Limit Order Entry with protective stop (Traders' Roundtable)

Tim Arnold » Tue Aug 18, 2020 7:40 am

 

The protective stop that is placed with an entry order is computed prior to the open, so the entry price and protective stop price are computed with data available before the open of the market. If the market gaps past the stop price, the order will not be filled.

 

The protective stop price can be adjusted based on the fill price the next day, or just as the order is filled (using the Can Fill script). However if you adjust the stop price as the order is filled, this is only avialble for back testing, since in real trading you would have to adjust that manually. The Order Generation Report is generated before the open, and would not have information about the entry price or a recomputed protective stop price.

 

The Entry Risk computed by the Unit Size script is based on the original entry price and entry protective stop. This computes the trade size that is then output on the Order Generation Report.

 

 

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