Can Wealth-Lab Generate a "Limit on Close" (LOC) Order?
Author: 123blee9
Creation Date: 6/15/2017 7:27 PM
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123blee9

#1
I can naturally code a strategy that trades on the close based on a limiting price, though I am not certain as to how to generate an actual LOC order from within WealthLab that can be queued for a Fidelity trade. Firms are often required to accept LOC and MOC type orders no later than 15 to 20 minutes prior to market close, though they can be cancelled up to the close.

Also, I assume there is a means to code a LOC strategy that generates the order such that it is submitted to the trading queue prior to the 15-20 minute requirement, whichever Fidelity uses.

Thanks,

Brian
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Eugene

#2
If the Limit price is from [bar-1] or earlier (i.e. preceding the [bar] on which you generate the order), you can simulate a conditioned AtClose order.
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123blee9

#3
I can simulate for prices for the current bar as well (ex. LOC limit price of Bars.Open[bar] ). I'm curious how to generate an actual LOC order from WealthLab to transmit to Fidelity where it will be sent 15+ minutes before the close.
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Eugene

#4
Open[bar], you're right. You can generate an actual AtMarket, AtClose, AtLimit or AtStop order - but not LOC.
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Cone

#5
Notes about "AtClose" orders:

1. "AtClose" signals are for backtesting only.

2. Even if you generate an "AtClose" Alert, it cannot be Staged or Placed in the Orders tool. (Note that most Strategies that use AtClose orders actually use the current bar's data, which is unrealistic.)

3. In live trading, "AtClose" orders must be received (by AT Pro) at the exchange 10 minutes (Nasdaq) or 15 minutes (NYSE) before the session's close. Within those last 10 minutes the order cannot be canceled or changed - although I think you can change the number of shares on the Nasdaq.

Long story short, you cannot use Wealth-Lab Pro to place even MOC orders. More information in the Wealth-Lab menu Help > WealthScript Programming Guide > Programming Trading Strategies > Alerts > How to: Alert for AtClose Signals