Intraday data. Coding limit order buy bound to first bar price?

AFL Programming
#1

Hello,
I have been struggling with

  • getting the close price on the very first bar in the day (1-minute data)
  • set a limit buy order at certain points/ percentage below this price from the first bar.

I read through the manual as well as this forum, but I did not find any answer.

can anybody help?
thank you in advance, MirkaLinda

#2

The code I use, but generates too many inputs each day

SetTradeDelays (1,1,1,1);

LimitPrice = (Ref(O,-1)-0.2);
//Buy = Open;
Buy = Cross (Limitprice, o);

Sell =0;
ApplyStop (stopTypeProfit, stopModepoint, XXX);
ApplyStop (stopTypeLoss, stopModePoint, XXX);

#3

@MirkaLinda,

Point 1:
Would this thread help you out? Price at specific date and time problem. (ValueWhen() and DateTimeDiff())

Point 2:
Your calculation for the limit price? Would it not be if any of the OHLC cross below the limit price?

#4

@MirkaLinda how to determine the values of the first bar have been posted many times on this forum, using the analysis in the time frame you want (in your case 1 minute)

dn = Day();
// dn = DateNum(); // alternate method
newDay = dn != Ref( dn, -1 );

FirstBarOpen  = ValueWhen( newDay, Open );
FirstBarHigh  = ValueWhen( newDay, High);
FirstBarLow   = ValueWhen( newDay, Low );
FirstBarClose = ValueWhen( newDay, Close);

For limit orders study the Knowledge Base article (and other similar posts on the forum),
http://www.amibroker.com/kb/2014/11/26/handling-limit-orders-in-the-backtester/

2 Likes
#5

Thank you,
it seems logical, but does not resolve the first bar after market opening. Here it produces data from overnight corrections (I use intraday data from IB).
Sorry, I was not specific on that. Even if I use time such as 093000, it does not work..

Ad limit orders - I know you have been directing me to a thread about limit buy, but it works only on percentage, if I want to subtract certain number of points, I get lost..

#6

Thank you all! Now it works.
after reading and combining, I found probably what I needed:
the code is now (if somebody is searching for the same):

tn = TimeNum();

StartTime = 93000;
Endtime = 153000;

StartBar = tn == StartTime;

MyL = ValueWhen( StartBar, L );

Buy = Cross ((MyL-0.2), o) AND tn >=StartTime AND tn <=EndTime ;