519
edits
Changes
Jump to navigation
Jump to search
When detected automatically, '''MaxBarsBack '''will initially be set to the value of the largest data offset in the study; however, if a variable data offset is used in the script, the initial '''MaxBarsBack ''' value may prove to be too small. In such a case, the '''MaxBarsBack '''value will automatically be increased by 5 or by a factor of 1.618, whichever yields a higher value, and the study recalculated. The process of automatic '''MaxBarsBack '''detection may cause some functions to be executed repeatedly for the first few bars of a chart when a study is first applied; this can be avoided by setting the '''MaxBarsBack ''' value manually. To select the smallest '''MaxBarsBack '''value sufficient for a particular studystrategy, set the value manually. The recommended initial '''MaxBarsBack '''value is 50to the largest data offset across all signals applied to a given chart.
<tr class="QMtr"><td |colspan="4" class="QMtd" align="center">|'''Order Execution Priority Table'''</tr><tr class="QMtr">|-<td |colspan="4" class="QMtd-odd" align="center">|Higher value indicates greater priority</tr>|-<tr class="QMtr"><td class="QMtd">|'''Position'''<td class="QMtd">|| ''' Flat '''<td class="QMtd">||'''Long'''<td class="QMtd">||'''Short'''</tr>|-<tr class="QMtr"><td class="QMtd">|'''Long Entry'''||'''1'''||'''1'''||'''23 '''</tr><tr class="QMtr">|-<td class="QMtd">|'''Short Entry'''||'''1'''||'''23 '''||'''1'''</tr><tr class="QMtr">|-<td class="QMtd">|'''Long Exit'''||'''-'''||'''12 '''||'''-'''</tr>|-<tr class="QMtr"><td class="QMtd">|'''Short Exit'''||'''-'''||'''-'''||'''12 '''</tr></table>|}
PowerLanguage studies can be used with the charts created by the MultiCharts trading platform and with the Portfolio BacktesterTrader.
PowerLanguage studies operate on price data, organized as a series of data points, based on a defined interval and arranged in a chronological order. Each data point is a summary of a group of price points (ticks) that includes the price values of the first and of the last tick, as well as the range of price movement over the defined interval. Data points also include additional data, such as date and time of the last tick and trade volume.
In this guide, references to charts are used as a visualization tool to aid in understanding how the PowerLanguage scripting works.
PowerLanguage studies are divided in to into two main types: Indicators and Signals.
An '''Indicator''' is a visual technical analysis tool, used to analyze market conditions and identify and forecast trends and market patterns. An indicator is a visualization of a mathematical formula, and consists of one or more '''Plots''' – lines, histograms, series of points or crosses, highs and lows, left and right ticks, or a combination of the above, displayed on a chart. Indicators are computed using only price, volume, and (occasionally) open interest data.
A bar is considered completed when it is closed and no additional ticks can be added to it.
* For time-based charts, the bar is closed once the first tick with a time stamp past the bar's interval is received, or if no additional ticks are received for a period of three 300 seconds.
* For tick-based charts, the bar is closed once the defined number of ticks has been reached.
* For range-based charts, the bar is closed once the tick with a price outside of the original bar's range has been received.
<br>
=== The Maximum number of bars a study will reference (Signals) ===
When a value of a bar '''N''' bars ago is referenced in a script, the study can only be visualized starting with the '''N + 1''' bar.
The number of previous bars that must be available for a script in order to start performing calculations is called '''Maximum number of bars a study will reference''', or '''MaxBarsBack'''. The '''MaxBarsBack''' value can for the signals should be selected to be detected automatically or set manually.
Learn more about setting '''MaxBarsBack''' values for [[Strategy_Properties|Signals]]
<br>
=== Order Execution Priority ===
{| class="wikitable"
Multiple same-direction orders are assigned priority relative to each other based on the order in which the order statements are listed in the signal script. When multiple signals are combined to create a strategy, same-direction orders generated by different signals are assigned priority relative to each other based on the order that the signals appear under the '''Signals''' tab in the '''Format Objects''' window.
When multiple signals are combined to create a strategy, same-direction orders generated by different signals are assigned priority relative to each other based on the order that the signals appear under the '''Signals''' tab in the '''Format Objects''' window. Once the orders are sorted, the order that has the highest priority is executed. It is important to note that an entry order in the direction, opposite to the current position, will not simply cover the position, but actually reverse it. For example, a Long 1 order, executed for a Short 1 position, will result in a Long 1 and not in a Flat position.
Taking in to account the change in position, resulting from execution of the order, the remaining orders are sorted again, and the order that has the highest priority is executed.
This procedure is repeated until all the orders are executed, or until none of the orders left can be executed – for example, only Exit orders are left and the position is flat.
If the only Entry orders left are in the same direction as the current position, these orders will only be executed if '''Pyramiding''' is enabled. Pyramiding settings allow the number of entries in the same direction to be limited to a set number.
Any orders left that could not be executed are discarded.
'''Order Execution Priority example:'''
Multiple orders are generated, in the following order: Short exitExit, Short entryEntry, Long entryEntry, Long exitExit, and Long entryEntry.
The current position is '''Short'''.
The net result of executing the above orders, from a Short position, will be a Flat position.
<br>
=== How Orders Are Sent Depending on the Last Bar Status ===
Three collections of orders are filled on each calculation: This Bar Close, Next Bar Market, Next Bar Price.<br>
If the last bar status of the base data series is closed (2 or -1) — This Bar Close orders are sent.<br>
If the last bar status of the base data series is opened (0 or 1) — Next Bar Market, Next Bar Price orders are sent.<br>
After the batch of orders is sent, it is cleared and will be filled only at the next calculation.<br>
<div style="background-color: #E5F6FF;">Tip: It is possible to view bar statuses (bar status from the chart, not from the script is meant) with the help of an indicator that updates on every tick..</div>
'''Examples'''<br>
''Situation 1''<br>
''2 and 2, where the number stands for the bar status from the script.''<br>
Only This Bar Close orders are sent if there are no new bars on the chart by this moment.<br>
If there is the new bar on the chart by this moment, Next Bar Market, Next Bar Price orders will be sent next.<br>
''Situation 2''</br>
''2 and 1''<br>
Only This Bar Close orders are sent if there are no new bars on the chart by this moment.<br>
If there is the new bar on the chart by this moment, Next Bar Market, Next Bar Price orders will be sent next.<br>
''1 and 2''<br>
Nothing is sent until the bar of the base data series is closed.<br>
''Situation 3''<br>
''1 and 2''<br>
Nothing is sent.<br>
''2 and 1''<br>
Only This Bar Close orders are sent if there are no new bars on the chart by this moment.<br>
If there is the new bar on the chart by this moment, Next Bar Market, Next Bar Price orders will be sent next.<br>
''Situation 4''<br>
''1 and 2''<br>
Nothing is sent.<br>
''2 and -1''<br>
Only This Bar Close orders are sent if there are no new bars on the chart by this moment.<br>
If there is the new bar on the chart by this moment, Next Bar Market, Next Bar Price orders will be sent next.<br>
[[Category:PowerLanguage]]
