttime = 091500

endtime = 130000

if time = starttime then

op = open

lo = low

hi = high

endif

if time = endtime then

lastop = op

lastcl = cl

lasthi = hi

lastlo = lo

cl = close

endif

if time >= starttime and time < endtime then

hi = max(hi,high)

lo = min(lo,low)

endif

Not tested.

Use lastop, lastcl, lasthi and lastlo in your code to get the open, close, high and low for the previous session.

make sure the chart you use has candles that represent any time that you choose. So you need a 15 minute chart or faster to see 0915.

Vonasi

Moderator

Topics: 192

Replies: 5088

Been thanked: 1811 times

05/25/2019 at 4:10 AM #99405

solar

Thanks for your idea.

However, when a new trading day begins (i.e. 0915), lastop, lasthi, lastlo, lastcl would be replaced by new OHLC of the new trading day.

Let’s say the market run from 0915-0100 the next day, from monday to saturday, and let’s call monday 0915-tuesday 0100 as day1, …., until friday 0915 – saturday 0100 as day 5.

What I want to do is:

day2 would trade on OHLC of day1

day3 would trade on OHLC of day2

day4 would trade on OHLC of day3

day5 would trade on OHLC of day4

day1 would trade on OHLC of previous day5

in this case I need a set of functions to read OHLC of the previous “day”.

solar

Participant

Topics: 13

Replies: 57

Been thanked: 2 times

05/25/2019 at 7:21 AM #99406

Vonasi

Which is exactly what the code I wrote should do. At the endtime it stores the sessions OHLC as lastop, lastcl, lasthi, lastlo whereas op, cl, hi and lo are the current sessions OHLC.

It needs just a small modification to be certain that it avoids any Sunday data but if your start time does not exist on a Sunday chart then it will ignore them any way.

I’ve not tested it but I can’t see any reason why it would not be doing what you want.

Vonasi

Moderator

Topics: 192

Replies: 5088

Been thanked: 1811 times

05/29/2019 at 5:58 PM #99680

Vonasi

I finally had a chance to test it and there was a minor error. This code does what you asked for:

starttime = 090000
endtime = 130000

if opentime = starttime then
op = open
lo = low
hi = high
endif

if opentime = endtime then
lastop = op
lasthi = hi
lastlo = lo
lastcl = close
endif

if opentime >= starttime and opentime < endtime then
hi = max(hi,high)
lo = min(lo,low)
endif

buy at -close stop
 
graphonprice lastop as "open"
graphonprice lastcl as "close"
graphonprice lasthi as "high"
graphonprice lastlo as "low"

starttime = 090000

endtime = 130000

if opentime = starttime then

op = open

lo = low

hi = high

endif

if opentime = endtime then

lastop = op

lasthi = hi

lastlo = lo

lastcl = close

endif

if opentime >= starttime and opentime < endtime then

hi = max(hi,high)

lo = min(lo,low)

endif

buy at -close stop

graphonprice lastop as "open"

graphonprice lastcl as "close"

graphonprice lasthi as "high"

graphonprice lastlo as "low"

Remove the ‘buy at -close stop’ when you adapt it for your strategy as that code is just for testing to prove the values are correct.

1 user thanked author for this post.

solar

Vonasi

Moderator

Topics: 192

Replies: 5088

Been thanked: 1811 times

05/30/2019 at 1:16 AM #99686

solar

Thanks a lot for your effort. I will definitely try it out.

However I want to catpure the price movement (OHLC) from 915am to 1am the next day . On this regard , line 17 would not function as time could not be larger than 091500 and smaller than 010000 at the same time . Any solution to it ?

Many thanks !

solar

Participant

Topics: 13

Replies: 57

Been thanked: 2 times

05/30/2019 at 1:21 AM #99688

robertogozzi

Replace AND with OR.

1 user thanked author for this post.

solar

robertogozzi

Moderator

Topics: 69

Replies: 17142

Been thanked: 4032 times

05/31/2019 at 2:15 AM #99736

solar

It works well. Thanks a lot for your help.

solar

Participant

Topics: 13

Replies: 57

Been thanked: 2 times

Author

Posts

Viewing 12 posts - 1 through 12 (of 12 total)

Find exclusive trading pro-tools on