Would I enter this "Order Generated" trade at mark
Posted: Sat May 28, 2011 4:11 pm
One of the systems I am running with live money since May 1st is a Donchian variation, and noticed that inn Oats, my entry price was leaped over.
Meaning, 20+ days ago, the price of Oats collapsed, so there were several large range bars. Say for simplicity, my buy point was 400. When the 20-day rolling average is moved forward by one day, the the new entry price drops to 380 due to those big bars 20 days ago.
But closing price was 383 in July Oats. So now my Distance is showing a -0.37, and the buy stop is actually beneath closing price.
I'm leaning towards a market order on open if above 380, but before I do I would like to know how TB will handle this the next Order Generation run if price does indeed open at 385 -- does it assume a fill on open in such a situation? I would like to be consistent with how the system handles these in the backtests.
Meaning, 20+ days ago, the price of Oats collapsed, so there were several large range bars. Say for simplicity, my buy point was 400. When the 20-day rolling average is moved forward by one day, the the new entry price drops to 380 due to those big bars 20 days ago.
But closing price was 383 in July Oats. So now my Distance is showing a -0.37, and the buy stop is actually beneath closing price.
I'm leaning towards a market order on open if above 380, but before I do I would like to know how TB will handle this the next Order Generation run if price does indeed open at 385 -- does it assume a fill on open in such a situation? I would like to be consistent with how the system handles these in the backtests.