Hey.
I've added a condition to a strategy, that it should close an open order if onTick carries a tick.getAsk() or tick.getBid() past high/low of a stored bar.
Somehow it don't trigger half the time tho.

heres the close order trigger:

    public void onTick(Instrument instrument, ITick tick) throws JFException {
        if (!instrument.equals(this.instrument) || buyBar == null) {
            return;
        }
.........

if (enableShort && isActive(orderShort)) {
            // Short Exit: 
            if (tick.getAsk() > buyBar.getHigh()) {
                exitShort = true;
                print("trigger! :"+orderShort.getLabel()+":"+buyBar.getHigh() + ":"+tick.getAsk() + ":"+tick.getTime());        
            }    

            // Exit
            // Short exit
            if (exitShort) {
                closeOrder(orderShort);
                print("kicker! :"+orderShort.getLabel()+":"+buyBar.getHigh() + ":"+tick.getAsk() + ":"+tick.getTime());
                orderShort = null;
                exitShort = false;
            }
        }
    }

The buyBar is set under onBar() as follows:

    public void onBar(Instrument instrument, Period period, IBar askBar, IBar bidBar) throws JFException {
        if (!instrument.equals(this.instrument) || !period.equals(selectedPeriod)) {
            return;
        }
....
        // Begin Short
        if (enableShort ){
            // Short Open: Open if bar close under ma0
            if (askBar.getClose() < ma0) {
                enterShort = true;
            }
            
            // Open order
            if (enterShort && !isActive(orderShort)) {
                orderShort = submitOrder(OrderCommand.SELL);
                buyBar = askBar;
                print(":"+ buyBar.getHigh());
            }
            enterShort = false;
            
            
            // Short Exit: Bar closing past MA 0
            if (askBar.getClose() > ma0) {
                exitShort = true;
            }
            
            // Close order
            if (exitShort) {
                closeOrder(orderShort);
                orderShort = null;
                exitShort = false;    
            }
        }
    }

When i run this on USDJPY 1H from 4th april 2012 and till today, it'll open an order at 10:00 4/4 2012 but wont close it till 15:00 4/4 2012.
And im pretty sure even the next bar at 11:00 has a high well over 10:00 high.
Is it not reliable to store the bar I've opened an order at, and if so, how would you recommend it done instead?


Filip

The order gets submitted already on the next bar, not the one that you receive in onBar - in onBar you receive already a finshed bar. Consider retrieving the bar in the following way:

    private IBar getOrderCreationBar(IOrder order, Period period) throws JFException{
        long barTime = history.getBarStart(period, order.getCreationTime());
        List<IBar> bars = history.getBars(Instrument.EURUSD, period, OfferSide.BID, Filter.NO_FILTER, barTime, barTime);
        return bars.get(0);
    }

Mind that if the retrieved bar is the currently forming bar then you should not store it in a field, since the IBar object won't get updated on current market price change.

Also consider adding additional print statements for the cases when you think that the strategy should make a trade, but it does not.

Ok. Thanks for that.

I was storing it in order to bypass the history exception bug.
Its not needed for up to date info so it dont need to be updated.