Buy at a specific intra-bar price

Buy at a specific intra-bar price

Kiran
2016-12-06 18:54:56

I'm running a daily simulation and want to simulate buying at the mid-point of Open and Close, so i tried the following code, but it doesn't generate any trades.
Pl advise how to fix this script? If StopLimit doesn't work with specific price, is there some other way to trigger orders at this price point in Quantscript?

Buy = <condition>;
SetSimTiming(_Buy,_StopLimit,0);
midP = (ref(open,-1)+ref(close,-1))/2;
BuyPrice(midP,1);

I realize that placing an order at mid-point of Open & Close is peeking ahead, but i just want to compare approximate performance of placing orders middle-of-day vs at Close.

thanks
Kiran

QuantShare
2016-12-07 03:50:34

In QS language, you cannot always simulate an order at that price because if you send a limit order with that price then if the asset opens below the mid point (open+close/2), the order will be executed at the open price.

The only way to simulate this is by using the money management script. You could just replace the order in the "OnNewPosition" event with "Orders.SimulatedOrder" function.

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