spread charts
- TJ
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First, load your symbols into the chart.
in your Format Symbol window,
under the Style tab, set the chart type to "Invisible bars".
Next, create and apply this indicator to your chart:
[edit] added data multiplier
enjoy !
in your Format Symbol window,
under the Style tab, set the chart type to "Invisible bars".
Next, create and apply this indicator to your chart:
[edit] added data multiplier
Code: Select all
{---------- beginning of indicator ----------}
// indicator: Spread
// version: beta 0.2
// author: TJ
// license: public use
//
input:
data1.multiplier(1),
data2.multiplier(1);
var:
spread.h(0),
spread.l(0),
spread.o(0),
spread.c(0);
spread.h = high data1 * data1.multiplier - high data2 * data2.multiplier;
spread.l = low data1 * data1.multiplier - low data2 * data2.multiplier;
spread.o = open data1 * data1.multiplier - open data2 * data2.multiplier;
spread.c = close data1 * data1.multiplier - close data2 * data2.multiplier;
plotpb(spread.h, spread.l, spread.o, spread.c);
{---------- end of indicator ----------}
enjoy !
Last edited by TJ on 05 Feb 2010, edited 2 times in total.
- Andrew Kirillov
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- TJ
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- Andrew Kirillov
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- TJ
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Thank you Andrew, willregular indicators such as RSI will work with it?
will it be available this year?
before the new version arrives,
you can try this method for indicators:
http://www.traderslaboratory.com/forums ... -6372.html
- Andrew Kirillov
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Sure. You will be able to apply any indicator or strategy to the spreads.Thank you Andrew, will regular indicators such as RSI will work with it?
will it be available this year?
It is not confirmed that you will be able to reference different price fields, but we will try to keep it in mind.That's cool. Will we be able to plot say the mid-point of the ask and bid price without loading them into the plot window and hiding them?
Hi Andrew
I have a number of questions i'd like to ask re MC's forthcoming spreadtrading backtesting funtcionality.
1. As you are probably aware, in order to effectively backtest calender spreads you need your software to run the backtest on the individual contracts rather than a continuous contract, which destroys the differential you are trading between the contracts and therefore means your backtesting results will be useless. Will MC be able to do this and automatically roll over from one single contract to the next when backtesting?
2. Also will MC facilitate weighting between the contracts in its backtetsing, for example, to be long 2 contracts of market A and be short of 1 contract of market b?
I'm eager to hear your anwers.
Thanks
Syn
I have a number of questions i'd like to ask re MC's forthcoming spreadtrading backtesting funtcionality.
1. As you are probably aware, in order to effectively backtest calender spreads you need your software to run the backtest on the individual contracts rather than a continuous contract, which destroys the differential you are trading between the contracts and therefore means your backtesting results will be useless. Will MC be able to do this and automatically roll over from one single contract to the next when backtesting?
2. Also will MC facilitate weighting between the contracts in its backtetsing, for example, to be long 2 contracts of market A and be short of 1 contract of market b?
I'm eager to hear your anwers.
Thanks
Syn
- Andrew Kirillov
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1. As you are probably aware, in order to effectively backtest calender spreads you need your software to run the backtest on the individual contracts rather than a continuous contract, which destroys the differential you are trading between the contracts and therefore means your backtesting results will be useless. Will MC be able to do this and automatically roll over from one single contract to the next when backtesting?
As far as I understand you want to apply a strategy to a spread ESU9- ESZ9.
In this case the strategy will be applied to the differential. However the software will not roll over, because we will have roll over functionality for individual futures only, not spreads.
2. Also will MC facilitate weighting between the contracts in its backtetsing, for example, to be long 2 contracts of market A and be short of 1 contract of market b?
Not in the first release. However we will do it later to accommodate fully-features pair trading.
- Andrew Kirillov
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Re: spread charts
Hey guys, any update on this feature?
I saw as example a spread on the same symbol, so frontmonth vs soon to be frontmonth for example.
Can one also setup for example ESU11- YMZ11?
TIA,
cosmic
I saw as example a spread on the same symbol, so frontmonth vs soon to be frontmonth for example.
Can one also setup for example ESU11- YMZ11?
TIA,
cosmic
- TJ
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Re: spread charts
you can easily do this with the code posted above.Hey guys, any update on this feature?
I saw as example a spread on the same symbol, so frontmonth vs soon to be frontmonth for example.
Can one also setup for example ESU11- YMZ11?
TIA,
cosmic
Re: spread charts
That's right TJ, thanks - but I was more interested in the native support Andrew talked about, where I would not need to work with indicators to achieve this function.
- Henry MultiСharts
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Re: spread charts
High quality spread charts mean implementation on a tick by tick basis.
This implementation requires a lot of resources.
Unfortunately we do not have estimated time for implementation of this feature.
This implementation requires a lot of resources.
Unfortunately we do not have estimated time for implementation of this feature.
Re: spread charts
hallo, i want ask you an update on this very old topic.
is possible now to create an index that is data1/data2?
i know TJ indicator and work good, but i want plot my indicator on spread chart and is impossible to plot indicator of indicator..
thank you
is possible now to create an index that is data1/data2?
i know TJ indicator and work good, but i want plot my indicator on spread chart and is impossible to plot indicator of indicator..
thank you
Re: spread charts
Was this ever implemented? As others have said, indicators are no substitute for real composite symbols. Would massively improve the value of MultiCharts IMO.
- TJ
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Re: spread charts
Composite symbols are only valuable IF and ONLY IF you can trade them.Was this ever implemented? As others have said, indicators are no substitute for real composite symbols. Would massively improve the value of MultiCharts IMO.
For that to happen, the symbol must come from your broker.