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                                                   Money Management to read future values (e.g. next day open)

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Andrew Thomas
2022-04-23 18:51:04


My question involves using the advanced money management system to access future price data for a stock. I'm currently using AMM to set the number of shares to buy/sell using the close price of the previous day. However if there is a big jump/drop on the open of the next day (trading day) it leads to big errors. I would like to use the open of the actual trading day to set the number of shares to buy/sell.

Here is a section of existing code (in the OnEndPeriod section)

for(int i=0;i<sorders.Length;i++)
{
TimeSeries open = Data.GetPriceSeries(sorders[i].Symbol, "open");
double newopen = open[0] ; // I think -1 gives the open of the next day - the day the trade will happen

int size = (int)Math.Floor(samount / newopen); // determines shares to buy/sell using the amount of funds per stock (samount) divided by the price of the stock

sorders[i].NbShares = size;
sorders[i].SubmitChanges();
}

I know that [0] is current day and [1] is previous day, and usually [-1] is next day, but it does not seem to work here. Is using an index of [-1] not allowed for a timeseries and if so is there another way to access a future open price in the AMM system to set orders for the day?

Thanks! This seems like a simple question - but I couldn't find the information online.

Best - Andy



QuantShare
2022-05-18 19:30:45

  0

Try to replace the "double newopen" line by this:
double newopen = Data.ParseFormula("a=open(-1);").GetTimeSeries(sorders[i].Symbol, "a")[0];



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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.