Hi,
i'm trying to code a Stop-Limit order with easylanguage for Tradestation.
Unfortunately (!) TS don not provide a built -in stop-limit order to insert in strategies so as reported by tech support (!) one need to "mimic" the order and coding a "synth stop-limit" with Intrabar Order Generation (IOG)
I've tryied but IOG seems to overcomplicate simple task so maybe someone can help me to solve the issue...
below the code provided by TS support
[intrabarordergeneration = true]
inputs:
LimitOffsetTicks( 5 ),
BarsToSetRange( 5 ) ;
variables:
OpenRange( false ),
OpenRangeHigh( 0 ),
OpenRangeLow( 0 ),
LongStopPrice( 0 ),
ShortStopPrice( 0 ),
Count( 0 ),
intrabarpersist EnterLong( false ),
intrabarpersist EnterShort( false ),
intrabarpersist EnteredToday( false ),
ATick( MinMove / PriceScale ),
MP( 0 ) ;
MP = MarketPosition ;
if MP <> 0 then
begin
EnteredToday = true ;
EnterLong = false ;
EnterShort = false ;
end ;
if Date <> Date[1] then
begin
OpenRangeHigh = High ;
OpenRangeLow = Low ;
Count = 1 ;
EnteredToday = false ;
end
else if Count < BarsToSetRange then
begin
OpenRangeHigh = MaxList( High, OpenRangeHigh ) ;
OpenRangeLow = MinList( Low, OpenRangeLow ) ;
Count += 1 ;
end
else if EnteredToday = false then
begin
if Close crosses above OpenRangeHigh + ATick then
begin
EnterLong = true ;
EnterShort = false ;
end
else if Close crosses below OpenRangeLow - ATick then
begin
EnterShort = true ;
EnterLong = false ;
end ;
end ;
if EnterLong then
begin
Buy next bar at OpenRangeHigh + ATick + LimitOffsetTicks * ATick Limit ;
end ;
if EnterShort then
begin
SellShort next bar at OpenRangeLow - ATick - LimitOffsetTicks * ATick Limit ;
end ;
if BarsSinceEntry = 5 then
begin
Sell next bar at Market ;
Buy to Cover next bar at Market ;
end ;
The code should trade the break of the range of the first candle of the day, regardless the timeframes.
Sadly, it doesn't work......
i'm trying to code a Stop-Limit order with easylanguage for Tradestation.
Unfortunately (!) TS don not provide a built -in stop-limit order to insert in strategies so as reported by tech support (!) one need to "mimic" the order and coding a "synth stop-limit" with Intrabar Order Generation (IOG)
I've tryied but IOG seems to overcomplicate simple task so maybe someone can help me to solve the issue...
below the code provided by TS support
[intrabarordergeneration = true]
inputs:
LimitOffsetTicks( 5 ),
BarsToSetRange( 5 ) ;
variables:
OpenRange( false ),
OpenRangeHigh( 0 ),
OpenRangeLow( 0 ),
LongStopPrice( 0 ),
ShortStopPrice( 0 ),
Count( 0 ),
intrabarpersist EnterLong( false ),
intrabarpersist EnterShort( false ),
intrabarpersist EnteredToday( false ),
ATick( MinMove / PriceScale ),
MP( 0 ) ;
MP = MarketPosition ;
if MP <> 0 then
begin
EnteredToday = true ;
EnterLong = false ;
EnterShort = false ;
end ;
if Date <> Date[1] then
begin
OpenRangeHigh = High ;
OpenRangeLow = Low ;
Count = 1 ;
EnteredToday = false ;
end
else if Count < BarsToSetRange then
begin
OpenRangeHigh = MaxList( High, OpenRangeHigh ) ;
OpenRangeLow = MinList( Low, OpenRangeLow ) ;
Count += 1 ;
end
else if EnteredToday = false then
begin
if Close crosses above OpenRangeHigh + ATick then
begin
EnterLong = true ;
EnterShort = false ;
end
else if Close crosses below OpenRangeLow - ATick then
begin
EnterShort = true ;
EnterLong = false ;
end ;
end ;
if EnterLong then
begin
Buy next bar at OpenRangeHigh + ATick + LimitOffsetTicks * ATick Limit ;
end ;
if EnterShort then
begin
SellShort next bar at OpenRangeLow - ATick - LimitOffsetTicks * ATick Limit ;
end ;
if BarsSinceEntry = 5 then
begin
Sell next bar at Market ;
Buy to Cover next bar at Market ;
end ;
The code should trade the break of the range of the first candle of the day, regardless the timeframes.
Sadly, it doesn't work......
Last edited:
