Support Board
Date/Time: Mon, 25 Nov 2024 18:46:20 +0000
Post From: Trading Spreadsheets FX and precision
| [2014-02-26 15:24:01] |
| MotoMoto - Posts: 47 |
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Hi Tom, thanks for the ideas and solutions. I implemented them and ran a chart replay at the same place. What was interesting was that for the first trade trigger at 1.5264, the order sent was now 1.5266 and not as was previously at 1.5265, and it triggers immediately on the next bar rather than 3 bars after as a limit order. The second order triggered and was far easy to track. However it became easier to track the trades with the better precision. One thing that became clear as well was that as it using range bars, and tics in FX, and it can move very fast, then using E3 (or the rounded version of E3) is still too slow. What appears to occur is that the trigger is activated in Column K(green arrow), and in setting the limit in $j$22 if you use E3 as the value to set the limit order, then it may have already changed. In this instance it was higher, and hence using the E3 as the limit order means you are pretty much using the close of the current bar, which in these cases was 2-4 ticks higher that the trigger. It moves that quickly and the spread may widen. Hence as an extra amendment I changed the values of $j$22 to this: IF(MAX(K3:K5)>0,MAX(K3:K5)+$H$21,0) and in Column K I used the formula to show the E3 value of the triggered bar. As this is only triggered when there is a swing higher (and not just a higher value) you should never get 2 buy entries triggered in a row. This then gave even more precise control. I figured it is easier then to modify how many ticks slippage from the trigger you are willing to have, and the nature of the beast from my manual testing is that you are better keeping the limit orders rather than simply hitting the market. This way as well the small tick losses are vastly reduced, and while the use of max() is a fudge, it seems to work on subsequent tests. I guess SC engineering is best to answer this: is my thought process re the speed correct (not a problem if it is that markets for you :))? Also using the formula in the limit cell $j$22 - there should be no problems with that? Thanks Tom - many of us owe you a steak dinner/beer or whatever you fancy, and I am always loving what SC is capable of. Date Time Of Last Edit: 2014-02-26 15:25:59
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