Scott’s Journal

[TrentRothall]

Darryl Vink wrote:

Scott McNab wrote:

If anyone else is interested in this API for the ASX…

hi scott yes im interested.

i was also thinking about the possibility of a limit order that gets out at a target of x% above the entry price but places a MOC/MKT at end of day if the target is not reached.

Have you tested it using a profit target Darryl?

[ScottMcNab]

To be used in US market Darryl ? From my limited understanding (pun intended) it would need 2 possible limit orders to be used that way for ASX…the first as a profit tgt (which would need to be cancelled at a certain time…eg 15:59) and the second to close at the market price at the cspa (at 16:02 or similar)

[Anonymous]

Trent Rothall wrote:

Have you tested it using a profit target Darryl?

no :dry:

[Anonymous]

Scott McNab wrote:

To be used in US market Darryl ? From my limited understanding (pun intended) it would need 2 possible limit orders to be used that way for ASX…the first as a profit tgt (which would need to be cancelled at a certain time…eg 15:59) and the second to close at the market price at the cspa (at 16:02 or similar)

yes us and asx were my thoughts but i have done no testing on this yet… its just an idea at this point

[SaidBitar]

Darryl Vink wrote:

Scott McNab wrote:

To be used in US market Darryl ? From my limited understanding (pun intended) it would need 2 possible limit orders to be used that way for ASX…the first as a profit tgt (which would need to be cancelled at a certain time…eg 15:59) and the second to close at the market price at the cspa (at 16:02 or similar)

yes us and asx were my thoughts but i have done no testing on this yet… its just an idea at this point

I think you need intraday data in order to test otherwise you will not know which was hit the first the entry or the take profit

[Nick Radge]

Quote:

I think you need intraday data in order to test otherwise you will not know which was hit the first the entry or the take profit

Yes. You’re starting to walk down a dangerous corridor using EOD data for this exercise.

[Anonymous]

Said Bitar wrote:

I think you need intraday data in order to test otherwise you will not know which was hit the first the entry or the take profit

what about something like this to test the concept:

Code:

priceAtBuy = longEntryPrice[j];
targetPrice = priceAtBuy*(1 + targetPercent);
SellPrice[j] = IIf(High[j] > targetPrice,targetPrice,Close[j]);

[Stephen James]

When is the profit target order being set – at the same time as the limit order (pre-market open) or only when the limit order is triggered once the market has opened?

[LeeDanello]

Darryl Vink wrote:

Said Bitar wrote:

I think you need intraday data in order to test otherwise you will not know which was hit the first the entry or the take profit

what about something like this to test the concept:

Code:

priceAtBuy = longEntryPrice[j];
targetPrice = priceAtBuy*(1 + targetPercent);
SellPrice[j] = IIf(High[j] > targetPrice,targetPrice,Close[j]);

The High[j] would have to be High[j-1]?

[SaidBitar]

For execution it is OK since the sell order will be placed after the buy is filled but what about back testing you will not now which was reached first
For example you have your buy order at 9 and profit taking at 11 the stock opened at 10 went to 11.5 then down to 8.5 and closed around 9.5

In your backtest you will see you bought on 9 sold at 10 while in reality it didn’t happen

[Anonymous]

Said Bitar wrote:

For execution it is OK since the sell order will be placed after the buy is filled but what about back testing you will not now which was reached first
For example you have your buy order at 9 and profit taking at 11 the stock opened at 10 went to 11.5 then down to 8.5 and closed around 9.5

In your backtest you will see you bought on 9 sold at 10 while in reality it didn’t happen

yes good point said 😳 the idea seems worthy of testing at some point when intraday data is available to me… until then… back to the drawing board

[Nick Radge]

I’m quite sure this was discussed somewhere in the course.

Remind me to tell a story on this exact topic that blew a lot of people up…

[Anonymous]

Nick Radge wrote:

Remind me to tell a story on this exact topic that blew a lot of people up…

the fact this story exists is all i need to know for now… :unsure:

[ScottMcNab]

New version of BatchTrader for MOC for the ASX arrived tonight…will take it for a trial tomorrow…will set it up to place sell limit order at 16:04 at 1.5% below last traded price.

I haven’t subscribed to live data yet so I am hoping price will not have dropped 1.5% in last 20 minutes (or should I go lower maybe ??)

[TrentRothall]

Scott McNab wrote:

New version of BatchTrader for MOC for the ASX arrived tonight…will take it for a trial tomorrow…will set it up to place sell limit order at 16:04 at 1.5% below last traded price.

I haven’t subscribed to live data yet so I am hoping price will not have dropped 1.5% in last 20 minutes (or should I go lower maybe ??)

whats the harm in going 5 or 8%?
To be safe

[Author]

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