Search found 2 matches

by ACM10022082
Mon May 23, 2011 1:32 pm
Forum: Testing and Simulation
Topic: tracking intraday sequences (time stamps) on daily bars
Replies: 14
Views: 5971

Hi Sluggo, Problem here is unable to trace out what actually happened intra-day using just daily bars. Using just daily bar(A) OHLC, we cannot choose #1 vs #2 unless we need additional information of intraday price pattern. If we pick #1 (trade entered at middle of day but still using b4 actual fill...
by ACM10022082
Mon May 23, 2011 11:44 am
Forum: Testing and Simulation
Topic: tracking intraday sequences (time stamps) on daily bars
Replies: 14
Views: 5971

tracking intraday sequences (time stamps) on daily bars

Hi Tim, We have a system that works on daily bars issues same day target and stop loss orders after entered into a position, this has been coded in EntryOrderFilled logic. We identified system might get stopped out at end of day but in reality it will not be hitting Target or Stop Loss, this is happ...