AddOrder Statement & Strategy Trading Time

[JeffryBatista]

In this simple Strategy, I need help adding 3 things. An Addorder code that sells any open positions before market close, a way to tell my strategy to only take positions when the market is open and don't take any positions after market close. I will leave the code down below. Any help given is truly appreciated.

#200SMA
input price = close;
input length = 200;
input displace = 0;

plot SMA = Average(price[-displace], length);

#ORDERCODE
def quantity = 100;

def Buy = price >= SMA;
def Sell = price <= SMA;


AddOrder(OrderType.BUY_TO_OPEN, Buy, price, quantity, name = "Buytoopen");
AddOrder(OrderType.SELL_TO_CLOSE, Sell, price, quantity, name = "Selltoclose");

 

[mashume]

In this simple Strategy, I need help adding 3 things. An Addorder code that sells any open positions before market close, a way to tell my strategy to only take positions when the market is open and don't take any positions after market close. I will leave the code down below. Any help given is truly appreciated.

#200SMA
input price = close;
input length = 200;
input displace = 0;

plot SMA = Average(price[-displace], length);

#ORDERCODE
def quantity = 100;

def Buy = price >= SMA;
def Sell = price <= SMA;


AddOrder(OrderType.BUY_TO_OPEN, Buy, price, quantity, name = "Buytoopen");
AddOrder(OrderType.SELL_TO_CLOSE, Sell, price, quantity, name = "Selltoclose");

you can do some things with time in Tos:
to take trades only during regular trading hours:

def rth = if SecondFromTime(0930) > 0 and SecondsTillTime(1600) > 0 then 1 else 0;

you can then add the rth condition to your AddOrder():

AddOrder(OrderType.BUY_TO_OPEN, Buy AND rth == 1, price, quantity, name = "Buytoopen");

to handle your other condition, selling open positions before the close, you can do something similar:

def FiveToGo = if secondsTillTime(1600) < 300 and secondsTillTime(1600)[1] > 300 then 1 else 0;

and add the FiveToGo similarly but with an OR

AddOrder(OrderType.SELL_TO_CLOSE, Sell OR FiveToGo == 1, price, quantity, name = "Selltoclose");

Of course, I haven't actually tested this, but the idea is solid. Tweak to your needs and if it still doesn't work, come on back and let me know what failed.

Happy Trading,
-mashume

EDIT: Changed the AddOrder() above to reflect the need for explicit comparisons as discussed below.

 

[JeffryBatista]

This worked great @mashume but there is one slight issue that I can't figure out. Sometimes the orders don't close out before the market closes which is confusing me a bit. I'll leave the new code along with an image down below to show you an example.

#200SMA
input price = close;
input length = 200;
input displace = 0;

plot SMA = Average(price[-displace], length);

#ORDERCODE

def MarketOpen = if SecondsFromTime(0930) > 0 and SecondsTillTime(1600) > 0 then 1 else 0;
def MarketClose = if secondsTillTime(1600) < 300 and secondsTillTime(1600)[1] > 300 then 1 else 0;

def quantity = 100;

def Buy = price >= SMA;
def Sell = price <= SMA;
def sell2 = price;


AddOrder(OrderType.BUY_TO_OPEN, Buy and MarketOpen, price, quantity, name = "Buytoopen");
AddOrder(OrderType.SELL_TO_CLOSE, Sell or MarketClose , price, quantity, name = "Selltoclose");

The Circle is where the order closed out but the order should have closed where the square is. Any thought on why this could be ?

 

[Memorris]

Would anyone happen to know the specific code that would need to be written to trigger an order when a price moves above or below a simple moving average in a 30min intraday chart?

 

[mashume]

I broke my own rule in the answer I gave you...

have long preferred, and advocate for code to be as explicit in execution as possible, so I assign 1 and 0 to True and False conditions. Many folks take advantage of the logic ToS has which allows you to simply check that any value exists in a variable (rather than a NaN) and don't actually write out their conditions. In the long run, this makes code less legible and harder to debug.

<climbs down off soap box>

When I wrote out your buy and sell conditions, I ignored the fact that I had written out 1/0 rather than True/NaN def operations and so the buy/sell DO find a value (0 or 1) and both are True. So...

AddOrder(OrderType.BUY_TO_OPEN, Buy and MarketOpen == 1, price, quantity, name = "Buytoopen");
AddOrder(OrderType.SELL_TO_CLOSE, Sell or MarketClose == 1, price, quantity, name = "Selltoclose");

See what I changed there? I added the explicit condition that MarketOpen must be 1 (to match the def earlier)

Of course, that may not actually fix anything. But it sure makes it easier to figure out what's going on.

BTW, I note that you have your buy and sell prices set to price... this can lead to impossible to achieve results from backtesting. The signal to buy or sell is generated at the close of any given bar, and that price is the same you attempt to trade at. In reality, trading with ToS, if you wait for a bar to close (as you must to get your signal) then you've already missed the CLOSE price for your trade. You can choose to have ToS buy and sell at the OPEN of the next bar by using OPEN[-1] as your trade price -- it may be more accurate for backtesting.

Happy Trading,
Mashume

 

[JeffryBatista]

Thats a great explanation. Never thought of it like that. The BTW tip at the bottom sounds like it's going to help a lot. I will actually try that right after I type this just wanna put this out. I was playing with the code and noticed that the statement you typed was correct except for 1 small mistake. I believe this is what the problem was because it ended up fixing it. I basically reversed the greater than symbol into a less than symbol in the MarketClose statement and also clarified my buy and sell conditions. The problem was the strategy thought that because I had stated that

def Buy = price >= SMA;
def Sell = price <= SMA;

it opened a position up whenever the price was greater than the SMA when in reality I wanted to buy when the price crosses above the SMA. those are 2 completely different statements. When I changed those 2 things everything started working. I'll leave the edited code down below. Tell me what you think @mashume

#------------EDITED-----------
#200SMA
input SMAprice = close;
input SMAlength = 200;
input SMAdisplace = 0;

plot SMA = Average(SMAprice[-SMAdisplace], SMAlength);

#ORDERCODE

def MarketOpen = if SecondsFromTime(0930) > 0 and SecondsTillTime(1600) > 0 then 1 else 0;
def MarketClose = if secondsTillTime(1600) < 300 and secondsTillTime(1600)[1] < 300 then 1 else 0;

def Price = Open[-1];
def quantity = 100;

def Buy = price crosses above SMA;
def Sell = price crosses below SMA;


AddOrder(OrderType.BUY_TO_OPEN, Buy and MarketOpen, price, quantity, name = "Buytoopen");
AddOrder(OrderType.SELL_TO_CLOSE, Sell or MarketClose, price, quantity, name = "Selltoclose");

 

[mashume]

Thats a great explanation. Never thought of it like that. The BTW tip at the bottom sounds like it's going to help a lot. I will actually try that right after I type this just wanna put this out. I was playing with the code and noticed that the statement you typed was correct except for 1 small mistake. I believe this is what the problem was because it ended up fixing it. I basically reversed the greater than symbol into a less than symbol and also clarified my buy and sell conditions. The problem was the strategy thought that because I had stated that

def Buy = price >= SMA;
def Sell = price <= SMA;

it opened a position up whenever the price was greater than the SMA when in reality I wanted to buy when the price crosses above the SMA. those are 2 completely different statements. When I changed those 2 things everything started working. I'll leave the edited code down below. Tell me what you think @mashume

#------------EDITED-----------
#200SMA
input SMAprice = close;
input SMAlength = 200;
input SMAdisplace = 0;

plot SMA = Average(SMAprice[-SMAdisplace], SMAlength);

#ORDERCODE

def MarketOpen = if SecondsFromTime(0930) > 0 and SecondsTillTime(1600) > 0 then 1 else 0;
def MarketClose = if secondsTillTime(1600) < 300 and secondsTillTime(1600)[1] < 300 then 1 else 0;

def Price = Open[-1];
def quantity = 100;

def Buy = price crosses above SMA;
def Sell = price crosses below SMA;


AddOrder(OrderType.BUY_TO_OPEN, Buy and MarketOpen, price, quantity, name = "Buytoopen");
AddOrder(OrderType.SELL_TO_CLOSE, Sell or MarketClose, price, quantity, name = "Selltoclose");

Same issue with prices...

you need to calculate your moving average with CLOSE and place your orders at CLOSE[-1] (probably -- see notes above )

In the newest version of your code, you're calculating the moving average on a future bar... that gets dangerous and your into serious repaint territory. Proceed with great caution on this road.

-mashume

 

[JeffryBatista]

Same issue with prices...

you need to calculate your moving average with CLOSE and place your orders at CLOSE[-1] (probably -- see notes above )

In the newest version of your code, you're calculating the moving average on a future bar... that gets dangerous and your into serious repaint territory. Proceed with great caution on this road.

-mashume

So you are stating that the Input SMAprice= close should also be changed to the Open[-1] value? because what I did was separate the 2 prices @mashume the Moving average price is set to Close but down at the #orderCode I defined Price as def price= open[-1]

 

[JeffryBatista]

This thread should help you. I basically made a strategy revolving around this concept

https://usethinkscript.com/threads/addorder-statement-strategy-trading-time.8880/

 

[mashume]

So you are stating that the Input SMAprice= close should also be changed to the Open[-1] value? because what I did was separate the 2 prices @mashume the Moving average price is set to Close but down at the #orderCode I defined Price as def price= open[-1]

Not what I meant. I'm still on my first cup of coffee for the day.

You should calculate your moving averages with the current bar, so CLOSE. You should have the trade price in the AddOrder() be OPEN[-1]. That way, your moving average is calculated at the close of a bar and the order price reflects the next moment in time -- the open of the following bar.

sorry for any confusion.

-mashume

 

[Ronin13]

def rth = if SecondFromTime(0930) > 0 and SecondsTillTime(1600) > 0 then 1 else 0;

you can then add the rth condition to your AddOrder():

AddOrder(OrderType.BUY_TO_OPEN, Buy AND rth == 1, price, quantity, name = "Buytoopen");

hello @mashume . i trade the /ES. therefore, i modified the above code slightly to achieve what i am trying to do, which is to test different market sessions (asian, european, american) to see which session my backtest results are mostly attributed to:

def tradinghours = if SecondsFromTime(0700) > 0 and SecondsTillTime(2359) > 0 then 1 else 0;

and hence:

AddOrder(OrderType.BUY_AUTO, RSI crosses above oversold and tradinghours == 1, Close, quantity, Color.GREEN, Color.GREEN);
AddOrder(OrderType.SELL_AUTO, RSI crosses below overbought and tradinghours == 1, Close, quantity, Color.RED, Color.RED);

the above works fine, until i need to go past 2359 hours (for secondstilltime)

the times i have set look odd because i am in asian timezone. so therefore, for me, the asian session is 0700 to 1400, european is 1400 to 2230, and american session is 2230 to 0600 (NYT 0930 to 1700).

as such, how would i need to state my secondstilltime for this to work right?

similarly, how would i need to state my inputs , since input=0700 ends up with just '700' appearing in the def line item?

thanks so much

 

[mashume]

@Ronin13 ,

I too trade almost exclusively futures and so deal with CME hours more than NYSE / NASDAQ hours.

First, please see these threads:
https://usethinkscript.com/threads/...gh-and-low-range-of-a-market.8283/#post-78022
https://usethinkscript.com/threads/...ight-session-on-futures-intraday-charts.2087/
as there is some good stuff in there.

Second, please do check the docs here: https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Date---Time/SecondsFromTime and note that the seconds from time ALWAYS takes eastern time (US). I'm on the US West coast and Seconds...() take east coast times. No need to adjust for daylight savings either.

Also, I think inputs of 700 and 0700 will both work just fine, though I haven't tested it.

Surprisingly, I find that plotting the seconds from or till time as a lower indicator and adding a lot of addVerticalLine commands at various times of day can be quite informative when trying to figure out what ToS is doing at various times of day.

Time in ToS is perhaps second only to Fold() for creating confusion and frustration and confusion among coders. Best of luck, and ask more if you need to . We're here to help.

-mashume

 

[Ronin13]

thanks so much @mashume , appreciate the inputs.

strangely, not sure why my script stops working as intended when i enter seconds from/till as 0930/0500 or the like.

will try read thru the chats you linked and see if i can figure out what's going on...