I want to
keep track of the order entry time (not trade entry time) in a TMF
so I can
use order entry time when analyzing TradeProfit across many trades
and use order entry time as a globally unique identifier (recall that Zorro re-uses trade ids)
Order Time is not a tracked trade variable (recall a post of mine from long ago). As a work-around, I am encoding order entry time as a TradeVar. I tried this toy script:
var encode_date() {
var ret = 0.;
ret += minute();
ret += hour() * 100.;
ret += day() * 10000.;
ret += month() * 1000000.;
ret += year() * 100000000.;
return ret;
}
int manage(var order_date, var mult) {
if (TradeIsClosed) {
printf("n%0.0f: %f", order_date, TradeProfit);
}
return 0;
}
function run() {
if (is(INITRUN)) {
assetList("AssetsNew.csv");
set(OPENEND);
set(TICKS);
StartDate = 20110201;
EndDate = 20110202;
BarPeriod = 1;
LookBack = 140;
Hedge = 2;
Margin = 250.;
TradesPerBar = 2;
MaxLong = 10000;
MaxShort = 10000;
Weekend = 1+8;
}
var p = fabs(random());
if (p > 0.999) {
LifeTime = 1440 * 7;
EntryTime = 1;
var mult = ATR(100);
Stop = 3 * mult;
TakeProfit = 3 * mult;
var ec = encode_date();
if (p > 0.9995) {
printf("n%0.0f enterLong", ec);
enterLong(manage, ec, mult);
} else {
printf("n%0.0f enterShort", ec);
enterShort(manage, ec, mult);
}
}
}
Observed:
arg order_date always contains 201102016512, representing a nonsense datetime. (hour 65).
Test: trade_management_aai EUR/USD (TICKS) 2011
Assets AssetsNew.csv
201101312349 enterLong
201102010425 enterShort
201102016512: 1.642228
201102012004 enterShort
201102016512: -10.414859
201102020131 enterLong
201102016512: -6.834805
Loss -16$ MI -238$ DD 17$ Capital 302$
Trades 3 Win 33.3% Avg -5.1p Bars 40
AR -945% PF 0.10 SR -11.84 UI 100% R2 0.69
Expected:
I expected arg order_date to contain the encoded order entry times, such as 201101312349, as shown in the entry printf lines.
How thoroughly confused am I?
