Often users want to exit a trading strategy on the close of the same bar as they entered. There are two situations:

1. You know before the bar you are entering on that you want to exit on the same bar. I.e., you are making the decision to get out at the close before the bar even begins. For example, maybe you want to exit EVERY bar on the close after entering on the open. In that case, all you need to do is make your exit condition something always true like close=close, and use a marketclose order instead of a market order. Then you’ll get entry fills on every bar’s open, and exit fills on every bar’s close.

2. You want to make your decision to get out DURING the bar you got in on. For example, what some people want to do is get in on the open, but get out on the close if the close happens to be 5 points higher than the open or some other similar logic. That you cannot do because NeuroShell “fires” its models (logic) after a bar is complete, whereupon it is too late to get out. (well … you can if instead of close=close, you used Lead(Close,1) > Lead(Open,1) + 5 … but then you wouldn’t get any real-time signals, only backtested signals. Remember to be careful with the Lead indicator). So therefore, if you are trying to get in and out on daily bars based on conditions during the day, you need the DayTrader.

Related tips:

When Fills Occur (4/1/2004)
Getting a stop or limit on the same bar as entry (3/18/2002)