conditional order executed at market close

Hi,

I’m having grief building a conditional order to sell when RSI of daily aggregation > 55.
That much is pretty easy; this code will do it:

input RSIlength = 4;
input exitScore = 55;
input RSIavg = AverageType.WILDERS;

def price = close;

def NetChgAvg = MovingAverage(RSIavg, price – price[1], RSIlength);
def TotChgAvg = MovingAverage(RSIavg, AbsValue(price – price[1]), RSIlength);
def ChgRatio = if TotChgAvg != 0 then NetChgAvg / TotChgAvg else 0;
def RSI = 50 * (ChgRatio + 1);

plot SELLINGsignal = RSI > exitScore;

# ——————————————————————————

However, the trading rule says “ON THE CLOSE”.

MOC orders don’t allow conditions.

So, I’m trying to use MARKET with conditions. And, this will work for that part of the puzzle:

input marketCloseTime = 1600;
input lastMinutes = 2;

def secondsTillClose = SecondsTillTime(marketCloseTime);
def minutesTillClose = secondsTillClose / 60;
def TIME_OK = minutesTillClose < lastMinutes;

plot SELLINGsignal = TIME_OK;

# ————————————————————————————-

However, THAT hast to run on an aggregation period smaller than DAY, or it won’t work.

So, I’m down to trying to get the DAILY level RSI in a sub-day-level aggregation period.

If I use this (screen shot 1):

def price = close(period = AggregationPeriod.DAY);

I won’t get TODAY’s RSI score until actual CLOSE of the daily bar – which means we can’t trade based on the information. (And, GTC Extended can’t use conditions, either).

It appears the puzzle is about calculating DAILY period RSI, but within a sub-daily aggregation period.

I tried this experiment (on a one-hour chart):

declare lower;

input crStartTime = 1500;
input crEndTime = 1558;

def CR = if SecondsFromTime(crStartTime) > 0 and SecondsFromTime(crEndTime) <= 0
then close else CR[1];

plot line = CR;

plot day = close(period = aggregationperiod.DAY);
# ————————————————————————————-

On the one-hour chart, the lines are not exactly the same, but the values at close-of-day are identical

However, if I use this CR value to calculate RSI, everything goes off the rails (screen shot 2):

declare lower;

input length = 4;
input averageType = AverageType.WILDERS;

input crStartTime = 1500;
input crEndTime = 1558;

def day = close(period = AggregationPeriod.DAY);

def dNetChgAvg = MovingAverage(averageType, day – day[1], length);
def dTotChgAvg = MovingAverage(averageType, AbsValue(day – day[1]), length);
def dChgRatio = if dTotChgAvg != 0 then dNetChgAvg /dTotChgAvg else 0;

plot dRSI = 50 * (dChgRatio + 1);

def CR = if SecondsFromTime(crStartTime) > 0 and SecondsFromTime(crEndTime) <= 0
then close else CR[1];

def crNetChgAvg = MovingAverage(averageType, CR – CR[1], length);
def crTotChgAvg = MovingAverage(averageType, AbsValue(CR – CR[1]), length);
def crChgRatio = if crTotChgAvg != 0 then crNetChgAvg / crTotChgAvg else 0;

plot crRSI = 50 * (crChgRatio + 1);

# ————————————————————————————————————–

I’ve got a second-level issue in that I’d like to limit this thing also to trading only on the last trading day of the week, and I’d like not to miss a trade due to a holiday (Thursday LDOW rather than Friday). But, at this point, that’s secondary to the main puzzle.

Any help would be appreciated!