Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

Tradewinds

Object-Oriented Order Management

Recommended Posts

This thread is dedicated to Object-Oriented Order Management in TradeStation. I'll start by listing the different OrderStates that can be retrieved using OO in EL. I'm not sure that any of this can be done with the procedural programing in EL. I've looked through the Reserved Words, and haven't seen any way to retrieve the following order status info except through OO.

 

OrderState

Indicates the state of an order as it is being processed.

 

Namespace: tsdata.trading

 

Enumerated Values

 

Canceled 9

Cancelpending 10

Expired 12

Filled 8

Partiallyfilled 6

Partiallyfilledurout 7

Queued 5

Received 4

Rejected 11

Sendfailed 3

Sending 1

Sent 2

unsent 0

 

So, with OOP in EL, I can have the code check for whether the order was sent, received, rejected or filled. I don't think I can do any of that except with OOP.

Share this post


Link to post
Share on other sites

You can also retrieve the current Price Style for an order. Here is the list:

 

PriceStyle

Lists the types of auto price settings for an order.

 

Namespace: tsdata.trading

 

Enumerated Values

Name Value

 

HitOrTake 5

HitOrTakePlus 6

IfTouchPlus 9

Improve 2

Join 1

None 0

ParentPlus 7

Shave 4

Split 3

StopPlus 8

 

An IfTouch order will allow you to place a Market order that does not execute unless the price touches a certain price. HitOrTake executes a market order immediately I believe.

Share this post


Link to post
Share on other sites

Here is an even longer list of Order Status States that can be checked with OO. I'm quite sure that none of this is available through reserved words. In other words, if you want to be able to have you code check for these conditions, you'll need to use OO. I have no idea what a "BigBrotherRecall" is.

 

Namespace: tsdata.trading

 

Enumerated Values

Name Value

 

BigBrotherRecall 34

BigBrotherRecallRequest 33

BracketCancelled 28

BracketFilled 29

Broken 1

Canceled 2

CancelRequestRejected 20

CancelSent 16

Change 3

ChangeRequestRejected 23

ConditionMet 26

Dead 5

Dispatch 4

ExpirationCancelRequest 30

Expired 6

FillCorrected 17

Filled 7

OptionAssignment 27

OptionExcercise 31

OrderStatusMessage 14

OSOOrder 32

PartialFillAlive 9

PartialFillUROut 8

Queued 22

Received 0

Rejected 13

Replaced 15

ReplaceSent 25

Sending 19

Sent 11

StopHit 24

TooLateToCancel 10

TradeServerCanceled 18

UnSent 21

UROut 12

Share this post


Link to post
Share on other sites

Here is some code that should exit a current long order.

 

 

var: tsdata.trading.order OrdrInfo(Null);
var: xLng(False), xShrt(False), QtyOpen(0);

{If there is a signal to exit a long position or exit a short position, first
get the Quantity of orders currently open.  Don't need to get the qty open
unless there is a reason to exit, so make it conditional.
For this code to work, the OrderTicket1 and PositionsProvider1 must
be dragged from the toolbox into the code editor.}

If xLng or xShrt then QtyOpen = PositionsProvider1.Position[0].Quantity;

// if there is a signal to exit a long, 
//  and no other order has been placed this bar,
// and the Qty open is greater than 0, then close the long.

If xLng and xLngFired = False and QtyOpen > 0 then begin
xLngFired = True;  // Immediately set the xLngFired variable to true
OrderTicket1.SymbolType = 0; // Set security type to Future
OrderTicket1.Symbol = "Symbol";  // Set symbol for order to current symbol on chart
OrderTicket1.Quantity = QtyOpen;  // Set order qty to the qty of orders open to exit the position
OrderTicket1.Action = 2; // Set the order to a SELL order
OrderTicket1.Type = 2; // Set order type to Market
OrdrInfo = OrderTicket1.Send();  // Send the order
End;

// At end of the bar reset the status of whether an order was sent on this bar or 
// not back to False

If Barstatus(1) = 2 then begin
xLngFired = False;
xShrtFired = False;
End;

Share this post


Link to post
Share on other sites

These new order objects in TS finally give the developer of automated systems a way around the faulty TS Trade Manager.

 

The bad news about them is that they can't be used in a strategy and thus can't be used in back testing/optimization. The good news is that as they are used in an indicator you can also plot from the same code that executes your trades which you can't do from a strategy.

 

These objects plus the new PSP's add tremendous power and versatility for the astute TS user. The only remaining item to put TS at the top of the heap is a sub-second time stamp.

Share this post


Link to post
Share on other sites
The bad news about them is that they can't be used in a strategy and thus can't be used in back testing/optimization. The good news is that as they are used in an indicator you can also plot from the same code that executes your trades which you can't do from a strategy.

 

Yes, thank you for that. Personally, I would rather execute trades intrabar instead of waiting for the next bar for a strategy to send the order. I'm wondering if there might be some way to get the data needed to determine the profitability even without the backtesting. I'll probably be looking into the subsecond issue at some point. It seems that I've seen functions for millisecond timers.

Share this post


Link to post
Share on other sites
Yes, thank you for that. Personally, I would rather execute trades intrabar instead of waiting for the next bar for a strategy to send the order. I'm wondering if there might be some way to get the data needed to determine the profitability even without the backtesting. I'll probably be looking into the subsecond issue at some point. It seems that I've seen functions for millisecond timers.

 

You can get reasonable accuracy backtesting/optimizing with intra bar executions using easy language and then re-write the strategy into an indicator using the order objects.

 

The issue with the millisecond timers is that they can only activate an event - they can't store data with any time granularity that is sub 1 minute.

 

This time stamp business is really a shame as one of TS's strongest points is their great data base - 6 mos tick data, continuous contracts even at tick level, more than a decade of 1 minute and higher data and all the great new indexes that go far beyond tick and trin.

Share this post


Link to post
Share on other sites

I've had trouble with this line:

 

QtyOpen = PositionsProvider1.Position[0].Quantity;

 

This seems to be better at getting the current quantity of your open order:

 

var: Ticker(" "), AccntNum(" ");

 

Once Begin // Run once per load

AccntNum = GetaccountID();

Ticker = Getsymbolname;

End;

 

QtyOpen = GetPositionQuantity(Ticker, AccntNum);

Share this post


Link to post
Share on other sites
I've had trouble with this line:

 

QtyOpen = PositionsProvider1.Position[0].Quantity;

 

If the account has no open positions, PositionsProvider1.Position[0].Quantity will return an error during trading and shut your indicator down. Which is really stupid, but that's the way it is. But I've found a way to deal with that situation by first checking for any open positions.

 

If PositionsProvider1.Count <> Null then

Value3 = PositionsProvider1.Position[0].Quantity else value3 = 0;

 

So, if there are no open positions, the code doesn't try to retrieve a quantity. That avoids the error msg, and sets Value3 to 0.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • Date: 29th March 2024. GBPUSD Analysis: The Pound Trades Higher But For How Long? The global Stocks Markets are closed due to Easter Friday (Good Friday). The NASDAQ continued to follow the sideways trend while other indices again rose. The SNP500 reaches an all-time high, but the NASDAQ remains under pressure from Tesla, Meta and Apple. The Euro continues to trade lower against all major currencies including the US Dollar, Euro and Japanese Yen. The British Pound is the best performing currency during this morning’s Asian session. However, investors are largely fixing their attention on this afternoon’s Core PCE Price Index. GBPUSD – The Pound Trades Higher but For How Long? The GBPUSD is slightly higher than the day’s open and is primary due to the Pound’s strong performance. At the moment, the British Pound is increasing in value against all major currencies. However, the US Dollar Index is also trading 0.10% higher and for this reason there is a slight conflict here. If investors wish to avoid this conflict, the EURUSD is a better option. This is because, the Euro depreciating against the whole currency market avoiding the “tug-of-war” scenario. The GBPUSD is trading slightly lower than the 2-month’s average price and is trading at 49.10 on the RSI. For this reason, the price of the exchange is at a “neutral” level and is signalling neither a buy nor a sell. The day’s price action and future signals are possibly likely to be triggered by this afternoon’s Core PCE Price Index. Analysts expect the Core PCE Price Index to read 0.3% which is slightly lower than the previous month but will result in the annual figure remaining at 2.85%. The PCE rate is different to the inflation rate and the Fed aims for a rate between 1.5% to 2.00%. Therefore, even if the annual rate remains at 2.85%, as analysts expect, it would be too high for the Fed. If the rate increases, even if only slightly, the US Dollar can again renew bullish momentum and the stock market can come under pressure. This includes the SNP500. Investors are focused on the publication of data on the UK’s gross domestic product (GDP) for the last quarter of 2023: the quarterly figures decreased by 0.3%, and 0.2% over the past 12-months. This confirms the state of a shallow recession and the need for stimulation. The data, combined with a cooling labor market and a steady decline in inflation, increase the likelihood that the Bank of England will soon begin interest rate cuts. In the latest meeting the Bank of England representatives did not see any members vote for a hike. USA500 – The SNP500 Rises to New Highs, But Cannot Hold Onto Gains! The price of the SNP500 rises to an all-time high, before correcting 0.33% and ending the day slightly lower than the open price. Nonetheless, the index performs better than the NASDAQ which came under pressure from Tesla, Meta and Apple which hold a higher weight compared to the SNP500. For the SNP500, these 3 stocks hold a weight of 9.25%, whereas the 3 stocks make up 14.63% of the NASDAQ. The SNP500 is also supported by ExxonMobil’s gains due to higher energy prices. The market will remain closed on Friday due to Easter. However, the market will reopen on Monday for the US and investors can expect high volatility. Investors will also need to take into consideration how the PCE Price Index and the changed value of the US Dollar is likely to affect the stock market next week. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HFM Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Michalis Efthymiou Market Analyst HFMarkets Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • MT4 is good and will be good until their parent company keep updating the software, later mt4 users will have to switch to mt5.
    • $SOUN SoundHound AI stock at 5.91 support area , see https://stockconsultant.com/?SOUN
    • $ELEV Elevation Oncology stock bull flag breakout watch , see https://stockconsultant.com/?ELEV
    • $AVDX AvidXchange stock narrow range breakout watch above 13.32 , see https://stockconsultant.com/?AVDX
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.