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:

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.

Norgate to IB Futures Symbol Mapping

RealTest includes a file called ibfutures.csv. This file maps Norgate futures symbols to the corresponding IB symbols when there are differences.

The default contents are:

If you find others, feel free to add them.

Note that for any Norgate futures contract symbol, RealTest will automatically change the name to the correct IB format when creating a CSV order basket. For example, ES-2022M would become ESM2, and (also using mapping) 6E-2022M would become EURM2.

To use the ibfutures.csv symbol mapping file, you must add SymChangeList: ibfutures.csv to your script's Settings section.