multiple events on a single bar – multitimeframe?

• 10/03/2018 at 11:11 AM #81836
  aland

  Hi there

  I wrote a simple code that takes the high/low of the market at close time and sets a buy/sell orders.

  The buy/sell orders should only be called once per day.

  I used an hourly time frame but I see that sometimes the orders are called more than once a day. It happens when the order was triggered and successful on the same bar.

  So on the next bar there was no time to set a flag to state that the order was already ONMARKET to prevent it from going in again.

  If I move the time frame to 1 second or even 1 minute this problem will probably not occur or occur less often but then I would not have access to enough historical data.

  I am attaching this simple code snippet.

  Is this a multiframe issue? is there any simple solution for this?

  Any advice would be welcomed

  Thanks in advance

  DEFPARAM CumulateOrders = false DEFPARAM FLATBefore = 220000 DEFPARAM FLATAfter = 090000 ONCE EndOfMarketTime = 220000 ONCE CutOffTime = 09000 ONCE WasInMarketFlag=0 ONCE StopLoss=50 ONCE StopLimit=50 ONCE StakeSize=10 ONCE EntryBuffer=10 ONCE LongTriggered = 0 ONCE ShortTriggered = 0 ONCE State=100 //GRAPH MyBuyprice //GRAPH MySellprice GRAPH State //for every bar IF ONMARKET THEN WasInMarketFlag=1 ENDIF //if time is EndOfMarketTime - reset all states for new day and set buy/sell IF time = EndOfMarketTime THEN MyBuyprice = DHIGH(0)+EntryBuffer MySellprice= DLOW(0)-EntryBuffer StopLoss = MyBuyprice - MySellprice State=1 WasInMarketFlag=0 ENDIF //if between EndOfMarketTime && CutOffTime -> if WasInMarketFlag is false - reset bar for buy/sell IF WasInMarketFlag = 0 THEN IF LongTriggered=0 THEN //if long BUY StakeSize CONTRACTS AT MyBuyprice stop State=3 ENDIF IF ShortTriggered=0 THEN SELLSHORT StakeSize CONTRACTS AT MySellprice stop State=4 ENDIF SET STOP LOSS StopLoss SET TARGET PROFIT StopLimit ENDIF //if time is CutOffTime - stop all markets (if ONMARKET) IF time >= CutOffTime AND WasInMarketFlag>0 THEN IF LONGONMARKET THEN //TERMINATE TRADE AT END OF DAY SELL AT MARKET ELSIF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF ENDIF

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  DEFPARAM CumulateOrders = false DEFPARAM FLATBefore     = 220000 DEFPARAM FLATAfter      = 090000   ONCE EndOfMarketTime = 220000 ONCE CutOffTime = 09000 ONCE WasInMarketFlag=0 ONCE StopLoss=50 ONCE StopLimit=50 ONCE StakeSize=10 ONCE EntryBuffer=10 ONCE LongTriggered = 0 ONCE ShortTriggered = 0 ONCE State=100   //GRAPH MyBuyprice //GRAPH MySellprice GRAPH State   //for every bar IF ONMARKET THEN WasInMarketFlag=1 ENDIF //if time is EndOfMarketTime - reset all states for new day and set buy/sell IF time = EndOfMarketTime THEN MyBuyprice = DHIGH(0)+EntryBuffer MySellprice= DLOW(0)-EntryBuffer StopLoss = MyBuyprice - MySellprice State=1 WasInMarketFlag=0 ENDIF   //if between EndOfMarketTime && CutOffTime -> if WasInMarketFlag is false - reset bar for buy/sell IF WasInMarketFlag = 0 THEN IF LongTriggered=0 THEN //if long BUY StakeSize CONTRACTS AT MyBuyprice stop State=3 ENDIF IF ShortTriggered=0 THEN SELLSHORT StakeSize CONTRACTS AT MySellprice stop State=4 ENDIF SET STOP LOSS StopLoss SET TARGET PROFIT StopLimit ENDIF   //if time is CutOffTime - stop all markets (if ONMARKET) IF time >= CutOffTime AND WasInMarketFlag>0 THEN IF LONGONMARKET THEN //TERMINATE TRADE AT END OF DAY SELL AT MARKET ELSIF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF ENDIF

   

  

  aland

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  10/03/2018 at 11:49 AM #81838
  robertogozzi

  This is a version supporting MTF (I only have tested it for syntax errors):

  DEFPARAM CumulateOrders = false DEFPARAM FLATBefore = 220000 DEFPARAM FLATAfter = 090000 TIMEFRAME (1 hour,updateonclose) ONCE EndOfMarketTime = 220000 ONCE CutOffTime = 090000 // ---> I added one more ZERO (it was 00:90:00 in your code) ONCE StopLoss=50 ONCE StopLimit=50 ONCE StakeSize=10 ONCE EntryBuffer=10 ONCE LongTriggered = 0 ONCE ShortTriggered = 0 ONCE State=100 //GRAPH MyBuyprice //GRAPH MySellprice GRAPH State //if time is EndOfMarketTime - reset all states for new day and set buy/sell IF time = EndOfMarketTime THEN MyBuyprice = DHIGH(0)+EntryBuffer MySellprice= DLOW(0)-EntryBuffer StopLoss = MyBuyprice - MySellprice State=1 ENDIF //if between EndOfMarketTime && CutOffTime -> if WasInMarketFlag is false - reset bar for buy/sell IF WasInMarketFlag = 0 THEN IF LongTriggered=0 THEN //if long BUY StakeSize CONTRACTS AT MyBuyprice stop State=3 ENDIF IF ShortTriggered=0 THEN SELLSHORT StakeSize CONTRACTS AT MySellprice stop State=4 ENDIF SET STOP LOSS StopLoss SET TARGET PROFIT StopLimit ENDIF ////////////////////////////////////////////////////////////////////////// TIMEFRAME (default) ONCE WasInMarketFlag=0 ONCE IamLong =0 ONCE IamShort =0 IF IntraDayBarIndex = 0 THEN WasInMarketFlag=0 IamLong =0 IamShort =0 ENDIF IF time = EndOfMarketTime THEN WasInMarketFlag=0 ENDIF //if time is CutOffTime - stop all markets (if ONMARKET) IF time >= CutOffTime AND WasInMarketFlag>0 THEN IF LONGONMARKET THEN //TERMINATE TRADE AT END OF DAY SELL AT MARKET ELSIF SHORTONMARKET THEN EXITSHORT AT MARKET ENDIF ENDIF IF WasInMarketFlag = 0 THEN IamLong = LongOnMarket IamShort = ShortOnMarket WasInMarketFlag = IamLong OR IamShort ENDIF

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  DEFPARAM CumulateOrders = false DEFPARAM FLATBefore     = 220000 DEFPARAM FLATAfter      = 090000   TIMEFRAME (1 hour,updateonclose) ONCE EndOfMarketTime = 220000 ONCE CutOffTime = 090000   // ---> I added one more ZERO  (it was 00:90:00 in your code) ONCE StopLoss=50 ONCE StopLimit=50 ONCE StakeSize=10 ONCE EntryBuffer=10 ONCE LongTriggered = 0 ONCE ShortTriggered = 0 ONCE State=100 //GRAPH MyBuyprice //GRAPH MySellprice GRAPH State   //if time is EndOfMarketTime - reset all states for new day and set buy/sell IF time = EndOfMarketTime THEN    MyBuyprice = DHIGH(0)+EntryBuffer    MySellprice= DLOW(0)-EntryBuffer    StopLoss = MyBuyprice - MySellprice    State=1 ENDIF   //if between EndOfMarketTime && CutOffTime -> if WasInMarketFlag is false - reset bar for buy/sell IF WasInMarketFlag = 0 THEN    IF LongTriggered=0 THEN //if long       BUY StakeSize CONTRACTS AT MyBuyprice stop       State=3    ENDIF    IF ShortTriggered=0 THEN       SELLSHORT StakeSize CONTRACTS AT MySellprice stop       State=4    ENDIF    SET STOP LOSS StopLoss    SET TARGET PROFIT StopLimit ENDIF ////////////////////////////////////////////////////////////////////////// TIMEFRAME (default) ONCE WasInMarketFlag=0 ONCE IamLong        =0 ONCE IamShort       =0 IF IntraDayBarIndex = 0 THEN    WasInMarketFlag=0    IamLong        =0    IamShort       =0 ENDIF IF time = EndOfMarketTime THEN    WasInMarketFlag=0 ENDIF //if time is CutOffTime - stop all markets (if ONMARKET) IF time >= CutOffTime AND WasInMarketFlag>0 THEN    IF LONGONMARKET THEN //TERMINATE TRADE AT END OF DAY       SELL AT MARKET    ELSIF SHORTONMARKET THEN       EXITSHORT AT MARKET    ENDIF ENDIF IF WasInMarketFlag = 0 THEN    IamLong         = LongOnMarket    IamShort        = ShortOnMarket    WasInMarketFlag = IamLong OR IamShort ENDIF

  This will set WasInMarketFlag once in a 1-Minute TF and will be cleared each new day, so your 1-hour TF will not enter any longer for the rest of the trading day.

  You will have less history.

  If you don’t want to use MTF, then you would be able to know you were ONMARKET by checking STRATEGYPROFIT against its initial value saved at the beginning of each new day, something like:

  ONCE MyProfit = 0 IF IntraDayBarIndex = 0 THEN MyProfit = STRATEGYPROFIT ENDIF IF Not OnMarket AND Not OnMarket[1] THEN //no trades apparently since last bar IF MyProfit <> STRATEGYPROFIT THEN IwasLong = 1 ENDIF ENDIF

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  ONCE MyProfit = 0 IF IntraDayBarIndex = 0 THEN    MyProfit = STRATEGYPROFIT ENDIF IF Not OnMarket AND Not OnMarket[1] THEN //no trades apparently since last bar    IF MyProfit <> STRATEGYPROFIT THEN       IwasLong = 1    ENDIF ENDIF

   

   

  

  robertogozzi

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  10/03/2018 at 2:30 PM #81847
  aland

  robertogozzi wrote:

  You will have less history.

  Thats great! thank you so much for this.

  A question about the “less history” part.

  Does it meant that MTF will always give the amount of data based on the lower time frame (so 1 sec time frame will have a few days even if the “main” code is based on daily)

   

  Thanks again

  Alan

  

  aland

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  10/03/2018 at 3:10 PM #81848
  robertogozzi

  Yes, the importance of the TF is just the opposite in MTF.

  MTF recognizes the lowest TF as the main TF, the one used to launch your strategies on which BARINDEX, TRADEINDEX, INTRADAYBARINDEX, ONMARKET and so on… are updated.

  All other TF’s must be multiple of the lower ones and variables can be created/changed only in one TF but read by any TF.

  

  robertogozzi

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