danielkrizian / danielkrizian/strategery
Limit order support
- Dominant language
- R
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Description
1.) Limit orders (with delays for a few days/bars)
2.) Stop orders (also like buy stop, sell stop when I need to be patient with entry/exit after signal in order for price to come to my desired level - look at quantstrat luxor demo for example)
3.) One Cancel Another (OCA) type
4.) MOC/MOO orders
An example can be strategies like fading the gaps or some break out trades or fading trades).
"fire and forget" (Scott Andrews) gap fading technique:
1.) Enter long(down gap)/short(up gap) with a limit order a particular threshold away from closing of day before (in order to trade only gaps that are bigger than 0.1 in SPY for example)
2.) If filled enter:
2.1.) take profit as limit order with OCA group identifier "SPYGAP" for example
2.2.) take profit as MOC order with OCA group identifier "SPYGAP" for example
2.3.) stop order some value in ATR unites away from fill price with OCA group identifier "SPYGAP" for example
pullback buying:
if I get the signal on today's market close (current bar) then I will buy next day (next bar) if there is further pullback use a limit order below close of the day (bar) of the signal...
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