Where is the timesetting for "this bar on close"?

Questions about MultiCharts and user contributed studies.
User avatar
siscop
Posts: 187
Joined: 09 Jan 2011
Has thanked: 33 times
Been thanked: 25 times

Where is the timesetting for "this bar on close"?

Postby siscop » 06 Apr 2011

Hi,
I have some problems with the order „sell this bar on close“ on a DayChart.
It tries to close the position after the market is close and it varies from 9 sec to 4 min after the market closed. Of course all the Market orders to sell are rejected.
Where do I enter the time to send the order prior the close eg. 5 min or 30 sec or any other time prior close? Sending the order AFTER the market is close has to fail.

User avatar
TJ
Posts: 6348
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 954 times
Been thanked: 1828 times

Re: Where is the timesetting for "this bar on close"?

Postby TJ » 06 Apr 2011

siscop wrote:Hi,
I have some problems with the order „sell this bar on close“ on a DayChart.
It tries to close the position after the market is close and it varies from 9 sec to 4 min after the market closed. Of course all the Market orders to sell are rejected.
Where do I enter the time to send the order prior the close eg. 5 min or 30 sec or any other time prior close? Sending the order AFTER the market is close has to fail.


sell this bar on close“ is for backtest only.

User avatar
siscop
Posts: 187
Joined: 09 Jan 2011
Has thanked: 33 times
Been thanked: 25 times

Re: Where is the timesetting for "this bar on close"?

Postby siscop » 06 Apr 2011

Not the answer that I wanted but it answered my question. Thanks for that.

This is a feature that should be added.
I will open a ticket in Project Management then.

User avatar
TJ
Posts: 6348
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 954 times
Been thanked: 1828 times

Re: Where is the timesetting for "this bar on close"?

Postby TJ » 06 Apr 2011

EasyLanguage Essentials
Programmers Guide

Strategy Order Syntax... pg. 80

Order Actions

this bar on Close: Market order on the close of this bar, generally used for historical backtesting purposes only. This will not generate a market on close order.

User avatar
TJ
Posts: 6348
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 954 times
Been thanked: 1828 times

Re: Where is the timesetting for "this bar on close"?

Postby TJ » 06 Apr 2011

Most brokers require the final order entered 3 minutes before close to guarantee a fill, but the required time can vary from broker to broker.

User avatar
siscop
Posts: 187
Joined: 09 Jan 2011
Has thanked: 33 times
Been thanked: 25 times

Re: Where is the timesetting for "this bar on close"?

Postby siscop » 06 Apr 2011

Well in live trading it does sends out marketorder which are rejected.
Just in case someone wants to vote for this feature:
http://www.multicharts.com/pm/viewissue ... _no=MC-252

User avatar
TJ
Posts: 6348
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 954 times
Been thanked: 1828 times

Re: Where is the timesetting for "this bar on close"?

Postby TJ » 06 Apr 2011

By default (ie no intrabarordergeneration), orders are calculated at the end of the bar and sent at the next tick.

If you want to exit by close, you have to:
1. wrap up the calculation. That has to happen before the start of last bar because the calculations are done at the end of the bar.
2. generate an order and post it to broker well in advance of the last call.

User avatar
siscop
Posts: 187
Joined: 09 Jan 2011
Has thanked: 33 times
Been thanked: 25 times

Re: Where is the timesetting for "this bar on close"?

Postby siscop » 07 Apr 2011

Just to make sure with your 2 points... I have to enable IOG?

If I did understand your points then I have to enable IOG and if I want a order to be generated 10 min before close and hope there are 2 ticks coming before it closes I have to add this code

if time>1550 and marketposition=1 then
...

User avatar
TJ
Posts: 6348
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 954 times
Been thanked: 1828 times

Re: Where is the timesetting for "this bar on close"?

Postby TJ » 07 Apr 2011

siscop wrote:Just to make sure with your 2 points... I have to enable IOG?

If I did understand your points then I have to enable IOG and if I want a order to be generated 10 min before close and hope there are 2 ticks coming before it closes I have to add this code

if time>1550 and marketposition=1 then
...


no, IOG is not my point.

whether you use IOG depends on the design of your strategy.


I can't give you suggestions without knowing your specifics.
what is the resolution of your chart?
what instrument you are trading? stock? future? forex?


ps. trading was never designed for thin markets that have no volume.

User avatar
siscop
Posts: 187
Joined: 09 Jan 2011
Has thanked: 33 times
Been thanked: 25 times

Re: Where is the timesetting for "this bar on close"?

Postby siscop » 07 Apr 2011

Just a simple strategy...
Market: US-Stocks
Exitstrategy as simple as:

condition1=c>o;
if condition1 and marketposition=1 then
sell this bar on close;

DayChart -> openprice (at 09:30) and closeprice (at 15:50 in my case or in your case 16:00).

In order to use the closeprice (or near to it) of the day I have to enable IOG and add the timefilter.
The entry is calculated on a D1 information with a average holdingtime of 4-5 days I just changed the code from "next bar at market" to "this bar on close" and it had better result in backtest.
Now after it rejected the marketorder after marketclosed - the position is still open after the market opend today. I had to close it manually.
ps. trading was never designed for thin markets that have no volume.

I am not sure what this has to do with it?

User avatar
TJ
Posts: 6348
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 954 times
Been thanked: 1828 times

Re: Where is the timesetting for "this bar on close"?

Postby TJ » 07 Apr 2011

a few things to consider:

1. your perspective is on the daily chart, but your operation (the closing order) is actually intrabar. ie intraday trading.

2. to get an order executed during the day, there are 2 methods you can use:
a) use IOG on daily chart
b) use 2 data streams... a daily chart as data2, and a shorter resolution as data1. You can execute your orders anytime on the intraday data1.

for more information on multi-data strategies,
see post #4
viewtopic.php?f=16&t=6929

User avatar
TJ
Posts: 6348
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 954 times
Been thanked: 1828 times

Re: Where is the timesetting for "this bar on close"?

Postby TJ » 07 Apr 2011

siscop wrote:...
ps. trading was never designed for thin markets that have no volume.

I am not sure what this has to do with it?


This is in reference to your comment "...hope there are 2 ticks coming before it closes...".

When there is no trade in the market,
even the best strategy cannot make any money.

User avatar
Stan Bokov
Posts: 963
Joined: 18 Dec 2009
Has thanked: 367 times
Been thanked: 299 times

Re: Where is the timesetting for "this bar on close"?

Postby Stan Bokov » 08 Apr 2011

Siscop - this is a very valid question. TJ - thanks for your help on this.

I have encountered this before, and studied it at length - there are nuances that make this seemingly logical and simple thing rather difficult to accomplish.

First, a little background on backtesting vs. real-time. Backtesting is a simulation of what "would have" happened, which tried to approach real-time in accuracy, so that you can see if your strategies are any good. In any simulation there are assumptions, which do not work in real-time. "This bar on close" works well in backtesting, because fills are assumed to happen instantly, which does not happen in real-time. In real-time there are all sorts of delays - transmission time, broker response time, internet speed, local and server computer speed, possible interruptions along the way, etc.

In real-time, MultiCharts closes a bar on two conditions - 1) the first tick of the next bar arrives, or 2) there are no ticks received for a particular time period. So, "this bar on close" will always happen in backtesting, but it has no chance of happening in real-time - by the time the bar is considered closed, the order is no longer valid, since the new bar already opened. You should use "next bar open" for intraday trading, which is essentially the same as "this bar close".

Now, what it appears you are trying to do is to exit at the end of the day. That is a whole other task altogether. There are a couple of ways to do this.

Solution 1
If you insist on keeping "this bar close" expression for end of day, you need to close the last bar of the day early, so that the order has time to process. This can be accomplished by doing 2 things.
1. Set the Exchange or Symbol Session a few minutes earlier than the actual closing time, which will stop your chart from ticking. However there will still be time to process your order.
2. There is a timeout setting in MultiCharts which forces your bar to close after no ticks are received for a pre-defined amount of time. By default it's 5 min (300 seconds). You can shorten that timeout to let's say 60 seconds, and your this bar close orders will be generated.

The above solution is not optimal, but it was the only way to do that until certain keywords were introduced.

Solution 2
In MC6, your script only recalculated based on "events", i.e. upon receiving new ticks. There was no way to make the script calculate if the symbol was not ticking. We introduced a keyword called "RecalcLastBarAfter", which forces your script to recalculate after a certain number of seconds. With this keyword you are no longer required to wait for a tick, and instead of waiting for the timeout as in Solution 1, you can simply force a recalculation, which can send your order after your bar is closed early.

1. Set the Exchange or Symbol Session a few minutes earlier than the actual closing time, which will stop your chart from ticking. However there will still be time to process your order.
2. Use RecalcLastBarAfter, which will recalc your script and send the order if appropriate.
These users thanked the author Stan Bokov for the post (total 2):
TJarjfca

User avatar
siscop
Posts: 187
Joined: 09 Jan 2011
Has thanked: 33 times
Been thanked: 25 times

Re: Where is the timesetting for "this bar on close"?

Postby siscop » 09 Apr 2011

Thank you TJ and Stan.

I still think it would be much easier just to implement an entrybox that covers syncs with QM.

if ticktime>QM Endtime (16:00) - PreExitTime(user defined in seconds) then
"execute the this bar on close order"

The PreExitTime is an input just as in the screenshot. Instead of 30 sec the user can enter 600 (10min.) just to make sure that there are ticks coming in before the market closes.

Regarding your solution of setting the Endtime early in QM and upcoming from there the solution 1 and 2.
That is a nice workaround. I will do this and hope your Team might think about implementing this feature into a future MC release.

EDIT 12:45
I do understand where the problem here was. Normally on an Intradaycharts there is no gap between the close an the open of a new bar (or a very small one) so this doesn't make a difference. I also understand you when you say that you can only work with ticks coming in to run threw the loop (that was before RecalcLastBarAfter) and in normal condition the last tick of a daychart is the marketclose.

My request was for the DayChart where gaps come up very often so my statement of requesting a live trading execution on this bar on close should have meant a close on the end of the day.
Attachments
ExitOnClose.png
ExitOnClose.png (3.08 KiB) Viewed 872 times

User avatar
TJ
Posts: 6348
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 954 times
Been thanked: 1828 times

Re: Where is the timesetting for "this bar on close"?

Postby TJ » 09 Apr 2011

There is a keyword called SetExitOnClose.
It will flatten ALL positions at the end of the day.

Unfortunately it works in the same fashion as "Sell this Bar on Close".



It would be good to enhance the keyword with the following options:

SetExitOnClose( SessionNumber, PreExitTime);


where:
SessionNumber is the session that you want to exit,
and
PreExitTime is the time offset you want to post your exit order.

User avatar
furytrader
Posts: 353
Joined: 30 Jul 2010
Location: Chicago, IL
Has thanked: 155 times
Been thanked: 214 times

Re: Where is the timesetting for "this bar on close"?

Postby furytrader » 10 Apr 2011

Agreed, TJ's suggested enhancements to that function would be great.

User avatar
siscop
Posts: 187
Joined: 09 Jan 2011
Has thanked: 33 times
Been thanked: 25 times

Re: Where is the timesetting for "this bar on close"?

Postby siscop » 10 Apr 2011

+1

User avatar
Stan Bokov
Posts: 963
Joined: 18 Dec 2009
Has thanked: 367 times
Been thanked: 299 times

Re: Where is the timesetting for "this bar on close"?

Postby Stan Bokov » 11 Apr 2011

I see your points. Please add this as a feature request to PM.

dblend
Posts: 16
Joined: 11 Jul 2011
Been thanked: 1 time

Re: Where is the timesetting for "this bar on close"?

Postby dblend » 14 Jul 2011

Hi All,

I am struggling with the same problem. I trade in a market where continuous trading is between 09:00 and 16:50, then there is a 10 minute auction between 16:50 and 17:00 and then a final close price. Between 16:50 and 17:00 there will be no ticks as no trades go through.

Reading the information above, i see i am not alone in needing to close my position slightly before the end of the day. I am using RecalcLastbarAfter(5); in my code which will recalculate every 5 with or without new ticks coming in. Because no ticks are coming in, i have decided to use the system clock to see if the time is in the auction range. I am using the following code:

Code: Select all

RecalcLastbarAfter(5);
CurrTime = currenttime;
if(CurrTime > 1650 and StartFlag = False and EndFlag = True) then
begin
   if (marketposition = -1) then
      begin
         buy absvalue(currentshares) shares next bar at market;   
      end
   else if(marketposition = 1) then
      begin
         sell absvalue(currentshares) shares next bar at market;
      end;
end;


My question is that even if the code enters the if statement, when i place the trades at next bar, will that occur due to the RecalcLastbarAfter(5); or will it simply be at my session end 17:00 when it is too late, in which case do i still need to make my session end time a few minutes earlier?
These users thanked the author dblend for the post:
JoshM

User avatar
Dave Masalov
Posts: 1712
Joined: 16 Apr 2010
Has thanked: 51 times
Been thanked: 486 times

Re: Where is the timesetting for "this bar on close"?

Postby Dave Masalov » 15 Jul 2011

dblend,

Please try to use PlaceMarketOrder keyword instead of buy next bar at market.

Try the following code:

Code: Select all

RecalcLastbarAfter(5);
CurrTime = currenttime;
value1 = currentshares;

if(CurrTime > 1650 and StartFlag = False and EndFlag = True) then
begin
   if (marketposition = -1) then
      begin
         if PlaceMarketOrder(True, True, value1) = True then
            ChangeMarketPosition(value1, close, "Final Buy");
      end
   else if(marketposition = 1) then
      begin
         if PlaceMarketOrder(False, False, value1) = True then
            ChangeMarketPosition(-value1, close, "Final Sell");
      end;
end;

2haerim
Posts: 502
Joined: 01 Sep 2006
Been thanked: 2 times

Re: Where is the timesetting for "this bar on close"?

Postby 2haerim » 16 Jul 2011

Some programs support the following built-in signal functions:

[1] SetStopEndofDay(time)
- This function closes the open positions at the specified time with the preset price.
- If time is 0, this feature is cancelled. Also if you do not provide time at all,
it will close positions on the today's close as usual.
- For this feature to work, IOG must be turned on.
- ex) SetStopEndofday(150130) will close the open positioins at 15:01:30.

[2] SetStopInactivity([minprice], [period], [method])
- ex) SetStopInactivity(2, 5, PercentStop) will close open positions if the price
does not move more than 2% after the positon entry
during the next 5 bars

Other users in this forum can add up all the other useful modifications for general usage.

dblend
Posts: 16
Joined: 11 Jul 2011
Been thanked: 1 time

Re: Where is the timesetting for "this bar on close"?

Postby dblend » 18 Jul 2011

Hi 2haerim,

Thanks for the comments.
The functions SetStopEndofDay and SetStopInactivity do not seem to be supported by Multicharts.
Are you able to use them or are they 3rd party functions? These functions would be very useful and would solve my problem shown above.

I am finding using

Code: Select all

RecalcLastbarAfter(5);
CurrTime = currenttime;
value1 = currentshares;

if(CurrTime > 1650 and StartFlag = False and EndFlag = True) then
begin
   if (marketposition = -1) then
      begin
         if PlaceMarketOrder(True, True, value1) = True then
            ChangeMarketPosition(value1, close, "Final Buy");
      end
   else if(marketposition = 1) then
      begin
         if PlaceMarketOrder(False, False, value1) = True then
            ChangeMarketPosition(-value1, close, "Final Sell");
      end;
end;


gives me errors as for some reason. The use of currtime doesnt close my positions during that time and also makes backtesting impossible. Does anyone have any other alternatives to close all my days positions at a specified time when there is no tick data during that time period (auction period)

User avatar
JoshM
Posts: 2022
Joined: 20 May 2011
Location: The Netherlands
Has thanked: 1519 times
Been thanked: 1451 times
Contact:

Re: Where is the timesetting for "this bar on close"?

Postby JoshM » 29 Jan 2013

Dave Masalov wrote:dblend,

Please try to use PlaceMarketOrder keyword instead of buy next bar at market.

Try the following code:

Code: Select all

RecalcLastbarAfter(5);
CurrTime = currenttime;
value1 = currentshares;

if(CurrTime > 1650 and StartFlag = False and EndFlag = True) then
begin
   if (marketposition = -1) then
      begin
         if PlaceMarketOrder(True, True, value1) = True then
            ChangeMarketPosition(value1, close, "Final Buy");
      end
   else if(marketposition = 1) then
      begin
         if PlaceMarketOrder(False, False, value1) = True then
            ChangeMarketPosition(-value1, close, "Final Sell");
      end;
end;

Can the Name parameter of the ChangeMarketPosition keyword be changed programmatically depending on the type of ChangeMarketPosition() order is needed?

For example, something like this:

Code: Select all

      test = IffString(MarketPosition_at_Broker > 0,
                        Text("Buy @ ", NumToStr(AvgEntryPrice_at_Broker, numDeci)),
                        Text("SellShort @ ", NumToStr(AvgEntryPrice_at_Broker, numDeci)));
   
      ChangeMarketPosition(MarketPosition_at_Broker - (MarketPosition(0) * CurrentContracts),
                              IFF(AvgEntryPrice_at_Broker = 0, Close, AvgEntryPrice_at_Broker),
                              test);


Gives the following faulty order names (only "Buy" orders while the red arrows down are short ChangeMarketPosition() orders):
Image

It seems to me that the Name parameter of ChangeMarketPosition() only remembers the first instance (i.e., therefore the SellShort orders are still termed Buy orders in the image).
Attachments
scr.29-01-2013 18.43.47.png
scr.29-01-2013 18.43.47.png (2.62 KiB) Viewed 1558 times

User avatar
Henry MultiСharts
Posts: 8254
Joined: 25 Aug 2011
Has thanked: 1175 times
Been thanked: 2609 times

Re: Where is the timesetting for "this bar on close"?

Postby Henry MultiСharts » 30 Jan 2013

Hello Josh,
JoshM wrote:It seems to me that the Name parameter of ChangeMarketPosition() only remembers the first instance (i.e., therefore the SellShort orders are still termed Buy orders in the image).

That is correct.
JoshM wrote:Can the Name parameter of the ChangeMarketPosition keyword be changed programmatically depending on the type of ChangeMarketPosition() order is needed?

That is not possible with the current implementation of ChangeMarketPosition. We will extend the functionality in one of the future versions by adding possibility to change the name parameter.
These users thanked the author Henry MultiСharts for the post:
JoshM


Return to “MultiCharts”