Emerald Trading Technologies, Inc.

Transcription

1 ProfitProtector Breakthrough Capability for Professional Automated Strategy Traders Prerequisites: TradeStation V9.5 Update 17 or later and real-time data subscriptions. Before using this in live trading you should thoroughly test it and familiarize yourself with its operations in the Simulation Mode. When live trading, you should closely monitor the operation of the Profit Protector. Contact: Phone: Disclaimer: Neither TradeStation Technologies nor any of its affiliates has reviewed, certified, endorsed, approved, disapproved or recommended, and neither does or will review, certify, endorse, approve, disapprove, or recommend any product that offers training, education or consulting regarding the use of EasyLanguage. Emerald, its employees, affiliates and agents (EMERALD) are NOT soliciting or offering securities, security derivatives, investment products/services or trading/investment advice. Investment in securities involves substantial risks and should not be undertaken without understanding all the risks related to the sale and purchase of securities. You have sole responsibility for determining the appropriateness of, when and on what terms to engage in any trading transactions. When investing in securities, YOU CAN LOSE MONEY, INCLUDING MORE THAN YOUR PRINCIPAL. The software described herein is designed to be a tool to assist you trading. THIS SOFTWARE IS PROVIDED "AS IS" AND ANY EXPRESSED OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL EMERALD BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; FINANCIAL OR NON-FINANCIAL LOSSES, OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS software, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. Without limiting the foregoing, EMERALD makes no warranty that 1) the software will meet your requirements, 2) the software will be uninterrupted, timely, secure or error-free, 3) the results that may be obtained from the use of the software will be effective, accurate or reliable, 4) the quality of the software will meet your expectations, and 5) any errors in the software will be corrected. This software and its documentation could include technical or other mistakes, inaccuracies or typographical errors. EMERALD may make changes to the software or documentation without notice. The documentation may be out of date and EMERALD makes no commitment to update such materials. EMERALD assumes no responsibility for errors or omissions in the software or documentation. In no event shall EMERALD be liable to you or any third parties for any special, punitive, incidental, indirect or consequential damages of any kind, or any damages whatsoever, including, without limitation, those resulting from loss of use, data or profits, financial or non-financial losses, whether or not EMERALD has been advised of the possibility of such damages, and on any theory of liability, arising out of or in connection with the use of this software. The use of this software is done at your own discretion and risk and with agreement that you will be solely responsible for any damage to your computer system or loss of data that results from such activities. No advice or information, whether oral or written, obtained by you from EMERALD shall create any warranty for this software. 9/19/2017 Emerald 1

2 ProfitProtector (PP) Breakthrough Capability for Professional Automated Strategy Traders Automated is NOT Fool Proof 1, but the ProfitProtector provides the next best thing. The ProfitProtector provides more protection than offered by a Cloud Server against Internet & Power outages. The ProfitProtector also fixes many other significant issues and limitations with automated trading. Protects against software freeze/failure and Power/Internet Outages 2 Reliable Limit order fills with minimum slippage 3 Eliminates lost orders 4 Eliminates reverse failures 5 Automatically exit just before Market Close or when a Daily Profit Target/Stop Loss Hit Keeps strategy in sync with manual (discretionary) position overrides Works with Equities( stocks ), Futures and Forex Supports scalping strategies Supports ALL bar types 6 NO strategy conversion 7 Ease of Use 8 1 See Page 3: The Myth of Fool Proof Fully Automated 2 Using a Protective OCO Exit Bracket. In addition to the standard OCO Exit Bracket Stop Market order, Stop Limit Order and Trailing Stop options are offered 3 SMART LIMIT ORDER FILL CONVERSION to market orders to insure fills with minimum slippage: Converts to Market orders based on elapsed time, volume at Limit price, ticks pullback and the Bid/Ask ratio. Works for manually issued Matrix orders as well. 4 Lost orders are typically exit orders lost by Strategy Automation. Exit orders become part of the Protective OCO Exit Brackets, which are managed outside the strategy. 5 When reversing positions from Long to Short or Short to Long using Limit Orders. Combines reversing Market orders into single orders for Future/Forex. 6 All features work with ALL Bar Types: Intraday, Daily, Weekly, Monthly, Tick, Volume, Kase, Kagi, 3-line Break, Point & Figure, Renko, Range, and Momentum 7 Regular strategies, Black Box or App Store strategies where source code unavailable 8 Interactive Console provides real-time control and status of live trading strategies 9/19/2017 Emerald 3

3 ProfitProtector The Myth of Fool Proof Fully Automated The Myth: Fool Proof Fully Automated. Develop a great algo or rule-based strategy, turn it on, and have it earn money like an ATM machine, while you are at work, or visiting friends, or doing anything else. But the truth is that if software is involved issues can emerge. And when many layers of sophisticated software are involved, starting with your PC, the PC Operating System, TradeStation, your strategy, the Internet, TradeStation Order Servers, and ending finally at the Exchange computers, there are many potential failure points. So manual oversight ( attending ) of automated trading is recommended. As we will see below, attended trading is NOT a guarantee that things will always go right. However, TradeStation automated trading combined with the ProfitProtector is the next best thing to, and sometimes better than, attended automated trading. So you ask, what is the worst that can happen if a problem emerges? Let me answer this with a true story. I know it is true because it happened to me. I was trading an automated TradeStation App Store strategy that I subscribed to. The strategy was trading half-hour bars on the ES-mini, the S&P500 Index Futures Contract, and had me in a 1 contract long position. Just 1 ES-mini contract. It was running on a laptop which was dedicated to trading there was very little other software on the laptop to keep it a clean environment there wasn t even on the laptop. And there were no other programs running at the time. Now the strategy would allow substantial draw downs to occur at times, and today seemed to be no different. But after hours went by with the draw down having grown to in excess of $1,000, I started to dig into check things out. Well, it appeared that somehow the strategy lost track of the stop loss order, and should have gotten out much earlier. Now prior to Emerald Technologies, I had worked for TradeStation for nearly 5 years as an EasyLanguage Engineer. ( EasyLanguage is TradeStation s programming language for creating strategies and indicators. ) I answered 17,000+ posts on the EasyLanguage Support Forum during that time. I had written thousands of indicators and strategies. And yet with all this experience I was caught off guard. So if it can happen to me, it can happen to you. And this event did not include a PC hang, Power or Internet outage which are some, but not all of the potential failure modes. If you think, as many do, that running TradeStation, or any TradeStation competitor, on the cloud will eliminate all these issues: Think Again. Certainly, there are cloud computing services that will dramatically reduce the likelihood of a Power and Internet outages. And they are not free, and good ones are not cheap. But as I just discussed, and for the problem I experienced, cloud computing would have made no difference. So cloud computing doesn t come close to preventing all the issues. Once a strategy is written in TradeStation s EasyLanguage, with a few clicks you can fully automate the strategy to trade: Look Ma, No hands. But this is just where things get interesting. As I explained above, things may not always work right, and you may not even know they are not working right when you are sitting right at the PC. 9/19/2017 Emerald 2

4 ProfitProtector (PP) Table of Contents Topic Page Quick Start Guide Copying the Original App Workspace... 8 Select and insert your trading strategy(s) on the chart. 9 Verifying Correct Settings on the General Tab of the Strategy Properties Window Verifying Strategies are Set for Fully Automated Verifying All Strategies Are Set to Adopt the Real-world position Save All Workspaces Turn On Strategies to Begin Fully Automated Live.. 14 Strategies Turn Off and the Events Log Window Pops Up.. 16 What To Do If A Warning Or Abort Window Appears Disclaimer Overview: Setting the ProfitProtector Strategy Inputs To Control Operation.. 19 Overview: Setting the Console To Control Operation. 21 9/19/2017 Emerald 4

5 ProfitProtector (PP) Table of Contents Topic Page ProfitProtector INPUTS and Console - AccountID MaxSecsForStratStartupAfterChartRefresh ConvertReverseOrdersToSingleOrders IssueProtectiveOCOExitBracketOrders OCOBracketDefaultProfitTgtTicksFromEntry OCOBracketDefaultStopLossTicksFromEntry SetOCOStopMarketToTrail SetOCOStopMarketToStopLimitOrder OCOStopLimitTicksFromExit FloatOCOExitBracketAroundCurrentPrice AdjustFloatingOCOExitBRKTAfterXTicksPrcChg TrailFloatingOCOExitBracket AllowBracketToBeManuallyCancelled DailyProfitTgtChart ProfitTgtTrendLineColor ProfitTgtTrendLineSize ProfitTgtTrendLineStyle DailyStopLossChart StopLossTrendLineColor StopLossTrendLineSize StopLossTrendLineStyle /19/2017 Emerald 5

6 Topic ProfitProtector (PP) Table of Contents (Continued) Page ProfitProtector INPUTS and Console ( Continued ) - ExitTimeOfDay ExitAtMarketClose ExitSecondsBeforeTimeOfDayOrMarketClose MSTimeoutPositionMismatch CancelOpenOrdersWhenFixingPositionMismatch ConvertEntryLimitToMktOrderWhenTouched ConvertExitLimitToMktOrderWhenTouched MSTimeoutToConvertEntryLimitToMktOrder MSTimeoutToConvertExitLimitToMktOrder VolumeToConvertEntryLimitToMktOrder VolumeToConvertExitLimitToMktOrder TicksPullbackToConvertEntryLimitToMktOrder TicksPullbackToConvertExitLimitToMktOrder LEorSXBidAskRatioToConvertLimitToMktOrder 55 - SEorLXAskBidRatioToConvertLimitToMktOrder BlockStratOrdersWhenUnfilledManualOrder IssueSoundAlertWhenPositionMismatchFound AlertSoundFile DisableControls PrintDebugFile and HelpLinkToUserManual.. 61 Example of Automated With Protective OCO Exit Bracket Typical Strategy Automation Warning Window That Appears At Times /19/2017 Emerald 6

7 Quick Start Guide 1. Start up TradeStation(TS) on your PC in the Simulation Mode. Always first test any trading related product in the Simulation Mode with live data before using it for actual live trades. Follow the TS QuickStart guide if you are new to TS to learn basic capabilities, such as how to create and format charts, and how to insert, format and run indicators (Analysis Techniques) and strategies on a chart. TS also has excellent free video tutorials ( TradeStation.com: Scroll to the bottom, select COMMUNITY and then login. ) 2. Select from the top menu of your TS platform: View -> App Store Updates. A window will pop up. Find and Launch the ProfitProtector(PP). The PP workspace will automatically open. When the workspace is first opened you should see it filled by a large chart, and a small window will pop-up with 2 buttons at the bottom. Click on the button: Open Windows with Items Enabled, as shown here: 3. Make one or several copies of the workspace by saving it to a different name ( Page 8 ). Only work with copies of the original App workspace never work with the original workspace. Close the original workspace, which is your backup in case you have problems with any workspace copy. 4. Using the workspace copy, right click on the chart in any open area, select Format Symbol from the top of the drop-down menu, and set the chart to the symbol you want to trade. The chart is required even if issuing manual orders using the Order Bar or Matrix. 5. If you are using automated trading strategies, insert them on the chart (P. 9) If manually trading, do NOT insert any trading strategies on the chart. You should find the Profit Protector(PP) strategy already inserted on the chart. When the PP is displayed in the Format Analysis Techniques & Strategies Window, you will see a small puzzle icon to the left of this strategy, indicating it comes from the App Store. The strategy name includes the PP product name prefix, so it appears as ProfitProtector - _ProfitProtector. To control how the PP operates Format the PP strategy Inputs before you turn on the PP, or using the PP Console displayed on the right side of the chart( Pages ). 6. Insert your trading strategies and set the ProfitProtector(PP) Inputs to what you desire and then turn OFF all the strategies on the chart. Note the settings on the General Tab of the Strategy Properties Window should be correctly set when the workspace is downloaded, but you may want to verify they are correct ( Page 10 ). Next verify the strategies are enabled for Fully Automated trading( P 11 ). Then Verify the strategies are enabled to Adopt the Real-world position( Page 12 ). Then save the workspace( Page 13 ). At this point you can close the workspace and re-open it, and everything should be set for Fully Automated trading as soon as you turn on the PP strategy and your trading strategy. 7. Turn on the ProfitProtector and Strategies( Pages ) to begin fully automated live trading. When Fully Automated trading is enabled and turned on this is indicated by a small green block in the upper left corner with red capital letters, SA, as shown here: The Console Form on the right should also appear( Page 21 ). 8. If an Error, Abort or Events Log Window Pops Up, the ProfitProtector and Strategies may be turned off, requiring you to take corrective action ( Pages 16 & 17 ). 9. As soon as the ProfitProtector(PP) is turned on you will see a large window appear containing the PP Disclaimer (P. 18). Please read it carefully. You must then click on the I Agree button at the bottom of the window to continue operation. Start will begin to blink on the top of the Console. Clicking on it will then start trading( P. 21) the Console must be used to start live trading. The PP Disclaimer only appears the first time you turn on PP after opening the workspace. An example image of trading with a Protective OCO Exit Bracket in place can be seen on P. 63. Strategy Automation Warning windows ( P. 63 ) may appear when the strategy is being resynced with the real-world position( if you have enabled Issue Alerts you will also hear an audible alert each time a resync happens. ) When this happens you can ignore the window just slide it out of the way off to the side of the chart. 10. When the ProfitProtector(PP) is turned on it will automatically insert a companion indicator on the chart, called _ProfitProtectorV1_Companion. This indicator helps the PP do its work. It has no Inputs. If the Chart is refreshed manually or due to a data interruption, you may find multiple copies of the _ProfitProtectorV1_Companion indicator inserted on the Chart. If any are turned on ( Status set to On ), only a single one should be turned on. 11. If you are prompted by pop-up windows to approve automated trades, select from the top menu: File -> Preferences -> TradeStation Order Entry -> Equities/Options/Futures -> Validations & Confirms and disable the Order Bar, Macros and Order Placement Objects. You may need to disable/ adjust other items as well. Restart TS for these changes to take effect. 9/19/2017 Emerald 7

8 Profit Protector Copying the original App Store Workspace to a new Workspace Never work with or modify the original workspace 9/19/2017 Emerald 8

9 Profit Protector Select and insert your trading strategy(s) on the chart 9/19/2017 Emerald 9

10 Profit Protector Verifying Correct Settings on the General Tab of the Strategy Properties Window To get to the Strategy Properties Window shown on the right, left click on the Properties for All button on the Format Analysis Techniques & Strategies Window shown above. Verify all the settings are as shown in the red highlighted area to the left 9/19/2017 Emerald 10

11 Profit Protector Verifying Strategies are Set for Fully Automated To get to the Format Analysis Techniques & Strategies Window shown on the right, right click on an open area of the chart. The drop-down menu shown above will appear. Then left click on Format Strategies and the Format Analysis Techniques & Strategies Window will open. Verify all the settings are as shown in the 2 red highlighted areas. 9/19/2017 Emerald 11

12 Profit Protector Verifying All strategies Are Set to Adopt the Real-world position To get to the Strategy Properties Window shown on the right, left click on the Properties for All button on the Format Analysis Techniques & Strategies Window shown above. 9/19/2017 Emerald 12

13 Profit Protector Save ALL Workspaces Click on hear to save all workspaces 9/19/2017 Emerald 13

14 Profit Protector Turn On Strategies to Begin Fully Automated Live Select each strategy by left clicking on the strategy row. Then left click the Status button to turn the strategy on. Then left click on the Close button and Live trading will begin. 9/19/2017 Emerald 14

15 Profit Protector Turn On Strategies to Begin Fully Automated Live (Continued) 9/19/2017 Emerald 15

16 Profit Protector The Strategies Turn Off and The Events Log Window Pops Up 9/19/2017 Emerald 16

17 Profit Protector What To Do If A Warning or Abort Window Appears 9/19/2017 Emerald 17

18 Profit Protector Disclaimer This Disclaimer will be Displayed when the Profit Protector first starts up. You should read it and click on the I Agree Button in order to continue. Clicking on the I Do Not Agree Button turns OFF the Profit Protector. The Disclaimer is only displayed the first time the Profit Protector is started after the workspace is opened. It will not appear again until the workspace is closed and then re-opened again. 9/19/2017 Emerald 18

19 Overview: Setting the PP Strategy Inputs To Control Operation The ProfitProtector(PP) has many Inputs to control its operation. You can set these Inputs by right-clicking on an open area of the chart, then select Format Strategies from the drop-down menu. The Format Analysis Techniques & Strategies Window will then be displayed, with the PP strategy shown at the top. The Status of the PP strategy will be OFF. To Format the PP Strategy Inputs click on the Status button to turn the PP strategy ON, and then click on the Format Button, as shown below. Drop-Down Menu 9/19/2017 Emerald 19

20 Overview: Setting the PP Strategy Inputs To Control Operation (Continued) The Format Strategy window will next open on the Inputs Tab showing the Inputs, as shown below. Note that: 1) By saving the workspace after you make any changes to the Input settings, the new Input settings will become the default values the next time you open the workspace. 2) Most of these Inputs can be changed on the Console Form which is displayed on the right side of the chart, as soon as the strategies start up. 9/19/2017 Emerald 20

21 As mentioned in the prior slide, the Console Form, displayed on the right side of the chart, allows most of the Profit Protector strategy Inputs to be controlled directly from the menu. On the following pages each Input will be explained and its counterpart on the Console Form will be shown. The strategy Inputs set the starting DEFAULT values displayed on the Console Form. Overview: Setting the Console To Control Operation Click on Start to start fully automated trading. After trading has started KILL TRADING will appear. Click on this to halt trading and exit to flat. After trading has been Killed, a blinking KILLED TRADING: RESTART will appear. Click on it to restart trading. 9/19/2017 Emerald 21

22 Setting the AccountID Strategy Input AccountID: Default: ( 2 double quotes with nothing between - empty ). If left empty it will use the default account associated with the chart symbol. Or you can insert a specific Account ID between the double quotes, like SIM123456M to override the chart default account. AccountID 9/19/2017 Emerald 22

23 Setting the MaxSecsForStratStartupAfterChartRefresh Strategy Input MaxSecsForStratStartupAfterChartRefresh: Default: 10 Min Value: 1, Max Value: No upper limit. This value cannot be changed on the Console Form. This represents the maximum time in seconds allowed after the Chart is refreshed, either manually, or by some event, like a data outage, for the PP strategy to restart automatically. If more time than 10 seconds is required, the PP strategy will be aborted. The number of historical bars is the primary thing which controls how long it takes the strategy to restart. So try to minimize amount of history the chart requires for a fast PP restart. If you have a trading strategy which requires a lot of history before it makes entries or exits, then you can increase the value beyond 10 seconds. You can estimate the time for the restart after a chart refresh by starting up the PP and trading strategy, and after the Console Menu appears, left click on an open area of the chart to select it, and then hold down the CONTROL (Ctrl) key while typing the R key. This will cause the chart to manually refresh. Time how many seconds elapse until you see the Console Menu repaint and enter a number 4 to 5 seconds larger than that for the value. MaxSecsForStratStartupAfterChartRefresh 10 { Min:1 No Max } 9/19/2017 Emerald 23

24 Setting the ConvertReverseOrdersToSingleOrders Strategy Input ConvertReverseOrdersToSingleOrders: Default: TRUE, meaning this feature is turned ON. This is a powerful feature. Regular TradeStation(TS) strategies do not reverse positions in a single order, such as from Long to Short, or Short to Long, even if you are trading Futures or Forex, which allow for this. Two(2) orders are always used to reverse the position. This is because Equity(stock) exchanges require that you are in a flat position momentarily when reversing, so TS always issues the first order to take the position to flat, and then the second order to reverse the position. Two orders to reverse a position can be particular problematic if you are using Limit orders, as Limit orders do not always fill. So if the Limit order to take you flat fills, it is possible the Limit order to reverse the position does not fill or only partially fills, leaving you flat or in a smaller reversed position, instead of in a full reversed position. If Market orders are being used to reverse the position and Futures or Forex are being traded, a single order is issued by PP to reverse the position. If Market orders are being used to reverse an Equity position, an OSO ( One-Sends-Other ) order is sent to the TS Order Server, so that as soon as the position goes flat the other Market order to reverse the position is immediately issued, usually within a small fraction of a second after the first order to take the position flat fills. If Limit orders are being used to reverse the position, then OCO Bracket Exit orders are automatically enabled. So when this is enabled the Input IssueProtectiveOCOExitBracket is automatically enabled. When Limit orders are being used to reverse a position, the Limit order to go flat is converted behind the scenes to a Market-If-Touched type order that becomes a Market order as soon as the Limit price is touched. This insures the first Limit order to take you flat fills quickly and reliably. Then, just like when a Market order is used to reverse a position for Equities, a second Market order is issued as an OSO order ( within a fraction of a second ) to immediately fully reverse the ConvertReverseOrdersToSingleOrders position. 9/19/2017 Emerald 24 True Console

25 Setting the IssueProtectiveOCOExitBracketOrders Strategy Input IssueProtectiveOCOExitBracketOrders: Default: TRUE, meaning this feature is turned ON. This is one of the main features offered by PP. To fully understand what this feature is, you need to understand Protective OCO ( One-Cancels-Other ) Exit Bracket orders. If you are unfamiliar with OCO Exit Bracket orders please click on the following link to a short video which explains them: XXX Video Link. Regular TradeStation(TS) strategies do not and cannot issue Protective OCO Exit Bracket orders. This leaves you in an exposed open position when there is a PC failure, TradeStation failure, strategy failure, or Internet failure. To address this issue PP automatically creates and places Protective OCO Exit Brackets around any open position without requiring any changes to the trading strategy code! This allows you to use trading strategies where you don t have access to the strategy code, such as protected strategies, App Store strategies, and Black Box strategies. If the trading strategy is issuing price-based profit target exit orders ( typically Limit type orders ) or stop loss exit orders ( typically Stop Market type orders ), the prices of these exit orders will be incorporated into the Protective OCO Exit Bracket orders. If the strategy is not issuing any price-based exit orders, then the next two Inputs, OCOBracketDefaultProfitTgtTicksFromEntry and OCOBracketDefaultStopLossTicksFromEntry will be used to define the Protective OCO Bracket Exit order prices. Also, if the prior Input ConvertReverseOrdersToSingleOrders is set to TRUE, this will force this Input to be set to TRUE, because Protective OCO Exit Bracket orders are required to implement converting reversing Limit orders to single orders. IssueProtectiveOCOExitBracketOrders True Console The OCO Bracket Profit Target Exit Order is typically a Limit type order. Limit orders have the advantage they require a price be achieved in order to fill, which can be important to scalping type strategies that average small profits per trade. But this is also their disadvantage, where they often do not fill even though the Limit price was touched. This is because other orders at the same Limit price which arrived before your order get first priority to fill at the Limit price. Then by the time your Limit order is top priority, the price pulls away and your Limit order is left unfilled. The OCO Bracket Stop Loss Exit Order is typically a Stop Market order. Stop Market orders operate very differently than Limit orders. When the Stop price is touched, the order immediately converts to a Market order which fills at the prevailing market price. This insures a quick and complete fill, but there can be slippage where the fill does not occur at the Stop Price. 9/19/2017 Emerald 25

26 Setting the OCOBracketDefaultProfitTgtTicksFromEntry and OCOBracketDefaultStopLossTicksFromEntry Strategy Inputs OCOBracketDefaultProfitTgtTicksFromEntry and OCOBracketDefaultStopLossTicksFromEntry: Default: 100. Min Value: 1 Max Value: 200. This is the number of ticks, or minimum price moves, the Profit Target and Stop Loss Exits are from the entry. These Inputs only have impact if the prior Input, IssueProtectiveOCOExitBracketOrders, is set to TRUE so that Protective OCO Exit Brackets are issued. For example, if you entered Long at $100 and this was a stock the minimum price move is typically 1 penny or $0.01. The Profit Target would be set 100 ticks or $1.00 above the entry at $101 and the Stop Loss exit would be set 100 ticks or $1.00 below the entry at $99. These default values will be overridden by any strategy issued price-based Limit or Stop Market exit orders that are less than these values. For example, if the strategy issued a Profit Target Limit price exit at $100.50, this would override the Profit Target price of $101. Note the { Min:1 Max 200 } comment to the right of the Value between the curly braces. This is for information only and tells you that the minimum allowed value is 1 and the Maximum allowed value is 200. When you use very small values, such as 1 or 2, you risk the causing the Protective OCO Exit Bracket to fill as soon as it is issued if the price has shifted only 1 or 2 ticks since the entry order filled. Also, you can dynamically adjust the Profit Tgt Ticks and Stop Loss Ticks while the strategy is running and while in a position. Providing the strategy is not setting the Profit Tgt and Stop Loss Ticks values as described above, you will see the Profit Tgt and Stop Loss Bracket Order Lines on the chart dynamically move as you add adjust the value. OCOBracketDefaultProfitTgtTicksFromEntry 100 { Min: 1 Max 200 } OCOBracketDefaultStopLossTicksFromEntry 100 { Min: 1 Max 200 } Console 9/19/2017 Emerald 26

27 Setting the SetOCOStopMarketToTrail Strategy Input SetOCOStopMarketToTrail: Default: FALSE, meaning this feature is turned OFF. This Input only has impact if the Input IssueProtectiveOCOExitBracketOrders is set TRUE and the Input SetOCOStopMarketToStopLimitOrder is set to FALSE so that Protective OCO Exit Brackets using the regular Stop Market order are being issued. When set TRUE, the Protective OCO Bracket Stop Market exit order also operates a Trailing Stop order. This means the Stop price will adjust or ratchet up for Long positions and ratchet down for Short positions. For example, say you enter Long at $100. The Input OCOBracketDefaultStopLossTicksFromEntry is set at 100 ticks ( 1 penny or $0.01 per tick ), resulting in the initial Stop Loss exit price of $99. The price then climbs to $ and then drops back down to $ The Trailing Stop price will then ratchet up to 100 ticks below the highest price of $ to $ It will remain at $99.10 even when the price drops back down to $ The fact that the Trailing Price did not decline when the price dropped back down is why the price is said to ratchet. A Trailing Stop price can move above ( for Long entries ) the original entry price such that when the Trailing Stop exits, it can exit for a profit. This makes the Trailing Stop a very desirable feature for some strategies. When this feature is turned ON, the Trailing Stop becomes incorporated into the Protective OCO Exit Bracket, such that the ratcheting of the Trailing Stop price is managed directly by the TradeStation Order Server. Having the TS Order Server adjust the Trailing Stop Price can be very desirable in fast markets with many ticks arriving per second, versus doing it in the strategy, where Internet lags and PC computational overload ( caused by the strategy rerunning on each tick ) can cause issues with lost or lagging Trailing Stop orders. When Trailing Stop orders fill, they behave just like Stop Market orders, where when the Stop Price is touched the order converts to a Market order. This insures a fast and reliable fill, but there can be SetOCOStopMarketToTrail slippage where the fill price is not at the Stop Price. 9/19/2017 Emerald 27 False Console

28 Setting the SetOCOStopMarketToStopLimitOrder Strategy Input SetOCOStopMarketToStopLimitOrder: Default: FALSE, meaning this feature is turned OFF. This Input only has impact if the Input IssueProtectiveOCOExitBracketOrders is set TRUE and the Input SetOCOStopMarketToTrail is set to FALSE so that Protective OCO Exit Brackets that are NOT using a Stop Market Trailing Stop are issued. When set TRUE, the Protective OCO Bracket Stop Market exit order is instead a Stop Limit order. Unlike Stop Market orders which convert to a Market order to fill, which can result in large slippage from the Stop Price, Stop Limit orders convert to a Limit order as soon as the Stop Price is touched to attempt to minimize the slippage. The Limit order price relative to the Stop Price is defined using the next Input, OCOStopLimitTicksFromExit. But while the Stop Limit order may reduce the slippage, they risk not filling, resulting in no exit of the position. Note that TradeStation strategies can only natively issue Stop Market orders for price-based stop loss exit orders. A Stop Limit order can be synthesized in a specially code strategy which runs on price tick. This approach can have issues in fast markets with lagging or lost orders. SetOCOStopMarketToStopLimitOrder False Console 9/19/2017 Emerald 28

29 Setting the OCOStopLimitTicksFromExit Strategy Input OCOStopLimitTicksFromExit: Default: 1. Min Value: 0 Max Value: 10. This Input only has impact if the Inputs IssueProtectiveOCOExitBracketOrders and SetOCOStopmarketToStopLimitOrder are set TRUE so that Protective OCO Exit Brackets which use a Stop Limit order in place of the regular Stop Market order are being issued. This provides the number of ticks ( Example: 1 cent for a stock, 0.25 for the ES-Mini ) the Limit order is away from the Stop order when a Stop Limit order is enabled. For example, if the Stop Price is at $100 and this Input is set to 5 ticks ( where 1 tick is 1 cent ), the Limit order will be at $ Console Care needs to be used when setting this value, especially when setting it to 0. A 0 value means the Limit Order price is the same as the Stop Price. So when the Stop Price is touched, the Limit order is then issued at the same price. If the price has moved below ( for a Long entry ) the Stop Price by just one tick when the Limit Order becomes active, and does not return to the Stop Price, the Limit Order will never fill, and this order will not exit as the price declines. Now you can use the SMART LIMIT ORDER FILL features ( pages XXX ) to insure this Limit Order is converted to a Market Order and fills. Using this approach you get the best of both worlds of a Stop Market order that always fills, but can have slippage, and a Stop Limit order that does not always fill, but controls slippage. OCOStopLimitTicksFromExit 1 { Min:0 Max:10 } 9/19/2017 Emerald 29

30 Setting the FloatOCOExitBracketAroundCurrentPrice Strategy Input FloatOCOExitBracketAroundCurrentPrice: Default: FALSE, meaning this feature is turned OFF. This Input only has impact or meaning if the Input IssueProtectiveOCOExitBracketOrders is set TRUE so that Protective OCO Exit Brackets are issued. When set TRUE, the Protective OCO Exit Bracket dynamically moves or adjusts as the market price moves. If the market price moves up, the Protective OCO Exit Bracket shifts up in price, where both the Profit Target and Stop Loss Exit Order Prices increase, and likewise, if the market price moves down, the Protective OCO Exit Bracket moves down. For example, assume a Long entry occurs at $100 and the initial Profit Target Exit Price is $101 and the initial Stop Loss Exit Price is $99. The market price then climbs 10 cents to $ This will cause both the Profit Target and Stop Loss Exit Prices to climb 10 cents to $ and $ Likewise, if the market price drops 10 cents to $99.90, the Profit Target and Stop Loss Exit Prices will drop to $ and $ FloatOCOExitBracketAroundCurrentPrice False Console This option is useful for strategies which never issue price-based Profit Target or Stop Loss exit orders, like a Moving Average Cross Over, which enters, exits and reverses position when a faster moving average crosses over a slower moving average. With this type of strategy there is no exit when a defined profit or stop loss has occurred, so providing a Protective OCO Exit Bracket which floats around the market price does not interfere with the strategy operation, but limits losses and allows for a profit in the event of an outage. 9/19/2017 Emerald 30

31 Setting the AdjustFloatingOCOExitBRKTAfterXTicksPrcChg Strategy Input AdjustFloatingOCOExitBRKTAfterXTicksPrcChg: Default: 3. Min Value: 1 Max Value: 99. This Input only has impact if the Inputs IssueProtectiveOCOExitBracketOrders and FloatOCOExitBracketAroundCurrentPrice are both set TRUE so that Protective OCO Exit Brackets which float around the current market price are issued. This Input specifies the amount of price change required in the market price for the Protective OCO Exit Bracket to adjust when the bracket is floating around the current market price. The default value of 3 means that until there is a the market price moves at least 3 ticks ( Example: 1 penny for stocks, 0.25 for the ES-Mini ) up or down from a prior market price. For example, you have entered a stock Long at $100 and the Protective OCO Exit Bracket Profit Target and Stop Loss Exit Prices are at $101 and $99. The market price then climbs to $ Since the change in the market price from $100 to $ is only 2 price ticks (2 cents), the Protective OCO Exit Bracket Prices will not yet adjust. But if the market price then drops to $99.97, this represents a 3 tick decline from the initial market price of $100, triggering the Protective OCO Exit Bracket Profit Target and Stop Loss Exit Prices to adjust down by 3 ticks to $ and $ You can set this Input value to as low as 1 tick, or as high as 99 ticks. AdjustFloatingOCOExitBRKTAfterXTicksPrcChg 3 { Min:1 Max:99 } Console 9/19/2017 Emerald 31

32 Setting the TrailFloatingOCOExitBracket Strategy Input TrailFloatingOCOExitBracket: Default: FALSE, meaning this is turned OFF. This only has impact if the Input SetOCOStopMarketToTrail is set to FALSE and the Inputs IssueProtectiveOCOExitBracketOrders and FloatOCOExitBracketAroundCurrentPrice are both set TRUE so that Protective OCO Exit Brackets are created which float around the current market price and which do NOT use a Stop Market Trailing Stop. This causes the Floating Protective OCO Exit Bracket Stop Loss Price to operating like a Trailing Stop Loss. This means the Stop Loss Price will ratchet up ( for a Long ) entry. For example, say you enter Long at $100 with the OCO Exit Bracket Profit Target Price initially at $101 and the OCO Exit Bracket Stop Loss Price initially at $99. The Stop Loss is trailing the current market price by $1 or 100 ticks ( stock with 1 cent ticks ). The market price then moves up to $ and then reverses back down to $ The OCO Exit Bracket Stop Loss Price will ratchet up to $1 below the peak price of $ to $99.20 and remain there, while the OCO Exit Bracket Profit Target Price will float down to $ Note the Protective OCO Exit Bracket Stop Loss can be either the default Stop Market order or the Stop Limit order. So this feature allows you to have a Protective OCO Exit Bracket around an open strategy position which floats with the current market price, and with a Trailing Stop Limit order combined with SMART LIMIT ORDER FILL. This combination of features provides capabilities which far exceed anything available from TradeStation for automated trading strategies or from the Order Bar. TrailFloatingOCOExitBracket False Console 9/19/2017 Emerald 32

33 Setting the AllowBracketToBeManuallyCancelled Strategy Input AllowBracketToBeManuallyCancelled: Default: FALSE, meaning this is turned OFF. This only has impact if the Input IssueProtectiveOCOExitBracketOrders is set TRUE so that Protective OCO Exit Brackets are issued. If you attempt to manually cancel the Protective OCO Exit Bracket generated by the PP using the Cancel button on the Order Bar, you will see the OCO Exit Bracket canceled, and then within a small fraction of a second a new OCO Exit Bracket appear to replace the canceled bracket. This is meant to prevent accidental cancelation of the Protective OCO Exit Bracket. There may be times though when you clearly want to manually cancel the OCO Exit Bracket. To do this first set this Input TRUE, and then cancel the OCO Exit Bracket. AllowBracketToBeManuallyCanceled False Console 9/19/2017 Emerald 33

34 Setting the DailyProfitTgtChart Strategy Input DailyProfitTgtChart: Default: 0. Min Value: 0(OFF) Max Value: 100,000. If this is turned on by setting a value greater than 0, it requires the Protective OCO Exit Brackets be issued, as will be explained below. So if the Input IssueProtectiveOCOExitBracketOrders is set FALSE when you set this Input to greater than 0, you will notice the IssueProtectiveOCOExitBracketOrders automatically sets to TRUE. This Input specifies a total Daily Profit Target for the Strategy trading this symbol on this chart. ( This may not account for manual trades during the same day. ) Once this Daily Profit Target is reached, the ProfitProtector exits any open position and turns off trading for the remainder of the day. When this happens text will be displayed on the chart noting that a Daily Profit Target Exit was made. And you will see Restart blinking at the top to allow you to restart trading if you desire after the Daily Profit Target Exit. Note the Daily Profit Target means the total accumulated profit for all trades made during the day by the Strategy. For example, if this Input is set to $200, and the accumulated profit of the first 5 trades for the day is $100, the Strategy will continue to trade until the $200 Daily Profit Target is reached. If the $200 Daily Profit Target is never reached the Strategy will continue to trade as if this Input was never set. The reason the Protective OCO Exit Brackets are required when this Input is set is the OCO Exit Profit Exit Price will be dynamically adjusted by the ProfitProtector to attempt to hit the Daily Profit Target as precisely as possible. The reason for this is explained next. For example, say that 5 trades have been made during the day with an accumulated profit for the day of $175, $25 short of the $200 Daily Profit Target. A position is entered for the 6 th Trade and the ProfitProtector overrides the Strategy s Profit Target of $100 to set the OCO Exit Bracket Price at a $25 Profit to hit the $200 Daily Profit Target. If instead the Strategy s Profit Target of $100 was used the accumulated Profit for the day will be $100 + $175 = $275, which greatly and unnecessarily exceeds the $200 Daily Profit Target, and could allow for the price to instead reverse before the $100 Strategy Profit Target is hit, resulting in a loss for the trade and potentially even the total day. DailyProfitTgtChart 0 { 0:OFF >0:ON Max: 100,000 } Console 9/19/2017 Emerald 34

35 Setting the ProfitTgtTrendLineColor Strategy Input ProfitTgtTrendLineColor: Default: OFF, meaning the display of the Profit Target Trend Line is turned OFF. This Input only has impact if the Input DailyProfitTgtChart is set to a value greater than zero(0). If this Input is set to a color abbreviation shown in the table below, a horizontal Trend Line is displayed on the chart at the price which if hit by the current trade, would result in the Daily Profit Target being hit. You will see this trend line sitting beyond the OCO Exit Bracket Profit Target Price until the ProfitProtector dynamically adjusts the OCO Exit Bracket Profit Target Price to exactly match the Daily Profit Target when the current trade has the potential of hitting the Daily Profit Target. To display the trend line, you can set this Input to one of the following color abbreviations: ProfitTgtTrendLineColor OFF Console Color Abbreviation Trend Line Color Color Abbreviation Trend Line Color "OFF" NONE "SBRN" Sandy Brown "GRN" Green "BRN" Brown "DGRN" Dark Green "DBRN" Dark Brown "LGRN" Light Green "BLK" Black "BLU" Blue "GRY" Gray "LBLU" Light Blue "LGRY" Light Gray "DBLU" Dark Blue "DGRY" Dark Gray "CYN" Cyan "WHT" White "DCYN" Dark Cyan "YLW" Yellow "MAG" Magenta "ORNG" Orange "DMAG" Dark Magenta "RED" Red "TAN" Tan "DRED" Dark Reg 9/19/2017 Emerald 35

36 Setting the ProfitTgtTrendLineSize Strategy Input ProfitTgtTrendLineSize: Default: 0 Min Value:0 Max Value: 6. Set this Input to 0 for the minimum Profit Target Trend Line thickness and to 6 for the maximum trend line thickness. This Input only has impact if the Input DailyProfitTgtChart is set to a value greater than zero(0) and the Input ProfitTgtTrendLineColor is set to something other than OFF so the trend line is displayed. Console The Console example shown to the right shows how the selected TLColor, Cyn( Cyan ), is displayed in the background of the Size column, used to set the size or thickness of the displayed Trend Line. ProfitTgtTrendLineSize 0 { Min:0 Max:6 } 9/19/2017 Emerald 36

37 Setting the ProfitTgtTrendLineStyle Strategy Input ProfitTgtTrendLineStyle: Default: 1 Min Value:1( solid line ) Max Value: 5( dash and dotted line ). This Input only has impact if the Inputs DailyProfitTgtChart is set to a value greater than zero(0) and the Input DailyProfitTgtTrendLine is set to TRUE to display the trend line. Console There are a total of 5 Line Styles, with each Line Style shown below. ProfitTgtTrendLineStyle 1 { Min:1 Max:5 } 9/19/2017 Emerald 37

38 Setting the DailyStopLossChart Strategy Input DailyStopLossChart: Default: 0. Min Value: 0(OFF) Max Value: 100,000. If this is turned on by setting a value greater than 0, it requires the Protective OCO Exit Brackets be issued, as will be explained below. So if the Input IssueProtectiveOCOExitBracketOrders is set FALSE when you set this Input to greater than 0, you will notice the IssueProtectiveOCOExitBracketOrders automatically sets to TRUE. This Input specifies a total Daily Stop Loss Target for the Strategy trading this symbol on this chart. ( This may not account for manual trades during the same day. ) Once this Daily Stop Loss Target is reached, the ProfitProtector exits any open position and turns off trading for the remainder of the day. When this happens text will be displayed on the chart noting that a Daily Stop Loss Exit was made. And you will see Restart blinking at the top to allow you to restart trading if you desire after the Daily Stop Loss Exit. Note the Daily Stop Loss Target means the total accumulated loss for all trades made during the day by the Strategy. For example, if this Input is set to -$200, and the accumulated loss of the first 5 trades for the day is -$100, the Strategy will continue to trade until the -$200 Daily Stop Loss Target is reached. If the -$200 Daily Stop Loss Target is never reached the Strategy will continue to trade as if this Input was never set. The reason the Protective OCO Exit Brackets are required when this Input is set is the OCO Exit Profit Exit Price will be dynamically adjusted by the ProfitProtector to attempt to hit the Daily Stop Loss Target as precisely as possible. The reason for this is explained next. For example, say that 5 trades have been made during the day with an accumulated net loss for the day of -$175, -$25 short of the -$200 Daily Stop Loss Target. A position is entered for the 6 th Trade and the ProfitProtector overrides the Strategy s Stop Loss Target of -$100 to set the OCO Exit Bracket Price at a -$25 Stop Loss to hit the -$200 Daily Stop Loss Target. If instead the Strategy s Stop Loss Target of -$100 was used the accumulated Stop Loss for the day will be - $ $175 = -$275, which greatly and unnecessarily exceeds the -$200 Daily Stop Loss Target. This can result in a much lower net Stop Loss for the day. DailyStopLossChart 0 { 0:OFF >0:ON Max: 100,000 } Console 9/19/2017 Emerald 38

39 Setting the StopLossTrendLineColor Strategy Input StopLossTrendLineColor: Default: OFF, meaning the display of the Stop Loss Trend Line is turned OFF. This Input only has impact if the Input DailyStopLossChart is set to a value greater than zero(0). If this Input is set to a color abbreviation shown in the table below, a horizontal Trend Line is displayed on the chart at the price which if hit by the current trade, would result in the Daily Stop Loss being hit. You will see this trend line sitting beyond the OCO Exit Bracket Stop Loss Price until the ProfitProtector dynamically adjusts the OCO Exit Bracket Stop Loss Price to exactly match the Daily Stop Loss when the current trade has the potential of hitting the Daily Stop Loss. To display the trend line, you can set this Input to one of the following color abbreviations: Console Color Abbreviation Trend Line Color Color Abbreviation Trend Line Color "OFF" NONE "SBRN" Sandy Brown "GRN" Green "BRN" Brown "DGRN" Dark Green "DBRN" Dark Brown "LGRN" Light Green "BLK" Black "BLU" Blue "GRY" Gray "LBLU" Light Blue "LGRY" Light Gray "DBLU" Dark Blue "DGRY" Dark Gray "CYN" Cyan "WHT" White "DCYN" Dark Cyan "YLW" Yellow "MAG" Magenta "ORNG" Orange "DMAG" Dark Magenta "RED" Red "TAN" Tan "DRED" Dark Reg StopLossTrendLineColor OFF 9/19/2017 Emerald 39

40 Setting the StopLossTrendLineSize Strategy Input StopLossTrendLineSize: Default: 0 Min Value:0 Max Value: 6. Set this Input to 0 for the minimum Stop Loss Trend Line thickness and to 6 for the maximum trend line thickness. This works exactly the same as the Input ProfitTgtTrendLineSize, explained in greater detail on page xx, except it controls the thickness of the Daily Stop Loss Price trend line. Console StopLossTrendLineSize 0 { Min:0 Max:6 } 9/19/2017 Emerald 40

41 Setting the StopLossTrendLineStyle Strategy Input StopLossTrendLineStyle: Default: 1 Min Value:1( solid line ) Max Value: 5( dash and dotted line ). This works exactly the same as the Input ProfitTgtTrendLineStyle, except it controls the style of the Daily Stop Loss Price trend line. Console There are a total of 5 Line Styles, with each Line Style shown below. StopLossTrendLineStyle 1 { Min:1 1 { Min:1 Max:5 Max:5 } } 9/19/2017 Emerald 41

42 Setting the ExitTimeOfDay Strategy Input ExitTimeOfDay: Default: 0 Max Value: The value represents the time in 24- hour Military Format: HHMM, where 1430 is 2:30 PM, 945 is 9:45 AM and 2359 is 11:59 PM. Unless the value is greater than zero(0) this feature will be turned off. If the value is greater than zero(0) this specifies a time of day at which all trading for the remainder of the day ( until Midnight ) is halted. for the remainder of the day is halted even if the Strategy attempts to make trades. If there is an open position when the ExitTimeOfDay is hit, the position is closed. If there is a Protective OCO Exit Bracket in place, it is first canceled and then the position is closed. Note when the EOD Exit is selected on the Console, corresponding to this Input, the Time( HHMM ) field is automatically populated with the current time plus 1 minute. Console A common misunderstanding is that one can expect an automated strategy to reliably exit at the Market Close when intraday time-based bars are used that close exactly on the Market Close. Exiting at or shortly before the Market Close is critical to many automated Strategies ( and to discretionary trading as well ), to avoid holding an overnight position. For example, if 5-minute intraday bars are being used and the Market Close is at 4:00 PM Eastern Time, one would think the automated strategy could exit any open ExitTimeOfDay 0 { <=0:OFF >0:ON } position on the 5-minute bar which closes at 4:00 PM Eastern Time. Instead, the position may not be exited, because the automated strategy order to exit the position is issued immediately following the 4:00 PM bar close, and so can occur slightly after the 4:00 PM Market Close, resulting in the exit order being rejected or held until the following day Market Open. Also, if using non-time based, Volume or Price-activity bars, such as Tick, Volume, Range, Momentum, Renko, Kagi, Kase, 3-Line Break or Point & Figure, these bars do not reliably close at any specific time, as they only close after a certain trading volume or price movement has occurred. And since TradeStation strategies are only allowed to run on the bar close for these type of bars ( NOT allowed to run at any time within these bars ), there is no reliable way to automatically exit any open position at or near any specific time of day, much less at or near the Market Close. So if an exit within less than a minute before the Market Close or specific time of day is desired, this can require manual intervention, regardless of whether time-based or non-time based bars are being used. The ExitTimeOfDay feature combined with the ExitSecondsBeforeTimeOfDayOrMarketClose feature, allows any regular automated strategy, using any bar type, to overcome this limitation and exit at a precise time within a few seconds of the Market Close to avoid holding overnight positions. 9/19/2017 Emerald 42

43 Setting the ExitAtMarketClose Strategy Input ExitAtMarketClose: Default: False, meaning this feature is turned OFF. If this feature is enabled, the Input ExitTimeOfDay must be set to zero(0) so it is turned OFF. You cannot have both the ExitTimeOfDay and ExitAtMarketClose enabled at the same time. If ExitAtMarketClose feature is enabled, it is the same as setting the ExitTimeOfDay equal to the Session End Time. For Equities ( stocks ) this is usually the same as the regular Market Close at 4:00 PM Eastern Time. For 24-hour symbols ( Futures and Forex ) the Session End Time is typically in the afternoon or evening. The Market Close time is displayed to the right of the checkbox on the Console. If the At Market Close checkbox is checked on the Console, the Time( HHMM ) will be grayed out, indicating that it is not relevant. Also, If the current time is later than the Market Close or Session End Time the At Market Close checkbox is NOT displayed on the Console, so as to prevent accidental use of this feature Note that if you enable this feature, you are strongly advised to also set the Input ExitSecondsBeforeTimeOfDayOrMarketClose to a value of 10 or greater. This insures the exit will occur before the Market Close. Attempting to exit exactly at the Market Close or within a few seconds of Market Close can result in the exit order being rejected or held and you left in an overnight position. Likewise, if you are trading Futures or Forex, attempting to do this can result in the exit order being rejected or held until the Session re-opens. Even for values of 10 you risk the exit order being rejected unless you have your PC closely synchronized with correct time: You can obtain the correct time from Time.gov. Google Synchronizing your computer clock to learn more about how to do this. So trying to exit just 1 second before the Market Close can be risky. First verify this is working correctly for you in the Simulation Mode before attempting this in actual trading. ExitAtMarketClose False 9/19/2017 Emerald 43

44 Setting the ExitSecondsBeforeTimeOfDayOrMarketClose Strategy Input ExitSecondsBeforeTimeOfDayOrMarketClose: Default: 0 Max:3,600 ( 1 hour ). This value is the number of seconds to be subtracted from either the ExitTimeOfDay Input time or the Session Close ( Market Close ) if the Input ExitAtMarketClose is set TRUE or checked on the Console. For example, if ExitTimeOfDay is set to 1530 ( 3:30 PM ) and this Input is set to 15, then exit will occur at 3:29:45 PM, or 15 seconds before 3:30 PM. Likewise, if ExitAtMarketClose is set TRUE and this Input is set to 10, and the chart symbol is an Equity ( stock ), the Market Close will be at 4:00 PM, so the exit will occur at 3:59:50 PM, or 10 seconds before the Market Close at 4:00 PM. Note that if ExitAtMarketClose is enabled, it is strongly advised to also set the Input ExitSecondsBeforeTimeOfDayOrMarketClose to a value of 10 or greater. This insures the exit will occur before the Market Close. Attempting to exit exactly at the Market Close or within a few seconds of Market Close can result in the exit order being rejected or held and you left in an overnight position. Likewise, if you are trading Futures or Forex, attempting to do this can result in the exit order being rejected or held until the Session re-opens. Even for values of 10 you risk the exit order being rejected unless you have your PC closely synchronized with correct time: You can obtain the correct time from Time.gov. Google Synchronizing your computer clock to learn more about how to do this. So trying to exit just 1 second before the Market Close can be risky. First verify this is working correctly for you in the Simulation Mode before attempting this in actual trading. ExitSecondsBeforeTimeOfDayOrMarketClose 0 { Min:0 Max:3,600 } 9/19/2017 Emerald 44

45 Setting the MSTimeoutPositionMismatch Strategy Input MSTimeoutPositionMismatch: Default: 2000 Min:500 Max:3,600,000 ( 1 hour ). It specifies the number of milliseconds to wait after the strategy position is out of sync with the real-world position before forcing the strategy to adopt the correct real-world position. The default value of 2000 is 2 seconds or 2,000 milliseconds. It is recommended you keep this value at or above 2,000. Values between 1 and 500 will be treated as 500 ( 1/2 second or 500 milliseconds is the true minimum time limit ). If you set this value to 0 it will set the value to 3,600,000 milliseconds or 1 hour, effectively disabling this capability. The strategy is forced to correctly align with the real-world position by having the strategy recalculate starting on the first bar of the chart. The recalculation does NOT cause the chart to refresh. Note do NOT insert commas when setting Input values. Position Mismatches can occur when PP performs some of its functions as the trading strategy is blind to these functions, causing it to get out of sync with the real-world position. The same thing can occur if a position is manually modified. MSTimeoutPositionMismatch 2000 { Min:500 Max:3,600,000 } Console 9/19/2017 Emerald 45

46 Setting the CancelOpenOrdersWhenFixingPositionMismatch Strategy Input CancelOpenOrdersWhenFixingPositionMismatch: Default: FALSE. If set to TRUE any open ( unfilled ) strategy orders will be cancelled when the MSTimeoutPositionMismatch is reached and the strategy position is corrected to align with the real-world position. This can be important to do at times, depending on the strategy, so that the PP can work correctly. Console CancelOpenOrdersWhenFixingPositionMismatch False 9/19/2017 Emerald 46

47 Setting the ConvertEntryLimitToMktOrderWhenTouched Strategy Input ConvertEntryLimitToMktOrderWhenTouched: Default: FALSE. If set to TRUE ENTRY Limit orders ( Buy or Sell Short ) will be converted to Market orders as soon as the Limit price is touched. The Market order should fill very quickly in a liquid market. This is equivalent to the Market-If-Touched type orders you can issue manually from the Order Bar. Console This feature supersedes all the other features that convert Limit orders to Market orders, such as Milliseconds Time, Volume, Ticks Pullback or the Bid/Ask ratio, because all these other features require some condition be met AFTER the Limit price is touched. Note if this feature is selected by setting this Input TRUE, the other features for converting Entry Limit orders to Market orders are DISABLED. Note that while Market-If-Touched orders tend to fill quickly once the Limit price is touched, since they are converted to a Market order at that point, they give up a guaranteed fill at the Limit price, so you may experience significant slippage at times. Slippage means the fill price will not be at the Limit price, and depending on the current market conditions, may be multiple ticks ( with each tick being a minimum price move, such as 1 cent for stocks ) from the Limit price in the wrong direction, meaning the fill price is less profitable or may even result in a loss for the trade. This is the intrinsic tradeoff between Market orders, which tend to fill reliably and quickly, but not always as the desired price, and Limit orders, which often don t fill at all, but when they do fill they fill at a specified price. For example, say you enter Long at $100 and your Profit Target exit price is $ for a 5 cent profit per share. When the $ price is hit, the order converts to a Market order and then fills. However, because the market was moving quickly at the time of the fill and was very volatile, the Market order fills at $99.97, resulting in a 3 cent loss per share, versus the desired 5 cent profit per share. ConvertEntryLimitToMktOrderWhenTouched False The trading strategies which are most susceptible to issues with slippage are called scalping strategies, which make only a small amount of profit on average per trade, and so require Limit orders to provide guaranteed fill prices. 9/19/2017 Emerald 47

48 Setting the ConvertExitLimitToMktOrderWhenTouched Strategy Input ConvertExitLimitToMktOrderWhenTouched: Default: FALSE. If set to TRUE EXIT Limit orders ( Sell or BuyToCover ) will be converted to Market orders as soon as the Limit price is touched. The Market order should fill very quickly in a liquid market. This is equivalent to the Market-If-Touched type orders you can issue manually from the Order Bar. Console This feature supersedes all the other features that convert Limit orders to Market orders, such as Milliseconds Time, Volume, Ticks Pullback or the Bid/Ask ratio, because all these other features require some condition be met AFTER the Limit price is touched. Note if this feature is selected by setting this Input TRUE, the other features for converting Entry Limit orders to Market orders are DISABLED. Note that while Market-If-Touched orders tend to fill quickly once the Limit price is touched, since they are converted to a Market order at that point, they give up a guaranteed fill at the Limit price, so you may experience significant slippage at times. Slippage means the fill price will not be at the Limit price, and depending on the current market conditions, may be multiple ticks ( with each tick being a minimum price move, such as 1 cent for stocks ) from the Limit price in the wrong direction, meaning the fill price is less profitable or may even result in a loss for the trade. This is the intrinsic tradeoff between Market orders, which tend to fill reliably and quickly, but not always as the desired price, and Limit orders, which often don t fill at all, but when they do fill they fill at a specified price. For example, say you enter Long at $100 and your Profit Target exit price is $ for a 5 cent profit per share. When the $ price is hit, the order converts to a Market order and then fills. However, because the market was moving quickly at the time of the fill and was very volatile, the Market order fills at $99.97, resulting in a 3 cent loss per share, versus the desired 5 cent profit per share. The trading strategies which are most susceptible to issues with slippage are called scalping strategies, which make only a small amount of profit on average per trade, and so require Limit orders to provide guaranteed fill prices. ConvertExitLimitToMktOrderWhenTouched False 9/19/2017 Emerald 48

49 Setting the MSTimeoutToConvertEntryLimitToMktOrder Strategy Input MSTimeoutToConvertEntryLimitToMktOrder: Default: 2,000 ( 2 seconds ) Min 100( 1/10 second ) Max: 3,600,000( 1 hour ). ANY ENTRY Limit order will be converted to a Market order the Input value in milliseconds after the ENTRY Limit order price is first touched. For example, the strategy has issued a Long Entry Limit Order at the price of $100. This input is set to the Minimum value of 100 ( 1/10 second ). The $100 Limit Entry Price is touched precisely at 3:21:20.0 PM. 1/10 of a second after this at 3:21:20.1 PM, if the Limit order has not already fully filled, it will be converted to a Market order to fully fill. Likewise, if the Input value was set at 2,000, then at 3:21:22 PM the Limit order would be converted to a Market order if it had not fully filled. This feature can be turned on at the same time or in parallel with any of the other features which convert Limit to Market orders: Volume, Ticks Pullback or Bid/Ask ratio. The purpose of this Input is to provide precise control of how Limit orders fill in order to minimize slippage while insuring the Limit Order does reliably fill. Based upon experience and knowledge of trading under the current Market conditions for a given symbol, setting the correct Input value may reduce slippage while insuring a reliable fill. MSTimeoutToConvertEntryLimitToMktOrder 2000 { Min:100 Max: 3,600,000 } Console 9/19/2017 Emerald 49

50 Setting the MSTimeoutToConvertExitLimitToMktOrder Strategy Input MSTimeoutToConvertExitLimitToMktOrder: Default: 2,000 ( 2 seconds ) Min 100( 1/10 second ) Max: 3,600,000( 1 hour ). ANY EXIT Limit order will be converted to a Market order the Input value in milliseconds after the EXIT Limit order price is first touched. For example, you are in a Long position with entry at $100 and the Protective OCO Exit Bracket Profit Target Limit Exit Price is at $101. This input is set to the Minimum value of 100 ( 1/10 second ). The $101 Profit Target Exit Price is touched precisely at 3:21:20.0 PM. 1/10 of a second after this at 3:21:20.1 PM, if the Limit order has not already fully filled, it will be converted to a Market order to fully fill. Likewise, if the Input value was set at 2,000, then at 3:21:22 PM the Limit order would be converted to a Market order if it had not fully filled. This feature can be turned on at the same time or in parallel with any of the other features which convert Limit to Market orders: Volume, Ticks Pullback or Bid/Ask ratio. The purpose of this Input is to provide precise control of how Limit orders fill in order to minimize slippage while insuring the Limit Order does reliably fill. Based upon experience and knowledge of trading under the current Market conditions for a given symbol, setting the correct Input value may reduce slippage while insuring a reliable fill. MSTimeoutToConvertExitLimitToMktOrder 2000 { Min:100 Max: 3,600,000 } Console 9/19/2017 Emerald 50

51 Setting the VolumeToConvertEntryLimitToMktOrder Strategy Input VolumeToConvertEntryLimitToMktOrder: Default: 7,500 Min:2 Max: 1,000,000. ANY ENTRY Limit order will be converted to a Market order WHEN the Input value in Volume is traded AT the Limit price. For example, the strategy has issued a Long Entry Limit Order at the price of $100. This input is set to the Default value of 7,500 ( shares or contracts ). The price first touches the $100 Limit Entry Price at 3:21:20.0 PM with a trade of 100 shares. So 100 shares is the current total of shares at the Limit Price. Then the price pulls back from the $100 Limit price to $ Many trades happen at this price, but the volume traded at this price is irrelevant as the trades are not filling at the Limit price. Then the price moves back to the Limit price of $100 and more trading continues. When the accumulated trade volume at the Limit price reaches the Input value of 7,500 the Limit order will be converted to a Market order to fill immediately. This feature can be turned on at the same time or in parallel with any of the other features which convert Limit to Market orders: Milliseconds Time, Ticks Pullback or Bid/Ask ratio. The purpose of this Input is to provide precise control of how Limit orders fill in order to minimize slippage while insuring the Limit Order does reliably fill. Based upon experience and knowledge of trading under the current Market conditions for a given symbol, setting the correct Input value may reduce slippage while insuring a reliable fill. VolumeToConvertEntryLimitToMktOrder 7500 { Min:2 Max: 1,000,000 } Console 9/19/2017 Emerald 51

52 Setting the VolumeToConvertExitLimitToMktOrder Strategy Input VolumeToConvertExitLimitToMktOrder: Default: 7,500 Min:2 Max: 1,000,000. ANY EXIT Limit order will be converted to a Market order WHEN the Input value in Volume is traded AT the Limit price. For example, the strategy has issued a Long Entry Limit Order at the price of $100 and the Protective OCO Exit Bracket Profit Target Exit Price is at $101. This input is set to the Default value of 7,500 ( shares or contracts ). The price first touches the $101 Profit Target Limit Exit Price at 3:21:20.0 PM with a trade of 100 shares. So 100 shares is the current total of shares at the Limit Price. Then the price pulls back from the $101 Limit price to $ Many trades happen at this price, but the volume traded at this price is irrelevant as the trades are not filling at the $101 Limit price. Then the price moves back to the $101 Limit price and more trading continues. When the accumulated trade volume at the Limit price reaches the Input value of 7,500 the Limit order will be converted to a Market order to fill immediately. This feature can be turned on at the same time or in parallel with any of the other features which convert Limit to Market orders: Milliseconds Time, Ticks Pullback or Bid/Ask ratio. The purpose of this Input is to provide precise control of how Limit orders fill in order to minimize slippage while insuring the Limit Order does reliably fill. Based upon experience and knowledge of trading under the current Market conditions for a given symbol, setting the correct Input value may reduce slippage while insuring a reliable fill. VolumeToConvertExitLimitToMktOrder 7500 { Min:2 Max: 1,000,000 } Console 9/19/2017 Emerald 52

53 Setting the TicksPullbackToConvertEntryLimitToMktOrder Strategy Input TicksPullbackToConvertEntryLimitToMktOrder: Default: 10 Min:1 Max: 1,000. ANY ENTRY Limit order will be converted to a Market order WHEN the price pulls back the Input value in Ticks FROM the Limit price. For example, the strategy has issued a Long Entry Limit Order at the price of $100. This input is set to the value of 4 Ticks Pullback ( 4 cents for a stock ). The price first touches the $100 Limit Entry Price, but the Limit order does not fill and the price pulls back over time to $99.96, 4 Ticks from the $100 Limit Price. When the price first touches $99.96 after having first touched the $100 Limit Price, the Limit order is converted to a Market order to immediately fill. This feature can be turned on at the same time or in parallel with any of the other features which convert Limit to Market orders: Milliseconds Time, Volume or Bid/Ask ratio. TicksPullBackToConvertEntryLimitToMktOrder 10 { Min:1 Max: 1000 } Console The purpose of this Input is to provide precise control of how Limit orders fill in order to minimize slippage while insuring the Limit Order does reliably fill. Based upon experience and knowledge of trading under the current Market conditions for a given symbol, setting the correct Input value may reduce slippage while insuring a reliable fill. 9/19/2017 Emerald 53

54 Setting the TicksPullbackToConvertExitLimitToMktOrder Strategy Input TicksPullbackToConvertExitLimitToMktOrder: Default: 10 Min:1 Max: 1,000. ANY EXIT Limit order will be converted to a Market order WHEN the price pulls back the Input value in Ticks FROM the Limit price. For example, the strategy has entered a Long position at $100 with the Protective OCO Exit Bracket Profit Target Limit Price at $101. This input is set to the value of 4 Ticks Pullback ( 4 cents for a stock ). The price first touches the $101 Limit Exit Price, but the Limit order does not fill and the price pulls back over time to $100.96, 4 Ticks from the $101 Limit Price. When the price first touches $ after having first touched the $101 Limit Price, the Limit order is converted to a Market order to immediately fill. This feature can be turned on at the same time or in parallel with any of the other features which convert Limit to Market orders: Milliseconds Time, Volume or Bid/Ask ratio. TicksPullBackToConvertExitLimitToMktOrder 10 { Min:1 Max: 1000 } Console The purpose of this Input is to provide precise control of how Limit orders fill in order to minimize slippage while insuring the Limit Order does reliably fill. Based upon experience and knowledge of trading under the current Market conditions for a given symbol, setting the correct Input value may reduce slippage while insuring a reliable fill. 9/19/2017 Emerald 54

55 Setting the LEorSXBidAskRatioToConvertLimitToMktOrder Strategy Input LEorSXBidAskRatioToConvertLimitToMktOrder: Default: 1.0 Min: Max: 10,000. ANY Long Entry(LE) or Short Exit(SX) Limit order will be converted to a Market order WHEN the Bid / Ask Ratio(Inside Bid Size / Inside Ask Size) hits or exceeds the Input Value. The Bid/Ask Ratio is the ratio of the Inside Bid Size ( number of Bid shares or contracts at the Inside Bid, the best Bid price closest to the current price ) to the Inside Ask Size ( number of Ask shares or contracts at the Inside Ask, the price closest to the current price ). For example, the current price is , the Inside Bid is at and the Inside Ask is at Note the Inside Bid, which is the best or lowest price that buyers pay is usually below the current price, while the best or highest price that sellers get is usually above the current price. If the Inside Bid Size = 550 and the Inside Ask Size is 100, the Bid/Ask Ratio would be 5.5. The larger the ratio the more buyers or buying demand you have in relation to the sellers or selling demand. A value of 5.5 means there is five+ times the buying demand versus selling demand, which suggests that a Buy or BuyToCover Limit order at the Bid is less likely to fill than if the buyers and sellers are roughly equal or the sellers outnumber the buyers. So, the higher the ratio the less likely the Limit order will fill. When the Bid/Ask ratio meets or exceeds the LEorSXBidAskRatioToConvertLimitToMktOrder, the Limit order is immediately converted to a Market order. Console LEorSXBidAskRatioToConvertLimitToMktOrder 1.0 { Min: Max:10,000 } This feature can be turned on at the same time or in parallel with any of the other features which convert Limit to Market orders: Milliseconds Time, Ticks Pullback or Volume. The purpose of this Input is to provide precise control of how Limit orders fill in order to minimize slippage while insuring the Limit Order does reliably fill. Based upon experience and knowledge of trading under the current Market conditions for a given symbol, setting the correct Input value may reduce slippage while insuring a reliable fill. 9/19/2017 Emerald 55

56 Setting the SEorLXAskBidRatioToConvertLimitToMktOrder Strategy Input SEorLXAskBidRatioToConvertLimitToMktOrder: Default: 1.0 Min: Max: 10,000. ANY Short Entry(SE) or Long Exit(LX) Limit order will be converted to a Market order WHEN the Ask / Bid Ratio(Inside Ask Size / Inside Bid Size) hits or exceeds the Input Value. The Ask/Bid Ratio is the ratio of the Inside Ask Size ( number of Ask shares or contracts at the Inside Ask, the best Ask price closest to the current price ) to the Inside Bid Size ( number of Bid shares or contracts at the Inside Bid, the price closest to the current price ). For example, the current price is , the Inside Bid is at and the Inside Ask is at Note the Inside Bid, which is the best or lowest price that buyers pay is usually below the current price, while the best or highest price that sellers get is usually above the current price. If the Inside Bid Size = 100 and the Inside Ask Size is 500, the Ask/Bid Ratio would be 5. The larger the ratio the more sellers or selling demand you have in relation to the buyers or buying demand. A value of 5 means there is 5 times the selling demand versus buying demand, which suggests that a SellShort or Sell Limit order at the Ask is less likely to fill than if the buyers and sellers are roughly equal or the buyers outnumber the sellers. So, the higher the ratio the less likely the Limit order will fill. When the Ask/Bid ratio meets or exceeds the SEorLXAskBidRatioToConvertLimitToMktOrder, the Limit order is immediately converted to a Market order. Console SEorLXBidAskRatioToConvertLimitToMktOrder 1.0 { Min: Max:10,000 } This feature can be turned on at the same time or in parallel with any of the other features which convert Limit to Market orders: Milliseconds Time, Ticks Pullback or Volume. The purpose of this Input is to provide precise control of how Limit orders fill in order to minimize slippage while insuring the Limit Order does reliably fill. Based upon experience and knowledge of trading under the current Market conditions for a given symbol, setting the correct Input value may reduce slippage while insuring a reliable fill. 9/19/2017 Emerald 56

57 Setting the BlockStratOrdersWhenUnfilledManualOrder Strategy Input BlockStratOrdersWhenUnfilledManualOrder: Default: FALSE. If set to TRUE then ALL Strategy orders are blocked when you have issued a manual order. This is to allow you the option of any manual orders you issue to override the Strategy orders so that your manual orders are controlling entries or exits. Note that if the Strategy it out of sync with the Actual Real-world Position then this may at times block the Strategy from resynching with the Actual Real-world Position, causing the ProfitProtector to repeatedly try to resync the Strategy with the Actual Real-world Position. Setting this Input to TRUE should be first carefully explored in Live Simulated before attempting in Actual Live. Console BlockStratOrdersWhenUnfilledManualOrder False 9/19/2017 Emerald 57

58 Setting the IssueSoundAlertWhenPositionMismatchFound Strategy Input IssueSoundAlertWhenPositionMismatchFound: Default: FALSE. If set to TRUE then audible sound alerts are issued when the strategy is forced to resync to Adopt the Real-world Position after MSTimeoutPositionMismatch Milliseconds time have elapsed waiting for the strategy position to match the Actual Real-world Position. Console Note that Audible Alerts will always be issued if the Strategy aborts, or the ProfitProtector or ProfitProtector Companion Indicator abort, or if the chart is refreshed manually, or the chart refreshed automatically due to a data outage or disconnect from the TradeStation. The default value is the ahooga.wav sound file located in your TradeStation Program Folder. If you want to use another sound file, it must be located in your TradeStation Program Folder. If the AlertSoundFile is not blank, the AlertSoundFile will be played when the strategy first starts up and whenever the strategy recalculates in order to correct a potential Position Mismatch. IssueSoundAlertWhenPositionMismatchFound False 9/19/2017 Emerald 58

59 Setting the AlertSoundFile Strategy Input AlertSoundFile: Default: C:\Program Files(x86)\TradeStation\9.5\Program\ahooga.wav. The default value is the ahooga.wav sound file located in your V9.5 TradeStation Program Folder. Even if no sound file is specified with nothing between double quotes, like, the ahooga.wav sound file located in your V9.5 TradeStation Program Folder will be used for Abort, Error Message and Chart Refresh alerts. Console If you want to use something other than the ahooga.wav sound file, you can specify it with this Input, or click on the Button to the right of Issue Alert on the Console, and the Button text will change from ahooga.wav to Get New Sound File. An Explorer window titled Select WAV File for Sound Alert will open as shown below. Then locate the Folder and sound file you desire, and click on the Open button at the bottom of the Explorer window to select it, close the window and display it in the Button. You can repeatedly change the sound file. DO NOT attempt to open any other windows, click on another window or click on anything within TradeStation until you have closed this window by clicking on Open button, else TradeStation will hang. AlertSoundFile C:\Program Files(x86)\TradeStation 9.5\Program\ahooga.wav 9/19/2017 Emerald 59

60 Setting the DisableControls Strategy Input DisableControls: Default: DISABLED. Only found on the Console When Enabled the entire Console above it is DISABLED, except START TRADING, or RESTART TRADING, shown at the very top of the Console. When any cell within the Console is DISABLED it is shown in a medium gray color and cannot be changed. This can be used to protect the current settings from being accidentally changed while trading. All controls disabled 9/19/2017 Emerald 60

61 Setting the PrintDebugFile and HelpLinkToUserManual Strategy Inputs PrintDebugFile: Default: FALSE. This should only be set to TRUE if you have experienced issues when using the ProfitProtector and have been requested by Emerald to set this to TRUE. Note the PrintDebugFile Input is not available in the Console. It can only be set by Formatting the ProfitProtector Inputs prior to the turning on the strategies to begin Live. Setting PrintDebugFile to TRUE means that detailed debug logging is turned on, which adds computational overhead. Several large.csv debug files are created each time the ProfitProtector runs. These files are then passed onto Emerald for analysis. Note these files are encrypted and useless to produce for any other reason. HelpLinkToUserManual: Default: Link to EmeraldTechnologies.com. This Input sets the location for displaying the User Manual when the Help link is clicked on at the bottom of the Console. 9/19/2017 Emerald 61

62 Example of Automated With Protective OCO Exit Bracket Profit Target and Stop Loss Protective OCO BRKT Orders Note the strategy and Real-world position are displayed in the Console. Green means a Long position and Red means a Short position. When they are not the same the strategy and Real world position are out of sync, which will cause the strategy to be resynced. 9/19/2017 Emerald 62

63 Typical Strategy Automation Warning Window That Appears At Times When the Strategy is Being Resynced with the Real-World Position You can slide this window out of the way and generally ignore this when the ProfitProtector is running. Over time more orders will accumulate in the window. When you have stopped trading you can click on the Do Not Close Position button repeatedly until all the orders clear and the window closes, or you can restart TradeStation to clear the window. 9/19/2017 Emerald 63