Hi,

at the moment I am testing strategies for certain stock universes such as the SP500.

I use daily bars, signals occur at the close and I want to open the trade at the next bar's open.
I am able to this by setting Fill=3.

However, this has unintended consequences. I've restricted NumOpenTotal < 5;
This works when Fill is set to its default value but when I set Fill to DELAYED (in order to enter at the open) the more than 5 trades are opened.

Has anyone an idea what the reason for this is?

Sure, as long as the trade is not yet opened, NumOpenTotal is unchanged. You must also check for NumPendingTotal.

Thanks jcl, I've tried that before too.

I did following: If((NumOpenTotal+NumPendingTotal)<5 ...

And it works in terms of having not more than 5 open trades.
However, it has unintended consequences. As an example:

Fill = 3;

while(asset(loop("SPX500","US30","NAS100")))
{
Entry = -.008*priceClose();
LifeTime=5;
if((NumOpenTotal+NumPendingTotal)<2) enterLong();
}


If I write the code as above a trade in NAS100 will never be entered as at least 2 pending trades were already entered for SPX500 and US30 (regardless of whether SPX500 and US30 fulfill their entry condition the following bar).

However, that's not what I want. I want to enter 3 pending order but only open maximum 2 trades.

How can that be achieved? I could not find a way with Fill=3.

Thank you.

This is unrelated to pending. If you do not want SPX500 trades to affect NAS100 trades, then do not check for ...Total, but for ...Long and ...Short.

You can get the complete status of all trades with a for(...trades) loop, and this way count and check all conditions that you want.

No that's not what I want either.

As in the example above, my intention is following:

1) enterLong at the next day's bar but only if the price is 0.8% lower than today's close

2) do not open more than 2 trades


How can this be achieved. If I use ...Long and ...Short instead of ...Total 2 trades per asset would be opened which ads up to 6 in total.

A specific example, what if only "US30" and "NAS100" fall another 0.8% at the next bar. I only want those 2 to be entered.

What if all 3 fall 0.8% at the next bar. In this case I'd only like to enter "SPX500" and "US30" as I do not want to open more than 2 trades and those 2 assets are the first in the loop.

Thanks a lot!

You can check in a tmf if 2 trades are open, then cancel all pending trades.

Hi Spirit,

thanks a lot, great advice. I think I got it working.

I used following code:

int tmf()
{
if(NumOpenTotal==2 and TradeIsPending) return 1;
else return 0;
}


function run();
{
...
set(TICKS);
BarPeriod=1440;

Fill = 3;

while(asset(loop("SPX500","US30","NAS100")))
{
Entry = -.008*priceClose();
LifeTime=5;
enterLong(tmf);
}
...
}


Cheers