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<< Click to Display Table of Contents >> SetParabolicStop() |
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SetParabolicStop()
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<< Click to Display Table of Contents >> SetParabolicStop() |
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Generates a parabolic type trail stop order with the signal name "Parabolic stop" to exit a position. Parabolic stops are amended on a bar update basis, so dependent upon the Calculate setting of the parent strategy. Parabolic stop orders are real working orders (unless simulated is specified in which case the stop order is locally simulated and submitted as market once triggered) submitted immediately to the market upon receiving an execution from an entry order.
Although logic wise very similiar, this technique works different from the ParablicSAR indicator. The indicator will provide trailing stop levels 'always in the market' assuming a constant market position switch, either long or short (reversing). The SetParabolicStop() method in contrast will apply the same parabolic trailing technique sensitive to price acceleration to the custom strategy entry signal / position it is associated with.
Notes: •The SetParabolicStop() method can NOT be used concurrently with the SetStopLoss() or SetTrailStop() method for the same position, if any of methods are called for the same position (fromEntrySignal) the SetStopLoss() will always take precedence. You can however, use all three methods in the same strategy if they reference different signal names. •Parabolic stop orders are submitted in real-time on incoming executions from entry orders •Since they are submitted upon receiving an execution, the Set method should be called prior to submitting the associated entry order to ensure an initial level is set. •A strategy will either generate a trail stop order for each partial fill of an entry order or one order for all fills. See additional information under the Strategies tab of the Options dialog window. •If a profit target order is generated in addition to a trail stop order, they are submitted as OCO (one cancels other) •Parabolic stop orders are submitted as stop-market orders •A parabolic stop order is automatically canceled if the managing position is closed by another strategy generated exit order •Should you have multiple Bars objects of the same instrument while using SetParabolicStop() in your strategy, you should only submit orders for this instrument to the first Bars context of that instrument. This is to ensure your order logic is processed correctly and any necessary order amendments are done properly. •Parabolic stop orders are modified based on the strategies 'Calculate' settings. In the case of 'Calculate' on bar close, when the bar closes the parabolic stop order modification will occur using the closing price of the bar as the reference price to apply the trail offset. Subsequently if the open price of the next bar is significantly higher or lower then the current close price then there is a possibility that the calculated parabolic stop price is now an invalid stop price. This is a risk with modifying any stop order closer to the current market price since any modification above/below the current price would be rejected. |
Syntax
SetParabolicStop(CalculationMode mode, double value)
SetParabolicStop(string fromEntrySignal, CalculationMode mode, double value, bool isSimulatedStop, double acceleration, double accelerationMax, double accelerationStep)
Warnings: •This method CANNOT be called from the OnStateChange() method during State.SetDefaults •CalculationMode.Price is irrelevant for trail stops. Attempting to use this mode will log a message and the stop order be ignored. Please use SetStopLoss() for this mode instead. |
mode |
Determines the manner in which the value parameter is calculated
Possible values are:
Please note in percentage calculation mode a value of 1 is equal to 100%, a value of 0.1 is equal to 10%, and a value of 0.01 will be 1% |
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isSimulatedStop |
If true, will simulate the stop order and submit as market once triggered |
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value |
The value the trail stop order is offset from the position entry price |
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fromEntrySignal |
The entry signal name. This ties the trail stop exit to the entry and exits the position quantity represented by the actual entry. Using an empty string will attach the exit order to all entries. |
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acceleration |
Sets the acceleration value |
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accelerationMax |
Sets the maximum acceleration value |
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accelerationStep |
Sets the step value used to increment acceleration value |
Tips (also see Overview): •It is suggested to call this method from within the strategy OnStateChange() method if your stop loss price/offset is static •You may call this method from within the strategy OnBarUpdate() method should you wish to dynamically change the stop loss price while in an open position •Should you call this method to dynamically change the stop loss price in the strategy OnBarUpdate() method, you should always reset the stop loss price / offset value when your strategy is flat otherwise, the last price/offset value set will be used to generate your stop loss order on your next open position •The signal name generated internally by this method is "Parabolic stop" which can be used with various methods such as BarsSinceExitExecution(), or other order concepts which rely on identifying a signal name |
protected override void OnStateChange()
// Sets a parabolic stop of with a currency floor of 500 SetParabolicStop("MyLongEntry", CalculationMode.Currency, 500, false, 0.03, 0.3, 0.01); |
