I am writing a simple strategy in TS that fires orders to NT using the DLL interface. I want my strategy to set a range based on the high and low of the first bar of the day, and then fire off an order the first time either side of the range is taken out. It only executes once per day. The order cannot wait for the bar to close. It must execute as soon as the range is violated.
The following code does this just fine, except TS sends more than one order for the triggering bar when intrabarordering is set to true. This raises two questions regarding this interface:
How can I get just a single order processed?
Why can't NTMarketPosition see that the first intrabar order is placed and prevent the second from being generated.
The following code does this just fine, except TS sends more than one order for the triggering bar when intrabarordering is set to true. This raises two questions regarding this interface:
How can I get just a single order processed?
Why can't NTMarketPosition see that the first intrabar order is placed and prevent the second from being generated.
Code:
[IntraBarOrderGeneration = TRUE]
{DefineDLLFunc: "NTDirect.dll", int, "Setup", lpstr, int;}
inputs: numContracts(2);
variables: nHigh(9999999), nLow(-1);
variables: success(0);
if Date = {CurrentDate} 1071012 then begin
if Date <> Date[1] then
begin
nHigh = High;
nLow = Low;
end;
if NTConnected(1) then
begin
{go long if price > high of 1st bar }
if High > nHigh and NTMarketPosition("") = 0 then
begin
success = NTBuyMarket("FirstBar",numContracts);
nHigh = 99999999;
nLow = -1;
end;
if Low < nLow and NTMarketPosition("") = 0 then
begin
success = NTSellMarket("FirstBar",numContracts);
Print(File("c:\mydata.txt"), "SELL ",CurrentBar, "Date " ,Date, Time, Close, "High: ", High, " LOW: ", Low," NHigh: ", nHigh, " NLOW: ", nLow );
nHigh = 99999999;
nLow = -1;
end;
end;
end; {currentdate}
Comment