Duration input in Orders.CloseMarketOrder(timing, duration)?

Duration input in Orders.CloseMarketOrder(timing, duration)?

Dave Walton
2015-02-08 20:14:13

Hi QS, in the 'OnEndPeriod' event in AMM, I use Orders.CloseMarketOrder(timing, duration) to open a new position. I'm not clear on what the duration input is used for. Can you clarify? The timing part I get. The order executes at the timing I specify so I don't get the duration.

QuantShare
2015-02-09 01:51:29

Best Answer

Hi Dave,

The "duration" is the number of bars to keep the order active (otherwise it is canceled).
Market orders are not necessarily executed on every bar. Example: Volume filter doesn't pass, no trading data for a specific bar...

Dave Walton
2015-02-15 14:02:23

Thanks QS. I've thought about this some more. So basically you are saying that an order can be generated but will then "hang-out" until market data is valid or the volume filter passes? The duration then gives the maximum number of bars that orders are active and not executed. IS my understanding correct?

QuantShare
2015-02-16 01:43:08

Yes, correct.

Dave Walton
2015-02-16 08:41:37

Thanks QS.

Get more messages

No more messages

Back


Trading Items Google domestic trends data Structural Arbitrage Strategy Sleep Well Bond Rotation Strategy V1.0 System Metrics v2.0 VIDYA - Variable Index Dynamic Average	How-to Lessons How to create a trading system How to dynamically update the settings of an indicator How to create a screen How to import trading items from other accounts How to quickly add a ticker symbol
Related Forum Threads Error in formula simulations and benchmarks Beta and Correlation Parameters Interpret Prediction results and making it useful?	Blog Posts Programming skills are not that important Troubleshooting a Trading System Basic trading system implemented using the money management tool How to combine long, short and custom portfolio strategies within... Compare stocks and securities by creating a relative performance ...