Pivot Limit Orders Strategy Diagram
This diagram turns classic pivot support and resistance into a persistent pair of limit orders. A rolling day of finished candles supplies the range, a short midnight window schedules the lifecycle, and the same live order references are carried through registration, replacement, cancellation, and charting.
Strategy Overview
- Finished five-minute candles feed Highest and Lowest indicators with a 288-bar window, which represents one rolling day, while the latest close completes the pivot calculation.
- The formulas calculate P = (H + L + C) / 3, R1 = 2P - L, and S1 = 2P - H without chaining one formula through another.
- Working time emits the daily rebalance pulse around midnight. A state latch allows the first pulse with ready levels and a flat position to register exactly one buy/sell pair.
- Order registering posts a buy limit at S1 and a sell limit at R1. Price shrinking is disabled because the supplied level is already the intended order price.
- Combination keeps the newest order reference. Later daily pulses drive Order replacing, and each replacement is returned to the same bus so the following move acts on the live order.
- Position protection places a 1% stop after a fill. A protective fill triggers Order cancellation for any surviving pivot order, while an opposite pivot fill naturally nets an open position back toward flat.
Entry and Exit Rules
- Long entry: After the 288-bar range is formed, the first eligible midnight pulse posts a buy limit at S1 with the configured volume. A touch of support fills the order; the sell order at R1 can then act as the opposing exit.
- Short entry: The same pulse posts a sell limit at R1. A touch of resistance opens the short, and the buy order at S1 provides the opposing limit exit.
- Exit: The opposite pivot order can flatten the position at the far side of the range. Independently, Position protection watches every pivot fill and closes adverse movement at 1%; its fill cancels any still-active buy or sell order.
Parameters
| Parameter | Default | Description |
|---|---|---|
| Candle Time Frame | 00:05:00 | Time frame of the finished candles used for the rolling-day range, pivot levels, order timing, and protection checks. |
| Order Volume | 1 | Quantity of each buy and sell limit order. |
| Stop Loss, % | 1 | Adverse distance from a pivot fill at which Position protection exits, in percent. |
Diagram Details
- The 288-bar Highest/Lowest window is a rolling-day approximation. It avoids relying on a separate daily candle subscription and updates from the same finished stream that drives trading.
- R1 and S1 are expanded directly from H, L, and C. This preserves the pivot equations while ensuring both levels are produced on one processing layer.
- A flag-valued variable remembers that the initial pair has been armed. It prevents a true session condition from creating a fresh pair on every candle.
- Registered and replaced orders enter Combination
buses. Replacement outputs loop back into those buses, so no later replacement holds a stale reference. - All limit registrations and replacements use OnlineOnly = false and ShrinkPrice = false, which makes the lifecycle suitable for historical replay and preserves calculated prices.
Usage
Import the .json file into Designer, run it in the backtester on historical data, then adjust the parameters or the blocks themselves to fit your instrument before trading it live.