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Direct MessagesDate/Time: Thu, 25 Apr 2024 05:04:14 +0000
[User Discussion] - Spreadsheet System for Trading - Flatten Positions And Cancel Orders At Set Time
View Count: 2462
| [2019-08-21 21:36:09] |
| User695518 - Posts: 50 |
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Hello, I am currently using the Spreadsheet System for Trading study. I have my spreadsheet study system set with the following: Allow Trading Only During Time Range (read/write): TRUE Start Time For Allowed Time Range (read/write): 07:30:00 End Time For Allowed Time Range (read/write): 13:00:00 I also have the following set: Flatten Positions And Cancel Orders At Set Time (read/write): TRUE Time For Flatten Positions And Cancel Orders (read/write): 13:05:00 My desire is to ensure that at 13:05:00 all positions are flattened and any outstanding orders are cancelled. However, it appears that the Flatten Positions And Cancel Orders At Set Time only works within the time frame set within Allow Trading Only During Time Range. This is not ideal. What happens if I set End Time For Allowed Time Range to 13:00:00 and Time For Flatten Positions And Cancel Orders to 13:00:00 and somehow a new order is triggered milliseconds after the flatten? I would much rather that Flatten Positions And Cancel Orders At Set Time did not take Allow Trading Only During Time Range into account, so that I could stop automated trading at 13:00:00 and flatten all positions at 13:05:00, as an example. As it stands, this issue could put automated traders in a very precarious position, where they think they are ending the day flat, but they are not! Thanks! |
| [2019-08-22 03:56:33] |
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You just have to use a later time for this: End Time For Allowed Time Range (read/write):
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| [2019-08-22 13:16:19] |
| Sawtooth - Posts: 3976 |
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You have more flexibility if you use J28 and J29 instead of J85-J89: J28: =AND(J8=0,OR(FRACTIME(J41)<TIMEVALUE("07:30:00"),FRACTIME(J41)>TIMEVALUE("13:00:00"))) This sets a time window for entries and exits, and allows exits after the time window. J29: =FRACTIME(J41)>=TIMEVALUE("13:05:00") |
| [2019-08-22 13:33:57] |
| User695518 - Posts: 50 |
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tomgilb, Let me say, you are absolutely amazing. I don't know what the SC user base would do without you... After I made this post, I actually found another post you replied to: Daily Loss Limit in Spreadsheet Auto Trading which helped lead me to a workaround for this issue. It is still a little strange to me the SC's built in logic doesn't allow for a flatten/cancel all as a safeguard after autotrading is disabled, but with your help and expertise, I can make it work. Thanks! |
| [2019-11-22 20:24:30] |
| User695518 - Posts: 50 |
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Hello tomgilb, I hope you are doing well and could help me once again here... I would like to use J29 to flatten/cancel on a particular date. For the following example: =AND((J41-INT(J41)) > TIMEVALUE("10:00:00"),J41-INT(J41)<TIMEVALUE("11:00:00")) How could I add a date check, so that the logic is only true an a particular date? This doesn't seem to be as straightforward as I think it ought to be, or I am over complicating it. Thanks again! |
| [2019-11-23 00:08:19] |
| Sawtooth - Posts: 3976 |
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To return a particular date, use this function and syntax: =DATEVALUE("11/22/2019") https://www.sierrachart.com/index.php?page=doc/SpreadsheetFunctions.html#DATEVALUE_Function To compare it to the Date in J41: =INT(J41)=DATEVALUE("11/22/2019") https://www.sierrachart.com/index.php?page=doc/SpreadsheetFunctions.html#INT_Function To include it in your example: =AND(J41-INT(J41)>TIMEVALUE("10:00:00"),J41-INT(J41)<TIMEVALUE("11:00:00"),INT(J41)=DATEVALUE("11/22/2019")) Note: J41 contains a number in Serial Date Time format, where the integer is the number of days since 1/1/1900, and the decimal is the portion of a day beginning at Midnight. =INT(J41) returns the integer of the Serial Date Time value. =J41-INT(J41) returns the decimal portion of the Serial Date Time value. (You can use the FRACTIME function instead): =FRACTIME(J41) https://www.sierrachart.com/index.php?page=doc/SpreadsheetFunctions.html#FRACTIME_Function The DATEVALUE function returns the integer of the Serial Date Time value from a text string of the date. The TIMEVALUE function returns the decimal portion of the Serial Date Time value from a text string of the time. Spreadsheet Example Formulas and Usage: Using Date Time Date Time Of Last Edit: 2019-11-23 13:17:06
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| [2019-11-23 05:20:50] |
| User695518 - Posts: 50 |
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Tom, That is just the explanation I was looking for. I just couldn't wrap my head around INT vs. J41-INT. Have a great weekend sir! Thanks! |
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