How would I go about adding a check to see what the size of the gap between market close and market open is? If like to be able to detect if the gap is larger than x amount of pips, and add a pt/so according to the size of the gap. The best I’ve figured out how to do is detect if there is a gap, but not how large or small the gap is. Any help creating that rule or pointing me to some documentation that would help would be greatly appreciated. I should note that I would be using the algowizard built into strategyquant
So would it look like OpenDaily(x gap pips) – CloseDaily(1) ?
- This reply was modified 2 months ago by Southernpitbull.
the example attached shows how to save the gap size (in pips) into a variable called “gapSizePips” which can be then used to decide what to do next
Let me know if any questions
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