Taking a Trade at opening

[Kiran_KS]

@Krishnendu

Our backtest result is the closest approximation of a real trade but there will be some difference of course but this is not because of time only. For example, if 50 traders place a market order on the same contract at 9:15-20 AM, there is a high probability that the prices they receive will vary even if it gets executed at the same time, unless there is one large order on the other side with the same price which is able to absorb all the 50 orders. The slippage on a lot of stocks can be much less. This is why you can consider a minimum of 2-3% of slippage on the backtest results. That is a conservative assumption.

I completely understand the slippages due to other factors, My concern is the added slippage of not being able to take the trade till the close of the candle plus slippage due to missing autotrade. Ofcourse, the later one is not in your hands and hence I have no request with respect to that but the former one can be addressed.

@Krishnendu

Enabling triggers on LTP means trade can be triggered without the formation of a proper candle. Let’s assume you are looking at a 5 min chart and trading, if you place your orders before completion of a 5 min candle, that means you are placing orders before the formation of a pattern. When you place your order, the LTP was near the high of the 5 min candle but after the candle closed, price retraced and closed near to its candle open, forming a Doji. As per the price action theory, trading a Doji would be different. Moreover, the charts that you see has minimum timeframe of 1 min, so anything less that you will not be able to verify using charts.

Hope this gives a better clarification.

Yes it does and I get the reasoning behind it. I do understand the concerns w.r.t false positives but this is something that user should have the freedom to build into his entry condition. If he/she does not want to trigger based on false positives, then the entry condition should be appropriately set i.e

1. either use n-1 candle to confirm the pattern or
2. we continue to use OHLC variables for triggering after completion of candle but introduce LTP and only this triggers based on current candle. OHLC can be continued to use by those who want to wait till confirmation and LTP for those who want immediate triggers.

The target scenarios for this requirement is intraday reversal trades or the ones like below where things move very fast,

At 13:33, my entry condition of candle low breaching 34860 is met and assuming its triggered at 13:34 after completion of 13:33 candle, I do not see much effect and it is still a false positive even after having this candle close signalling approach and will lets say hit a stop loss of 34880 at 13:40, If my stoploss was larger well and good, the trade would probably continue and be successful

But even in presence of a larger stop loss if instead of 13:33, we ended up in a situation of 13:42 directly when 34860 is breached again, the trigger theoretically would not get enabled till next candle where it is already at 34800 and even there the additional delay of alert being triggered after few seconds to process the entry condition + user notification and other slippages will result in trade being taken below lets say 34740 at 13:43 and hits a stop loss of 34760 or 34780 depending on the configured stop loss.

so in effect,

1. candle LOW breaching 34860 is late by one candle. Opportunity lost considering other slippages.
2. candle OPEN breaching 34860 is late by 2 candles . Opportunity lost even before entry!

The hope is that a candle LTP will trigger the condition at 1342 itself and considering the other slippages, even if we can capture at 34800, this would give the user a fair chance of capturing atleast a part of the opportunity. I do not even have the option to check its feasibility since we do not have a way to configure whether to wait till candle close or LTP.

Infact, the back test gave exact result like I speculated above resulting in a capture of 50 points fall as you can see below but the paper trading and I assume live trading too like paper trading would end up with an opportunity lost.