Prioritize execution of strategy for multiple symbols?

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Xyzzy
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Prioritize execution of strategy for multiple symbols?

Postby Xyzzy » 09 Dec 2011

This question is somewhat related to another question that I just posted, but is distinct. I have a gap-open strategy that executes at the close of the first bar, based on the following pseudo-code:

Code: Select all

If Date <> Date[1] then begin
    If Condition1 then Buy Next Bar at Market
end ;


It's applied to four separate symbols, @EMD, @ES, @NQ, and @YM, based on one-minute bars. Consequently, they all fire at essentially the same time, at the close of the 09:30 bar.

Is there any way to prioritize the order in which the signals are applied? For example, assume that I want the signal to execute in alphabetical order for the symbols, with the @EMD signal firing first, then @ES firing second, then @NQ, and finally @YM.

I'm basically looking for some way to replicate the keyword "PortfolioEntriesPriority" for the Portfolio Backtester, but on charts during live trading. Is there any way to determine the priority in which close-of-bar signals are calculated? Or is it essentially just random, based on when the each chart receive particular ticks from the data provider?

If it's the latter, one possibility would be to turn on IOG, and then have the symbols execute at different times, based on seconds. For example, I could use "If Time_S = 093101," "If Time_S = 093102," etc., to determine the priority for particular signals. Would this work?

Many thanks in advance.

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Henry MultiСharts
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Re: Prioritize execution of strategy for multiple symbols?

Postby Henry MultiСharts » 09 Dec 2011

Unfortunately there is no analogue for Portfolio Backtester keyword "PortfolioEntriesPriority" for strategy trading.
You need to form the trading priority. Symbol execution based on seconds pattern you have describe above should function.
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