No overnight positions - Trading Software

No overnight positions

Matt Johnson
2015-04-25 21:31:54

Is it possible to set up a close/cover rule or stop so that all positions are exited before the close of the trading day? If so can you please provide the code to do so. I am working on a 1-minute intraday strategy and do not want to hold any positions overnight. Thank you in advance!

QuantShare
2015-04-27 04:02:23

Hi Matt,

Here is how:

nd = day() != ref(day(), -1);
sell = nd;
cover = nd;
SetSimTiming(_Sell, _Close, -1);
SetSimTiming(_Cover, _Close, -1);

chaz
2015-05-06 14:50:36

Mat,
Assuming you are trading during standard NYSE trading hours 9.30 - 16.00, you can try my approach for intrday 1min timeframe:

Time2Sell = 930; // ex.: sell after 15.30 -> 15*60+30
TradingTime = Hour()*60 + Minute() ;

sell = Your_formula || TradingTime >= Time2Sell ;
cover = Your_formula || TradingTime >= Time2Sell ;

It gives you more control and time to get orders filled; going for last minute period may not get orders filled, at least it is my experience.

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