How to keep from trading on last bar of the day in

gfparker

#1

12/31/2008 12:23 PM

I'm trying to code an intraday strategy that doesn't hold any positions overnight. In order to do this I need to keep the buy limit order from being placed on the bar before the last bar of the day, since if the order gets executed, I can't get out of it on the next bar. I'm using WL5 with autotrading so I can't use SellAtClose orders (not supported). I wrote the following code to flag the next to last bar of the day, and the script runs fine until the last bar of the chart where it throws the following exception.

Runtime error: Index was out of range. Must be non-negative and less than the size of the collection.
at WealthLab.Strategies.MyStrategy.Execute()
at WealthLab.Bars.IsLastBarOfDay(Int32 bar)
etc.....

Any ideas on how to fix this problem or why it's happening?

CODE:
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Eugene

#2

12/31/2008 1:18 PM

QUOTE:
why it's happening?

It happens because you're going out of range with Bars.IsLastBarOfDay(bar + 1).

QUOTE:
how to fix this problem

CODE:
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Here's the corrected code:

CODE:
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gfparker

#3

1/22/2009 11:03 AM

Your solution works fine for back testing, but if you try to use it on a 5 minute chart in a real time (streaming mode) you don't appear to be processing the current bar, always the next to last bar so you can't enter buy signals based on the most recent bars information. You'll note the following strategy works fine in back testing, but in realtime, it never generates an alert.

CODE:
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gfparker

#4

1/29/2009 11:47 AM

Any ideas on how to get around this problem?

Cone

#5

1/29/2009 12:53 PM

Here's a re-write with some nifty functions that I'll eventually add to Community.Components.

The slider for "Today Close" allows a convenient switch to adjust for a short day's close at 1pm.

CODE:
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Size:

Color:

Here's a re-write with some nifty functions that I'll eventually add to Community.Components.

The slider for "Today Close" allows a convenient switch to adjust for a short day's close at 1pm.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MOCStrategy : WealthScript
	{
		/* Returns 24-hour time as an integer
		 * Example: 4pm = 1600 */
		public int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}
	
		/* Adds minutes to an integer time (HHnn) and returns a HHnn time
		 * Example 1600 - 5 = 1555 */
		public int AddIntegerTime( int t, int minutes )
		{
			int res = 60 * ( t / 100 ) + ( t % 100 );	// minutes past midnight
			int res1 = res + minutes;
			res1 = res1 / 60 * 100 + ( res1 % 60 );
			if( res1 >= 2400 )
				return (res1 % 2400 );
			else if( res1 < 0 )
				return AddIntegerTime( AddIntegerTime( 2400, minutes ), res );
			else
				return res1;			
		}		
			
		/* Returns the chart bar number of the first bar of the startDay.  
		 * Example: Pass 2 to get the first bar of the second day */
		public int FirstBarofDay( int startDay )
		{
			int cnt = 0; 		
			for (int Bar = 0; Bar < Bars.Count; Bar++)
			{
				if( Bars.IntradayBarNumber( Bar ) == 0 ) cnt++;
				if( cnt == startDay ) return Bar;				
			}
			return Bars.Count;
		}
			
		
		/* Sliders 
		 * minTradeBars are the min number of bars before the end of day that an entry is allowed
		*/
		private StrategyParameter todayCloseTime;
		private StrategyParameter minTradeBars;		
		
		public MOCStrategy()
		{
			todayCloseTime = CreateParameter("Close Today", 1600, 1300, 1600, 300);				
			minTradeBars = CreateParameter("Min Trade Bars", 5, 2, 10, 1);			
		}
		
		protected override void Execute()
		{			
			int todayClose = todayCloseTime.ValueInt; 
			int minBarsInTrade = minTradeBars.ValueInt;
			int lastChartBar = Bars.Count - 1;
			int nextToLastBarTime = AddIntegerTime( todayClose, -Bars.BarInterval );							
			
			for(int bar = FirstBarofDay( 2 ); bar < Bars.Count - 1; bar++)
			{					
				if( !IsLastPositionActive )
				{
					if ( bar < lastChartBar - minBarsInTrade )
					{
						BuyAtLimit(bar + 1, Bars.Low[bar] * 0.995);
					}
				}
				else
				{
					Position p = LastPosition;									
					if( (bar == lastChartBar) && (GetTime(bar) >= nextToLastBarTime) ) 
					{	
						SetBarColor( bar, Color.Orange);
						ExitAtMarket( bar + 1, p, "Exit at open of last bar");
					}
					else if ( (bar != lastChartBar) && Bars.IsLastBarOfDay(bar + 1) )
					{
						SetBarColor( bar, Color.Orange);
						ExitAtMarket( bar + 1, p, "Exit at open of last bar");
					}
					else 
					{
						// other exit logic here
					}
				}
			}
		}
	}
}[/CODE]

gfparker

#6

2/10/2009 10:21 AM

Thanks Cone, that's an interesting approach. So I would just use the slider to manually enter the market close time for that day. I don't suppose there is any way to automate the detection of early market closes, is there?

Cone

#7

2/10/2009 2:03 PM

QUOTE:
I don't suppose there is any way to automate the detection of early market closes

Actually there is, but why complicate it? You only need to click the slider when you're trading on days that have an early close.

Note that the backtest part of the strategy already determines an early close from IsLastBarOfDay in the "else if" condition in the exit logic.