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Forum Member
 
Group: Forum Members
Last Login: 12/2/2010 9:08:34 AM
Posts: 36,
Visits: 246
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Hi all,
I need help with my strategy.
I would like to create a strategy that consists of 3 steps.
A strategy that:
1- puts 2 entry stop orders (an entry stop buy and an entry stop sell) at a predefined time and at a predefined distance above the market;
2- sets a predefined stop loss and a predefined limit under/above the open rate of the trade when the order or the orders are executed;
3- when a trade is closed (automatically by the stop or limit of the previous passage) removes the entry stop order (buy or sell) not yet executed, if still existing.
I tried to write it down, but it doesn't work properly.
const
StrategyName = 'MyFirstStrategy';
var //declaration of the variables
History: TTickHistory;
Account: TAccount;
Amount, Point,: Double;
ESPrice, AbPrice, ES2Price, Ab2Price: Integer;
Stop: NullRate;
Limit: NullRate;
i,m: Integer;
Rate: Double;
Instrument: TInstrument;
EOTime: String;
LastTime: TDateTime;
MyTrade: TTrade;
procedure OnCreate;
begin
AddTickHistorySetting(@History, 'Strumento', 'EURUSD', 1); //setting up the chart history
History.OnNewRateEvent := @OnNewRate; //indicating the procedure to run when a new rate is received
AddAccountSetting(@Account, 'Account', ''); //the account number
AddFloatSetting(@Amount, 'Lots', 1); //the number of lots
AddIntegerSetting(@ESPrice, 'Entry Stop Distance Buy', 20); //setting up entry stop distance in pips
AddIntegerSetting(@AbPrice, 'Entry Stop Distance Sell', 20);
AddStringSetting(@EOTime, 'Entry Orders Time', '10.00.00'); //setting up the time
AddIntegerSetting(@Stop, 'Stop', 100);
AddIntegerSetting(@Limit, 'Limit', 100);
end;
// PROCEDURE 1: THIS PROCEDURE PLACES 2 ENTRY STOP ORDER (ONE BUY, ONE SELL) AT 10 O'CLOCK WHEN A NEW RATE IS RECEIVED
//(IT WORKS)
procedure OnNewRate;
begin
Point:= History.Instrument.PointSize;
if (Time >= StrToTime(EOTime))
and (LastTime < StrToTime(EOTime)) then
begin
CreateEntryOrder(History.Instrument, Account, Amount, bsSell,
History.Instrument.Sell - AbPrice*Point,
NullRate,
NullRate,
otEStop,'EntryStopSell');
CreateEntryOrder(History.Instrument, Account, Amount, bsBuy,
History.Instrument.Buy + ESPrice*Point,
NullRate,
NullRate,
otEStop,'EntryStopBuy');
end;
LastTime:=Time;
end;
//PROCEDURE 2: THIS PROCEDURE INSERT (or should insert, since I'm not able to compile it) the predefined stop and limit on each trade inserted
// I want the stop and limit to be set respectively xPoint under and above the open rate of the trade
//(IT DOESN'T WORK!!!)
procedure OnTradeChange(const Action: TDataModificationType; const Trade: TTrade);
var i: Integer;
begin
//if the entry stop order "Buy" is executed, then insert the predefined stop and limit on the buy position just opened
if (Action = dmtInsert) and (Trade.Tag = 'EntryStopBuy') then //I think this passage is wrong...I have to identify the buy position opened
CreateStopLimitOrder(MyTrade, MyTrade.OpenRate-Stop*Point, otStop, 'Stop');
CreateStopLimitOrder(MyTrade, MyTrade.OpenRate+Limit*Point, otLimit, 'Limit');
end;
begin
//if the entry stop order "Sell" is executed, then insert the predefined stop and limit on the sell position just opened
if (Action = dmtInsert) and (Trade.Tag = 'EntryStopSell') then //I think this passage is wrong...I have to identify the sell position opened
CreateStopLimitOrder(MyTrade, MyTrade.OpenRate+Stop*Point, otStop, 'Stop');
CreateStopLimitOrder(MyTrade, MyTrade.OpenRate-Limit*Point, otLimit, 'Limit');
end;
//PROCEDURE 3: THIS PROCEDURE SHOULD REMOVE, when a trade is closed (automatically by the stop or limit of the previous passage),
// the entry stop order (buy or sell) not yet executed, if still existing.
begin
//if the Trade "Buy" is closed, then remove, if still existing, the entry stop order "Sell".
if (Action = dmtDelete) and (Trade.Tag = 'EntryStopBuy') then //I think this passage is wrong, I have to identify the buy position closed
begin
for i:=OrderList.Count-1 downto 0 do
begin
if OrderList.Count>0 then
if OrderList.Get(i).Tag = 'EntryStopSell' then
try
OrderList.Get(i).Remove;
except
if ExceptionClassName <> 'ETradeNotFound' then RaiseCurrentException;
end;
end;
end;
begin
//if the Trade "Sell" is closed, then remove, if still existing, the entry stop order "Buy".
if (Action = dmtDelete) and (Trade.Tag = 'EntryStopSell') then //I think this passage is wrong, I have to identify the sell position closed
begin
for i:=OrderList.Count-1 downto 0 do
begin
if OrderList.Count>0 then
if OrderList.Get(i).Tag = 'EntryStopBuy' then
try
OrderList.Get(i).Remove;
except
if ExceptionClassName <> 'ETradeNotFound' then RaiseCurrentException;
end;
end;
end;
Edited: 2/16/2010 12:09:28 PM by p.costa
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Supreme Being
Group: Forum Members
Last Login: 1/27/2012 12:53:25 PM
Posts: 201,
Visits: 295
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Hello p.costa!
I saw that your strategy does not compile, and tried to correct the syntax. Now it does compile. I am not sure if the logic is correct as I have not checked it yet. Perhaps you will be able to figure it out while testing.
I have attached the corrected script.
Best regards!
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Forum Member
Group: Forum Members
Last Login: 12/2/2010 9:08:34 AM
Posts: 36,
Visits: 246
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I'm very grateful to you.
Now I'm going to test my strategy in order to discover if it works.
I'll keep you posted.
Bye.
Thanks!
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Forum Member
Group: Forum Members
Last Login: 12/2/2010 9:08:34 AM
Posts: 36,
Visits: 246
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Hi eMOe!
I've just tested the strategy.
It gives me an error in the line 83:11 "Reference to undefined object".
This is the wrong passage:
------------------------------------------------------------------------------------------
if (Action = dmtInsert) and (Trade.Tag = 'EntryStopSell') then
begin
CreateStopLimitOrder(MyTrade, MyTrade.OpenRate+Stop*Point, otStop, 'Stop');
CreateStopLimitOrder(MyTrade, MyTrade.OpenRate-Limit*Point, otLimit, 'Limit');
end;
------------------------------------------------------------------------------------------
It doesn't recognize the trade inserted in order to set the stop and limit orders.
Maybe do we have to insert the script: MyTrade:=Trade ?
I mean like this:
if (Action = dmtInsert) and (Trade.Tag = 'EntryStopSell') then MyTrade:=Trade; ??
Edited: 2/17/2010 1:04:55 PM by p.costa
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Supreme Being
Group: Forum Members
Last Login: 1/27/2012 12:53:25 PM
Posts: 201,
Visits: 295
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I think you can do it even simpler:
Try it this way:
if (Action = dmtInsert) and (Trade.Tag = 'EntryStopSell') then
begin
CreateStopLimitOrder(Trade, Trade.OpenRate+Stop*Point, otStop, 'Stop');
CreateStopLimitOrder(Trade, Trade.OpenRate-Limit*Point, otLimit, 'Limit');
end;
(The Trade variable is already identified in the procedure)
Best regards!
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Forum Member
Group: Forum Members
Last Login: 12/2/2010 9:08:34 AM
Posts: 36,
Visits: 246
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Thank you very much!
It works perfectly.
In attachment the corrected strategy.
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Forum Guru
Group: Forum Members
Last Login: 3/9/2010 8:13:40 AM
Posts: 58,
Visits: 114
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Congratulations! 
---------------
Bob Farlow
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Forum Guru
Group: Forum Members
Last Login: 10/4/2010 6:19:12 AM
Posts: 67,
Visits: 186
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Nice strategy! Congratulations, p.costa!
Sincerely,
Benjamin Hoover
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Forum Newbie
Group: Forum Members
Last Login: 5/14/2010 4:16:19 PM
Posts: 1,
Visits: 6
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still new around here,any help for starters
http://expertforextraders.co.uk
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