How to Automate End-of-Day Exits in TradeStation: Automate Market Close Orders

Automating end-of-day exits in TradeStation can enhance your trading by ensuring that all positions close at the specified time daily, safeguarding against overnight volatility and helping manage risk. TradeStation provides several built-in and custom strategy options to execute end-of-day exits, but challenges may arise due to market timing, post-market trading, or specific security requirements. Below, we’ll walk you through how to automate these exit orders effectively.

1. Understanding TradeStation’s Automation Capabilities

TradeStation’s strategy automation allows for both intraday and end-of-day (EOD) exits, but understanding the platform’s technicalities is crucial. In TradeStation, strategies evaluate and execute orders based on bar close events. For historical backtesting, the platform will display a precise marker at the end of each trading day, showcasing where the strategy exited. However, in real-time trading, it may not execute as expected because markets are closed by the time the strategy generates the order. This results in two scenarios:

• Post-Market Exit: The exit may be executed in post-market if one exists.
• Next-Day Open Exit: If no post-market exists, the strategy queues the order for the next trading session open.

2. Using the ‘Set Exit on Close’ Command

The reserved EasyLanguage command Set Exit on Close is the most direct way to set an EOD exit. It ensures that your TradeStation strategy exits all open positions at the close of the session. However, this command’s limitations lie in its reliance on session close times, which default to the exchange’s end time. To utilize Set Exit on Close effectively, creating a custom session end time—ideally a few minutes before the official market close—ensures that the platform has time to place the order before the market closes.

3. Creating a Custom Session for EOD Exits

To avoid the pitfall of orders attempting to execute after hours, we’ll create a custom session in TradeStation. This strategy will trick the platform into recognizing an earlier close time, allowing the order to be placed and executed with a few minutes of trading time remaining. Here’s how to create a custom session that ends at 3:57 PM (three minutes before the official close):

• Step 1: Access Session Settings
  • Double-click on any candle on your chart or go to Data > Edit Symbol to open Customize Symbol properties.
• Step 2: Define Session Timing
  • Under Properties, go to Sessions and select the dropdown menu to create a Custom Session.
  • Name your session, for example, 3 Minutes Before Stock Close.
  • Set the session to open at 9:30 AM and close at 3:57 PM. Ensure to check Use this session as the end of trading day marker for ‘Set Exit on Close’.
• Step 3: Apply to All Trading Days
  • Use the Add Monday through Friday option if the timing applies uniformly across all trading days.

This session now marks 3:57 PM as the end-of-day close time for TradeStation, giving you a three-minute buffer before the actual market close.

4. Implementing the EOD Exit Strategy

Once your custom session is set, integrate Set Exit on Close into your strategy:

• Insert this command into your EasyLanguage code:easyCopy codeSet Exit on Close;
• Save and apply the strategy to your chart. Now, every time the custom session ends (at 3:57 PM), the strategy will exit open positions, simulating an end-of-day order for historical backtesting and automation.

5. Using Built-in Strategies with EOD Exits

TradeStation includes several built-in strategies, such as gap-up and gap-down strategies, which can be useful when combined with the Set Exit on Close command. Here’s how to apply them:

• Go to Studies > Add Strategy and select a built-in strategy like Gap Up or Gap Down.
• Apply your custom session to the chart and ensure that your strategy exits positions at 3:57 PM rather than at market close.

6. Adjusting for Time-Sensitive Exits in Futures Markets

When trading futures, the EOD exit timing can vary due to overnight sessions. Futures, unlike stocks, may close at different times or continue trading into the next day. To adjust for this, you can implement the following:

• Use Session First Bar Time in your EasyLanguage code to specify session opens.
• Modify your exit conditions by setting If Time = Session First Bar Time.

For futures, the strategy will recognize the start and end of each session, adjusting the exit based on your session times.

7. Troubleshooting and Further Customization

For those needing further customization, TradeStation’s EasyLanguage Forums offer advanced code examples and downloadable ELD files to modify and improve exit behaviors. From limiting exits to specific bars to forcing market orders just before close, the forums provide a wealth of community-shared insights:

• Exit Minutes Before Close: Adjusts for intraday gaps and session changes.
• Convert Limit Orders to Market Orders: Automates exits at the exact time specified.

Explore these strategies and test thoroughly before live trading.

8. Testing and Refining Your Strategy

After implementing your automated EOD exit strategy, testing is essential to ensure expected behavior. TradeStation’s simulator allows you to:

• Test the strategy on historical data.
• Adjust settings to account for specific market conditions.
• Ensure compliance with real-time trading rules, like margin requirements and day-trade limits.

Utilize TradeStation’s VideoStation or educational sessions for tutorials on refining your EasyLanguage skills. Automated EOD strategies require precise timing, and any discrepancies in session settings or timing commands can lead to unexpected results.

This article is based on TradeStation and Jesus Navas videos below. I suggest you follow him and Tradestations youtube channel below.

PDF Download (Exit Positions on Market Close with Automated Strategies)

Here is more info on how to automate the market on close order written by kjtradingsystems.com and Kevin Davey. Another account I encourage you to follow and look up.