How to prevent a limit order from executing on the next bar if that bar gaps down? - Wealth Lab Forum

How to prevent a limit order from executing on the next bar if that bar gaps down?

Author: djmundus

Creation Date: 7/15/2018 12:31 AM

Wealth Lab » WealthScript (.NET) » How to prevent a limit order from executing on the next bar if that bar gaps down?

djmundus

#1

7/15/2018 12:31 AM

I have very little development experience and none of it is in .NET, so I appreciate everyone's patience...

I have a strategy that uses limit orders for entry. I would like to create a filter so that the limit orders will only execute if the opening price of the next bar does not gap down X% below the close.

Is that possible to do for strategies that are based on daily data? If so, how do I do it?

Eugene

#2

7/15/2018 6:23 AM

It's possible: the Quotes tool have a native Gap filter. Check out the Wealth-Lab User Guide > Quotes > Quotes Pane > Gap Filter and a code sample.

Wealth Lab » WealthScript (.NET) » How to prevent a limit order from executing on the next bar if that bar gaps down?

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