Recent content by Jock

  1. J

    Creating continuous files of tick data from multiple futures contracts

    Anyone have any thoughts on this?
  2. J

    Creating continuous files of tick data from multiple futures contracts

    I am wondering if anyone is aware of software that can create continuous back-adjusted data from tick or 1-minute interval, futures data. I am aware of organizations like CSI and TickData that have software that can create continuous data using their own proprietary format data. However I...
  3. J

    TS code using “date of next bar” command with two data sources

    ChoSingKum, after a break I’m back on to this same problem and I can’t get your suggestion of the array to work. Remember that we have 5-minute data as Data1 and daily data as Data2 and that we wish to calculate the daily ATR using Data1. So using the following … Var: Counter(0)...
  4. J

    TS code using “date of next bar” command with two data sources

    I wish to make no more than one long entry each day therefore… marketposition = 0 is to ensure there is no existing open position on the current bar. entrydate(1) < date is to ensure that the date of the next entry is not the same date as the previous entry. Both conditions need to...
  5. J

    TS code using “date of next bar” command with two data sources

    ChoSingKum, thanks very much. This use of Array does exactly what I need, in that I no longer need to refer to data2 and can therefore use the "date of next bar" command. My only concern is that if I need to calculate a very long daily ATR value, for example ATR(200) then the array may take...
  6. J

    TS code using “date of next bar” command with two data sources

    You’re right on that one, however I’ve looked at your suggestions and this is what I come up with… and Both of these suggestions still do not solve the problem with the last bar of the day, i.e. if it’s the last 1-minute bar of Monday, the code will place an order to buy on the first...
  7. J

    TS code using “date of next bar” command with two data sources

    Thanks for the advice, but this still has the same problem with the last bar. When it’s the last bar of today, it will use MyOpen (Open of today) to place a stop order on the 1st bar of Tomorrow.
  8. J

    TS code using “date of next bar” command with two data sources

    TrueStory, thanks for your input. My preference is not to miss trades that may occur on the first bar of the day. As you suggest I could reduce the timeframe to 1-minute bars, which would reduce the number of missed trades. However, even if I were to do this and then use your suggested time...
  9. J

    TS code using “date of next bar” command with two data sources

    I’m carrying out testing in TradeStation using 5-minute data and need to refer to daily data for a daily True Range calculation. Normally this would not be a problem as I place 5-minute data in Data1 and daily data as Data2. However in my coding I need to use the “date of next bar”...
  10. J

    TS code for next day MOO exit using 5min data

    OK I get it now, thanks for the advice. Unfortunately ... ... that is indeed the case.
  11. J

    TS code for next day MOO exit using 5min data

    RoughTrader, thanks for your input on this. I agree … there are too many early closes that need to be addressed differently. However regards exiting on the close of the first 5 minute bar, my preference is very much for the open. Unfortunately I only have 5 minute (rather than tick) data so...
  12. J

    TS code for next day MOO exit using 5min data

    Thanks ChoSingKum, your suggestion does indeed exit correctly at tomorrow’s open. However when you say “can only be used in a Signal”, I assume you are referring to the fact that “Next Bar” cannot be used within the system code if more than one dataset is used, i.e. I can’t use...
  13. J

    TS code for next day MOO exit using 5min data

    TrueStory, thanks for your suggestion. Unfortunately I have an earlier version of TS, so “buytocover” is not recognized. If I understand correctly, “buytocover” is effectively the same as “exitshort”. If that is the case, then it seems that I would still have the problem of...
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