Timing of range bar C calculation

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wall richard
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Timing of range bar C calculation

Postby wall richard » 25 May 2012

When is range bar C calculated? Before or after New Open?

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Henry MultiСharts
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Re: Timing of range bar C calculation

Postby Henry MultiСharts » 25 May 2012

For Point (Range) resolution chart type:
The bar closes when the following condition is met:
Modulus |High - Low| > chart resolution * (MinMovement / PriceScale)
Price difference in points is equal to selected chart resolution.
A new bar is formed from the remainder of tick price with MinMovement*PriceScale offset.
The volume is allocated proportionally between all bars built from the tick (i.e. summarized tick volume is equal to summarized bars volume).
One tick is included into a bar only once (if the tick is split up-it will be calculated in the first bar, the bars will receive 0).

wall richard
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Re: Timing of range bar C calculation

Postby wall richard » 25 May 2012

Henry,

I am under the impression that in Range bars the C is calculated on the following first tick of the new open. The signal I'm trying to write trades on the first tick at the open, but also needs the data of the most recent close. Is there a way to calculate the last C and using that data order and execute a trade all during the opening tick?

Thanks,

Rick

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Henry MultiСharts
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Re: Timing of range bar C calculation

Postby Henry MultiСharts » 30 May 2012

wall richard wrote:Is there a way to calculate the last C and using that data order and execute a trade all during the opening tick?

You are describing a regular realtime calculation mode (no IOG). The script is calculated on the bar close. Order is placed on this bar close/ next bar open.

This Bar on Close order is sent on the close of the signal generation bar.
Only market orders can be sent This bar.
Buy Next bar at open = Buy Next bar at Market


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