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Open Feature request MC-531

Backing with multiple data series and accumulated bid and ask volume
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Description

I understand that currently backing testing precision (using bar magnifier) and extended back testing can only be applied to the main data series (i.e. trading instrument) , calculation based on secondary data series (i.e. data seies for intermarket analysis) are done only at the end of bar. For systems that use multiple data series (in particular systems that use IOG and intrabarpersist) , it would result in "look to the future" issue because all the calculation involving secondary data series are based on the value at the end of bar value but are used within the bar for order placing per IOG . This would result in faulty backing testing result and can never be reproduced under actual trading.

As a side note, the tick value of bid and ask volume are accumlated within the bar by default. If one uses intrabarpersist to accumlate the tick volume of the bid or ask within a bar will get faulty result because each tick is cumulative from the open of the bar.

It is suggested that backing testing precision should be extended to all data series on a chart and that the ask and bid volume for a data series, unlike trade volume, should not be accumulated by default.

Steps to reproduce this issue

input:printswitch(0);

var:intrabarpersist data1midprice(0), intrabarpersist data2midprice(0), intrabarpersist data3midprice(0);

data1midprice=((c of data3(v of data2+1))+(c of data2(v of data3+1)))/(v of data2+v of data3+2);
data2midprice=((c of data5(v of data4+1))+(c of data4(v of data5+1)))/(v of data4+v of data5+2);
data3midprice=((c of data7(v of data6+1))+(c of data6(v of data7+1)))/(v of data7+v of data6+2);

if printswitch=1 then print(file("c:\iog-testing.txt"),"Date : ",date, ". Time ",time_s, " data1midprice = ", data1midprice," data2midprice = ", data2midprice," data3midprice = ", data3midprice);

[intrabarordergeneration=true]

data1-data3 are trade,ask and bid price of trading instrument in 1 minute in interval
data4-5 are ask and bid price of second data series
data6-7 are ask and bid price of third data series

This is what the log file looks like. You will see that data1midprice is updated continuouly whereas data2midprice and data3midprice are updated once per minute, based on the closing price of the bar.

Date : 1110803.00. Time 153200.00 data1midprice = 5633.24 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5633.21 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5633.20 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5633.20 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5633.64 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5633.73 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5633.94 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5633.92 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.02 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.26 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.27 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.50 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.52 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.73 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.70 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.69 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.73 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.94 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.94 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.94 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.72 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.22 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.00 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.50 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.21 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.10 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.90 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.90 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.70 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.20 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.20 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.20 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.39 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.69 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.36 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.34 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.32 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.31 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.15 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.00 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.19 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.50 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.87 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.86 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.51 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.49 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.33 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.33 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.33 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.16 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.33 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.65 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.49 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.32 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.48 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.32 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.16 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.66 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.66 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.31 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.31 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.30 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.65 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.15 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.80 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.15 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5636.00 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.65 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.31 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.15 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.00 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.35 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.00 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5633.80 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.11 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.61 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.81 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.15 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.16 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.16 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.16 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.82 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.82 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.16 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.82 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.66 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.66 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.66 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.16 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.32 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.33 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.32 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.66 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.50 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5634.83 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.33 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.33 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.50 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153200.00 data1midprice = 5635.82 data2midprice = 1250.65 data3midprice = 3483.25
Date : 1110803.00. Time 153300.00 data1midprice = 5635.70 data2midprice = 1250.54 data3midprice = 3484.75
Date : 1110803.00. Time 153300.00 data1midprice = 5634.90 data2midprice = 1250.54 data3midprice = 3484.75

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Issue basics
  • Type of issue
    Feature request
  • Category
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