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Explosion spread
 Post subject: Explosion spread Post rating: 0   New post Posted: Fri 17 Nov, 2017, 02:15 
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Bonjour,
J'aimerais savoir s'il existe un paramètre pour stopper provisoirement des exécutions d'ordres dans une stratégie lorsque les spreads augmentent soudainement.
Merci,
Olivier


 
 Post subject: Re: Explosion spread Post rating: 0   New post Posted: Fri 17 Nov, 2017, 12:29 
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Bonjour,

Il n'y a pas vraiment de paramètre pret à l'emplois pour ceci mais vous pouvez simplement le développer :
Calculer le spread à certains temps où les risque d'élargissement augmentent (Tick Ask - Tick Bid)
Bloquer le flux si le spread dépasse le seuil souhaité.


 
 Post subject: Explosion spread Post rating: 0   New post Posted: Mon 20 Nov, 2017, 00:00 
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Je vous remercie pour votre retour.
J'ai donc essayé de me servir de vos éléments dans ma strat. Je suis parti de onTick pour calculer sur chaque tick le spread et une fois ce dernier supérieur à 10 pips j'aurais souhaité suspendre provisoirement la strat avant de la réactiver une fois le spread revenu sous les 10 pips. Malheureusement j'ai seulement pu arrêter la strat. Je n'arrive pas à suspendre provisoirement le flux.
Merci pour votre aide !
Bien à vous,
Olivier


 
 Post subject: Re: Explosion spread Post rating: 0   New post Posted: Mon 20 Nov, 2017, 00:02 
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le fichier de ma strat


 
 Post subject: Re: Explosion spread Post rating: 0   New post Posted: Mon 20 Nov, 2017, 13:39 
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Le voilà ;)


Attachments:
SPREAD.vfs [78.24 KiB]
Downloaded 307 times
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 Post subject: Re: Explosion spread Post rating: 0   New post Posted: Mon 20 Nov, 2017, 14:12 
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Bonjour,


Voici un exemple avec des commentaires...


Attachments:
SPREAD_V2.vfs [85.86 KiB]
Downloaded 288 times
DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control on their content. Anyone accessing this webpage and downloading or otherwise making use of any document, data or information found on this webpage shall do it on his/her own risks without any recourse against Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from the use and/or reliance on any document, data or information found on this webpage.
 

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