Weird Pair trading Daily Scale Error
Author: gregg
Creation Date: 4/6/2009 5:26 PM
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gregg

#1

4/6/2009 5:26 PM

Hi,
I have a pair trading system that uses both minute (by default) and daily (using SetScaleDaily) data.

I use a couple of daily indicators as entry signals, but run RestoreScale(); right afterwards.

Anyways When I place an order on the second symbol
CODE:
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It executes at the previous days's Close even though, the scale is minute data.

Any ideas?
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Wall

#2

4/6/2009 8:23 PM

QUOTE:
ShortAtClose(bar-1,String.Format("{0:0.0000}", ratio1[bar]) );


Why are you using bar-1 ?
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gregg

#3

4/7/2009 12:01 AM

I was just testing whether entry price would be different for bar / bar -1 / bar + 1 etc ... they all go to the daily price.
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Eugene

#4

4/7/2009 1:39 AM

Calling RestoreScale right away is a prerequisite, great that you're doing it. Can you post more code?
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