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Generated Order Types
The following is a complete list of possible order-producing strategy elements showing the specific order types and attributes that will are generated:
|
Strategy Elements
|
Related Time Setting
|
TYPE
|
TIF
|
Good Until Time
|
Good After Time
|
|
EntrySetup (no stop or limit)
|
none or NextOpen
|
MKT
|
DAY
|
|
|
|
EntrySetup (no stop or limit)
|
NextClose
|
MOC or MKT*
|
DAY
|
|
15:58*
|
|
|
|
|
|
|
|
|
EntrySetup + EntryLimit
|
none
|
LMT
|
DAY
|
|
|
|
EntrySetup + EntryLimit
|
NextOpen
|
LMT
|
OPG
|
|
|
|
EntrySetup + EntryLimit
|
NextClose
|
LOC or LMT*
|
DAY
|
|
15:58*
|
|
|
|
|
|
|
|
|
EntrySetup + EntryStop
|
none
|
STP
|
DAY
|
|
|
|
EntrySetup + EntryStop
|
NextOpen
|
STP
|
GTD
|
9:31*
|
|
|
EntrySetup + EntryStop
|
NextClose
|
STP
|
DAY
|
|
15:58
|
|
|
|
|
|
|
|
|
EntrySetup + EntryStop + EntryLimit
|
none
|
STP LMT
|
DAY
|
|
|
|
EntrySetup + EntryStop + EntryLimit
|
NextOpen
|
STP LMT
|
GTD
|
9:31*
|
|
|
EntrySetup + EntryStop + EntryLimit
|
NextClose
|
STP LMT
|
DAY
|
|
15:58
|
|
|
|
|
|
|
|
|
ExitRule
|
none or NextOpen
|
MKT
|
DAY
|
|
|
|
ExitRule
|
NextClose
|
MOC or MKT*
|
DAY
|
|
15:58*
|
|
|
|
|
|
|
|
|
ExitLimit
|
none
|
LMT
|
DAY
|
|
|
|
ExitLimit
|
NextOpen
|
MKT
|
DAY
|
|
|
|
ExitLimit
|
NextClose
|
LOC or LMT*
|
DAY
|
|
15:58
|
|
|
|
|
|
|
|
|
ExitStop
|
none
|
STP
|
DAY
|
|
|
|
ExitStop
|
NextOpen
|
MKT
|
DAY
|
|
|
|
ExitStop
|
NextClose
|
STP
|
DAY
|
|
15:58
|
* order type and time depends on exchange capabilities and settings as defined in ExchangeMap.csv
Special Case for "Day Trade" Strategies
The table above does not cover the ThisClose time setting. That setting is generally not compatible with in-advance order generation as it requires knowledge of the current nearly-completed bar to calculate the strategy formulas.
The one exception to this rule is a type of strategy that enters positions with limit orders and exits that same day with an MOC order as its only exit rule.
To specify this type of strategy so that RealTest automatically generates correct orders, use:
.png)
This will generate a "child" MOC exit order attached to each "parent" entry order.
The entry order is then generated with GTD as its TIF and 15:40 as its expiration time (time can be changed in ExchangeMap.csv).
Support for International Exchanges, Order Types, and Time Zone Names
RealTest uses an ExchangeMap to determine how to correctly map available symbol metadata to correct brokerage orders.
See the above link for full details about the contents and usage of this map file.
The information it contains is used with the OrdersTemplate (also with OrderClerk) to ensure that:
•symbols are correctly translated from Norgate to IB format
•the correct SMART/xxx exchange definition is used in each order
•MOC orders are generated where supported, otherwise GAT <time> is used
•parent LMT entry orders for MOC exit strategies are placed with GTD <time> as appropriate
•NextClose orders are placed as GAT <time> correctly for each exchange (to become "NearClose" orders)
Note that IB does not require the xxx in SMART/xxx to be the exchange on which a stock is listed. It only needs to pin it to the correct stock market, so that the symbol will not be ambiguous. For example, "SMART/AMEX" works fine for all US stocks even though most of them are not listed on AMEX.
DataSource to IB Futures Symbol Mapping
RealTest includes a file called ibfutures_ndu.csv. This file maps Norgate futures symbols to the corresponding IB symbols.
Similarly, the ibfutures_csi.csv file provides mappings for CSI futures symbols to the corresponding IB symbols.
Note that RealTest does not generate CSV futures orders with contract month letters embedded in the symbol. Rather, it includes the contract's expiry date separately in the "Expiry" column.
To use a futures symbol mapping file, you must add e.g. SymChangeList: ibfutures_ndu.csv to your script's Settings section.
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