|01-23-2011, 07:02 AM||#1|
Join Date: Apr 2010
Thanked 2 times in 1 post
Trading gaps, need a market-on-open for backtesting
I want to write a strategy to backtest a theory that I can make money trading gaps.
I can't work out how best to implement this.
My first attempt was no good because the order is executed on the second bar after the gap is formed, whereas I want to enter at the market as soon as the Open of the first bar arrives.
I realise i can do this in real-time with CalculateOnBarClose = false, but this doesn't work in backtesting.
The closest I can get is to use 1 minute bars but then I see I miss a considerable number of ticks.
Can I place a conditional Market-on-Open i.e. with a stop? I figure this would move into the realm of Unmanaged Orders, as long as I can backtest it.
Can't find anything in the Help or the forum messages.
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