MultiCharts: Trading Software for Automated Trading and Backtesting

Bruce DeVault

Thank you for your attention to this.

Bruce DeVault

Please note: Array_Copy keyword is non-functioning in beta 4 - see also http://forum.tssupport.com/viewtopic.php?t=7599.

Bruce DeVault

In 6.0 Beta 4, the Array_Copy keyword does not appear to be functioning properly, as demonstrated by this short piece of code. As you can see, it works just as expected on TS but does not function at all on MultiCharts. // // demonstrate array copy functionality // array: TestArray[](0); once Array_...

Bruce DeVault

That same website is available in English at: http://aws.amazon.com/ec2/instance-types/ . Essentially, the high CPU instances are equivalent to a virtualized I7. I7s are affordable now for purchase, so you may want to consider simply getting one so that way you have access to it all of the time (we ...

Bruce DeVault

It is my understanding as well that these issues are now resolved. Testing for performance and other issues is ongoing, but it is looking up.

Bruce DeVault

This depends on what you mean by "better". There's no one completely "right" way to do this, since any one contract only trades for its own period of time - they're all artificial constructions, just in different ways. The reason some analysts use point-adjusted data is because they want to test the...

Bruce DeVault

The increase in speed would be minor in general because the optimization process is not IO bound. In other words, if you run a big optimization and watch your hard disk light(s) you should see them rarely on at all, so the computer is not waiting much on the hard disk, therefore, speeding up the har...

Bruce DeVault

That's a good point - hammering the server will cause your account to be locked for IB as well, and MB does have some maintenance times, although they're down from what they were last year because as they reworked their process to support MT intregation they were able to reduce the daily downtime so...

Bruce DeVault

That's a simple matter of multiplying your distance in pips by bigpointvalue*minmove/pricescale (per contract or per position, depending on whether you have done SetStopPosition or SetStopContract).

Bruce DeVault

Let me see if I can answer that, although I'm sure there are any number of possible answers. In TS, I believe when you select a text object manually with the mouse, it becomes the "active" one, and this command would return that text object. However, if from code, you use commands like Text_SetLocat...

Bruce DeVault

Sorry, what's the question? If the question is what's the use of the current behavior, it's that there are existing indicators that rely on it working that way in EasyLanguage (probably that originated on TS, but one of the advantages of MultiCharts is that it can run EasyLanguage code), and they do...

Bruce DeVault

This is really very simple - all EasyLanguage keywords should work as closely as possible to TS for language compatibility, in order to maximize the value of the MultiCharts platform as an EasyLanguage compatible platform. Separately, extended versions of keywords should be provided where appropriat...

Bruce DeVault

You may want to pull up task manager and see if any of your cores/CPUs are maxed out at 100% (not just the overall CPU % figure) - it could be that indicator calculations are bogging it down in the busiest markets and it's just taking a while to catch up in periods of extremely hectic activity. I'm ...

Bruce DeVault

I have not been following this issue closely, but IF it is the case that TS handles these keywords differently and MC was updated for better EasyLanguage compatibility, then the solution is obvious as TJ suggested - add an MC specific keyword that has the more expressive behavior (as it's described ...

Bruce DeVault

Series functions are unique to languages designed for time series analysis. EasyLanguage was one of the first to really make the idea popular, especially for finance. It's a shortcut, in that for instance if you have an exponential moving average (which requires every bar to be seen by the algorithm...

Bruce DeVault

More generally, rather than guessing the symbology in a trial and error process, use Add -> Symbol -> From Datafeed in quote manager to locate the correct symbol for your data feed, if your data feed supports symbol lookup. In this way, you can be sure you have it set up more correctly. Regarding "i...

Bruce DeVault

This could be done, but bear in mind these are snapshots only, so the information content of this would be pretty fleeting - the size shown would be whatever the size happened to be at that moment as of the last snapshot, and in reality, the size posted for liquid instruments changes many, many time...

Bruce DeVault

It appears to me that as of beta 3, if you have an indicator that calls a function, and the indicator is on a chart window, and you modify the function and verify it from PL Editor, the chart window says "verifying..." until you click over to the indicator and re-verify it, even though it has not ch...

Bruce DeVault

It is true that you can use one more series of square brackets than there are dimensions, and that this will index into the past for the element specified up to that point. You can read from such past elements though even if you don't pass it by reference - the advantage to passing it by reference i...

Bruce DeVault

I have seen that kind of thing happen a good bit. My suggestion would to implement a bad tick filter method, kicking out trade ticks if they're too far from the last trade in percentage terms or if they're otherwise invalid (zero, negative, etc.)

Bruce DeVault

Thank you for this schedule insight Andrew. Looking forward to it.

Bruce DeVault

Interesting thread. I only use "sell/buy this bar at Close" in the routines that determine if UPS Batteries are low. It seemed logical at the time to exit all positions the soonest possible. Right, I know it probably seems like that would be faster, but really, it isn't... because in real-time, "ne...

Bruce DeVault

Hi Bruce, Regarding converting limit orders to market if it starts to run away from you, you can do this using IOG by simply tracking the elapsed time, provided it's a liquid market. Do you have any code that can track the elapsed time? I have done some tesing on my code which sometimes works, but ...

Bruce DeVault

Now that there's a sticky beta 3 feedback thread, let's take this please to http://forum.tssupport.com/viewtopic.php?t=7358.

Bruce DeVault

Just a quick word of friendly advice about how to report things: when you post, please include specifics as well on the beta 3 feedback thread so others including TSS can reproduce what you are saying. The better you can make it possible for others to easily and quickly see exactly what you are repo...

Bruce DeVault

In real-time, IB does not supply timestamps with its "snapshot ticks" - as a consequence, the PC time is used in this case. This is a situation that's not true of most data feeds, it's an IB limitation. It's actually documented to be this way in the MultiCharts help: Interactive Brokers does not pro...

Bruce DeVault

The beta version works with the same registration codes as the regular one, so if you have a regular lease or permanent license it will work also with the beta.

Bruce DeVault

It's interesting you posted this, because that's actually how I always maximize or restore windows rather than using the button left of the X (reason: the blue caption area much bigger, therefore, I can do it more quickly without carefully positioning the mouse, and every second counts!). Just goes ...

Bruce DeVault

See also https://www.multicharts.com/support/downloads/ for current releases of all products.

Bruce DeVault

This thread should move to a new feedback thread, as beta 3 is available for download today.

Bruce DeVault

Thank you for your kind words. There are several peer support forum threads here, including one I've posted, suggesting the need to rework PL Editor to better deal with large files. Currently, it's not optimal for editing files over about 3,000 lines. There are some registry changes that can be done...

Bruce DeVault

TDE is only available for TS 8.8 and above. Currently, .ELDs created by TS 8.8 and above are not yet compatible with MC. Therefore, you would need to copy out the work as text and paste it into PL Editor.

Bruce DeVault

In theory, that type of approach "works" provided you understand that aligned means by the time stamps, and the time stamps only have a 1 second resolution. So, if the bid/ask/trade prices fluctuate all over the map within a given second, the assignment of those trades to a particular bid/ask side i...

Bruce DeVault

My mistake in the incautious way that was phrased. In EasyLanguage, CurrentAsk and CurrentBid are defined separately from Close only in real-time (and I was speaking of historical testing above), so if you want to analyze historical bid/ask you would need to make them their own data series and choos...

Bruce DeVault

...volume@bid vs. volume@ask...

Well, and you may not realize yet that there's no historical storage of bid or ask prices either, but you would need that if you want to conduct historical testing of this.

Bruce DeVault

Research workstations (e.g. RISC stations) and expensive business computers (e.g. IBM mainframes and minis and their competitors) have had 64 bit available since the 1960s and 1970s. The first "regular PC" (i.e. that runs Windows on something regular folk who aren't hobbiests/enthusiasts can commonl...

Bruce DeVault

If you are set for synchronous operation, then the fills that actually happened in automation are reported back to your strategy in real-time, and the performance of your strategy will match the broker's fills. However, if you close the chart and re-open it, this information is lost and replaced wit...

Bruce DeVault

It's a memory optimization, and something of an over-simplification to make it easier (so you don't have specify it for every data series, and every variable you want to track individually, something most users would commonly not get just right the first few dozen times). Many other non EasyLanguage...

Bruce DeVault

Regarding converting limit orders to market if it starts to run away from you, you can do this using IOG by simply tracking the elapsed time, provided it's a liquid market. This is what I coded. Well, the question is how to implement this IOG counting inside a non-IOG strategy. I just tried to sepa...

Bruce DeVault

I've confused you. I'm referring to real-time trading only, you are discussing back testing, which as we all know will never produce the same results, and as far as I'm concerned is near enough for all but the very active scalp traders. As far as I am aware there is no delay issue at all with real-...

Bruce DeVault

To be clear, all orders go into the market immediately in real trading when the order is given to place them, as well as during back-testing. The only question is how back-testing fills are simulated (how it determines when those orders that have been placed are filled) in low liquidity conditions, ...

Bruce DeVault

Bruce, Are you saying that we should use Limit Order instead? e.g. Buy next bar at Close Limit The discussion above was mostly regarding back-testing and whether a fill would occur at the current bar's closing price when the order was placed (e.g. a fill that takes zero time, unlike the real world)...

Bruce DeVault

When it makes sense, functions are a good way to structure your code so that it's easier to maintain. I agree PowerLanguage Editor needs some attention, especially with regard to longer source files where performance can become sluggish or errors can occur in compilation according to some reports. I...

Bruce DeVault

Well, and we simply need to remind TSS to add these to the help with search on the forum as a stopgap, as I'm sure we can all agree the peer support forum shouldn't be the primary documentation.

Bruce DeVault

Yes, there is a switch statement also and it works fine.

It works like:

Switch (switch-expression)
Begin
Case case-expression: statements;
Case case-expression: statements;
Case case-expression: statements;
...
Default: statements;
End;

Bruce DeVault

Break is missing from the help, and doesn't have any hover hints in the editor (though it is color coded correctly as a language keyword). It needs to be added to the help for completeness, and so F1 works on that keyword to pull up something appropriate like it does for "if" etc. Basically, the onl...

Bruce DeVault

Perhaps I answered the question above a bit too literally by just saying "yes that's true". All of these are great ideas and very reasonable suggestions, as alternatives to doing it the way he had inquired about. I agree "break" is probably the most straight forward way to do it, given the circumsta...

Bruce DeVault

Yes, that assigning a value to the index of 100 or more will stop the loop in this case, because when it hits the "end" matching the "for" statement, the index will increment from 100 to 101, causing it to be outside of bounds for the loop, causing the loop to be completed.

Bruce DeVault

I am unsure regarding this - I would suggest you contact TS Support directly via their support page to see if they can help you with it. It would be best on this to contact them that way rather than via the peer support forum.

Bruce DeVault

I think you should do this via intraday bars such as 1 minute bars if possible. It's possible the maxbarsback bug you are referencing is a misunderstanding - let's see the code you're using to try to do this and perhaps we can help.

Bruce DeVault

There's more than one way to handle what you're wanting to do, but personally, I would probably just write it to operate on intraday data such as 1 minute bars. When date <> date[1] you're at the new day's open, and you can get the gap simply by looking at open and close[1] with no difficulties like...

Bruce DeVault

This is actually a general problem, and is tougher than a lot of folks realize, especially for strategies that try to take a lot of trades with relatively small expectancies. The key thing is that data feeds typically provide real-time tick data that's used by the platforms to build minute and other...

Bruce DeVault

I understand what you're going for, and it sounds like you're saying you're willing to be responsible for your own assessment of (possibly significant) slippage and take your own responsibility for the fact that sometimes depending on conditions it could be a good while before you get an execution i...

Bruce DeVault

I think that may be a bit of a different issue, in that there are quite special problems introduced in attempting to simulate fills in low liquidity conditions - not just for market orders but for limits as well. There are some models that allow fills to be made with a simulated latency delay e.g. X...

Bruce DeVault

Regarding TS, I don't think the "this bar at close" terminology is particularly encouraged - in fact I would say it's fairly actively discouraged for the reasons described above, and it's still in there only because they didn't want to orphan legacy code that uses it. I think it's fair to say they w...

Bruce DeVault

What you should do to re-architect this in a way that's not in question is instead: buy 1 contract next bar at close - (minmove/pricescale) limit; sell 1 contract at myStop stop; sell 1 contract at myTarget limit; and run this on daily bars. Let me explain why this would work and what you posted wou...

Bruce DeVault

Hi, I am using Multicharts 5.5 and it seems that whenever a powerlanguage is larger than 3000 lines, it displays all the text in the "none" color. Maybe it has been fixed in beta 6, I don't know. You may want to take a look at the workaround I posted in this thread: http://forum.tssupport.com/viewt...

Bruce DeVault

I was simply trying to be helpful for either of you. Thanks so much for your kind words, I appreciate it. I'm afraid I don't know of a way to print the EL database or a summary of each - I think that would be a really great suggestion. Most I believe who have source code tracking end up doing this i...

Bruce DeVault

Let's look at the specific example you gave - it "backtests gaps". The developer probably did something like both a "buy next bar at close + x stop" for a breakout or "sellshort next bar at close + x limit" for mean reversion for the entry so they would only get in when there's a gap, then they also...

Bruce DeVault

If you use EasyLanguage like "buy next bar at open" and "sell this bar at close" in the same EasyLanguage strategy, MultiCharts cannot do that, while TS can. That's a known situation - I'm not sure it's exactly a bug, although it's a bug from the perspective of the desire for 100% TS compatibility. ...

Bruce DeVault

I think it might just be an upload issue. Try downloading the file to your desktop, then opening it in Wordpad and saving it again, and the CRLFs should be restored.

Bruce DeVault

Words to that effect have been on the MultiCharts section of Quantevo's website at http://www.quantevo.com/development/multicharts.html from the first post we made so I never thought it was unclear - I'll take a look at updating the signature. Thanks for your comments.

Bruce DeVault

You're welcome fellows - hang in there - we're all looking forward to it!

Bruce DeVault

Quantevo is an authorized MultiCharts reseller/partner and has a presence on the support forum by invitation. We've dedicated time resources to staying on top of a class of technical issues that affect our clients including issues to do with EasyLanguage compatibility, TS interoperation and live bro...

Bruce DeVault

The last public guidance from TS Support was when Anastassia posted this on the public support forum just yesterday: Hello, guys European Futures will be implemented in Beta 3 version of MC which is due next week. Have a good day! Obviously, as things get down to the wire, the timing could shift a t...

Bruce DeVault

You may want to look at PassMark's CPU list at http://www.cpubenchmark.net/ for a ballpark speed comparison of one processor with another for 100% cpu intensive tasks. There are other platforms that do grid optimization (using more than one OS+Platform to conduct a large number of trials) but it isn...

Bruce DeVault

...the DNS round robin approach is problematical if one of the servers stops working, unless they are using a modified form of DNS that is more aware of the status of the servers... Indeed, this very thing has been observed to be a problem with eSignal in the past. We would get "stuck" on a server ...

Bruce DeVault

If you suspect it may have something to do with a TWS setting that's changed, it's easy to specify a new settings directory e.g. C:\JTS2 instead of C:\JTS to force TWS to start completely anew (you can always switch back to your previous settings) - this will allow you to easily check if you think s...

Bruce DeVault

Excellent suggestion, that is exactly what is needed in this case to get it going right away. In the long run, I would suggest when time permits to also take a look at the indicator code and figure out why it's outputting plots that are out of range for the pane scale (probably 0), but in the interi...

Bruce DeVault

Well, one reason "hide" doesn't omit the horizontal space by default is that it's pretty common for instance to put a data series on the chart, then put indicators on that data series, then hide the data series itself but keep the indicators shown. If hiding the data series hid those "bar slots" fro...

Bruce DeVault

Be wary - if you set Screen as the scaling method, you may not be matching up the same prices in the indicator's output to the underlying data series prices, and as you scroll left and right, the values can shift relative to the underlying.

Bruce DeVault

Try making sure you have more days of data loaded than just the two, since it refers to previous daily information. Also, you could try putting it into a different subgraph so you can see better what it's outputting.

Bruce DeVault

Another concern is that keywords like currentbid and currentask at present work only in real-time, and so back-testing of this type of thing on MultiCharts is not as straight forward. And, another concern is that few of the retail data feeds pass through every bid/ask update, so in some cases, we ge...

Bruce DeVault

Well, if it wants to raise an alert, it can simply wait until the last bar to do so, keeping track if needed in a local variable that it needs to do this when the time comes.

Bruce DeVault

Yes, alerts are intended for real-time use, not during back-testing.

Bruce DeVault

Another idea that sometimes helps, if you want to make absolutely sure you don't have recalculations due to auto bars back determination in some EasyLanguage that essentially exists to perform a "side effect" such as outputting a text file or sending a live trade to a broker via a DLL, is to simply ...

Bruce DeVault

That makes sense. Just figure out what the highest likely value of "variable" is and put that plus a small safety margin in max bars back, and you should hopefully be good to go.

Bruce DeVault

Thank you Anastassia.

Bruce DeVault

TJ is right, sometimes setting max bars back to a specific number that is known to be large enough can resolve this type of thing - MC/TS will evaluate analysis techniques with successively longer data series to determine the number of bars required, if set to auto. Signals don't work that way (for ...

Bruce DeVault

For many I7 mainboards (Intel X58 included) the fastest speeds are achieved by having at least three memory slots occupied, so that triple-channel access can be done. This usually means a minimum choice of 3GB (with 1 GB sticks) or 6GB (with 2 GB sticks). Since Windows 7 64 bit can handle >4GB of RA...

Bruce DeVault

This is a complex issue - "hide" affects only the visibility of panes and the scale within the panes, but does not affect where the charting engine draws a bar or considers the times to take up horizontal space. There's not to the best of my awareness currently a mechanism in MultiCharts to have bar...

Bruce DeVault

I believe the whole issue of being able to trade multiple series is something that's been discussed a good bit including in this support forum, and is already contemplated for the future - I just haven't heard there's an ETA for this yet. This is important, obviously, for certain classes of systems ...

Bruce DeVault

The technical problem of a stop being canceled and resubmitted at the same price when only a target is modified is NOT what is being discussed here, and is not what I was responding to. That issue you are talking about was already confirmed by TS Support, and they have said they will address it in t...

Bruce DeVault

The daily bar open is not necessarily the same as the open of the first one minute bar in the regular session - this information comes from the data feed.

Bruce DeVault

If that doesn't introduce any other issues, that sounds like a good approach. With IB specifically, you can also use allocation rules in some cases to handle splitting up trades if you log into your FA account.

Bruce DeVault

This hardware niche has gotten a lot more competitive lately. There are many inexpensive options available. Try http://www.google.com/products?q=%22dua ... &scoring=p to get a feel for what's available.

Bruce DeVault

If internet connection disruption is your concern, you might want to consider a dual WAN router as these can re-route automatically - they're quite economical now, and it's possible to configure them with one side being an AT&T/Sprint/Verizon wireless - we actually have something like that here. Whe...

Bruce DeVault

Once MC has the ability to manually enter trades/monitor position/close position in coming releases, this may be less of an issue than it is today, although there will always be a desire to see the same information from multiple angles for reassurance and control.

Bruce DeVault

What time zone are you in? Could this be to do with some times of the day you are in a different date than IB is?

Bruce DeVault

Determining if a trend line intersects price is a simple matter of looking at the two end points, calculating the slope, and using the equation "y = m x + b" to figure out the trend line's price at each bar along the way, so you can compare with those bars' low/high range. There are very likely code...

Bruce DeVault

If this is regarding the movement of drawing objects such as trend lines, etc. why not simply have an option to trigger calculation when a drawing object is added/moved with this as the direct trigger? There are already special provisions to permit recalculation on broker events such as market posit...

Bruce DeVault

I interpret this to mean that MultiCharts is designed to use OCO when it can - when the broker has native support for it, and that as other brokers add support, MultiCharts will consider adding it on their side also for that broker. Try this: put in place a long position on an IB simulation account ...

Bruce DeVault

It should not require much to get it going. If you have trouble, you can change the default port from 4001 to TWS's default of 7496.

Bruce DeVault

These seem like very reasonable suggestions to improve incrementally upon what's there now, when this feature is next being revised.

Bruce DeVault

TWS has suffered over the years from what developers call "creeping featurism". This happens to all large software projects when users request this feature and that feature hundreds of times over the years and they're added as time permits and based on things like voting (formal or informal), but wi...

Bruce DeVault

I think a key issue with multiple TWS + multiple MC on the same computer would be that the MC instances share the same settings, and thus would be talking to the same TWS port (and therefore, the same TWS).

Bruce DeVault

Right - to the best of my awareness in current MultiCharts you would be limited by the fact that the instances share the same configuration settings. That's why the poster above referenced using different computers in this case. To do that though, you would need a MultiCharts license for each comput...

Bruce DeVault

The issue here is that PowerLanguage is designed to be broker independent, but OCA/OCO orders are not implemented the same way by each broker.

Bruce DeVault

IB does not supply real tick data - their historical interval is 1 second and in real-time they send snapshots a few times a second depending on instrument class but definitely not every tick. For true tick data, you'll want to use a different data source.

Bruce DeVault

If we're talking about a limit order here, are you wanting it to remain unfilled in your strategy if the broker didn't get you a fill, even though you've chosen to get market data from the chart rather than the broker in your setup? The scenario in question could be that the limit order was "touched...

Bruce DeVault

No less a sage than Donald Knuth made two balancing statements about optimizing computer code for speed: "We should forget about small efficiencies, say about 97% of the time: premature optimization is the root of all evil" and "In established engineering disciplines a 12 % improvement, easily obtai...

Bruce DeVault

Thank you Andrew for taking the time to post this clarification. This should go a long way to alleviating the concerns discussed.

Bruce DeVault

We do consulting regarding MultiCharts and other platforms. If there's something we can do to help, you're welcome to contact me outside of the forum by email or at my office during US market hours, 001 202 470 3500.

Bruce DeVault

Does it mean that we can't autotrade with MC while NT is connected unless MC has a version that can set the ClientID other than 0? That's pity. No, this is actually backwards sticking strictly with what you said you wanted to do... it's only client id #0 that can read back positional information. A...

Bruce DeVault

In TWS API usage, only one trading application (client id #0) at a time can monitor positions. The other applications generally can place orders and receive market data, but cannot get positional feedback. Some platforms only work when they're id #0, and since both can't be #0, that may be the issue...

Bruce DeVault

I agree the issues with MultiCharts should be looked into as soon as they can be. They're not problems with the Grail products per se because the same EasyLanguage works on TS - they're MultiCharts-specific issues. In some cases (such as with FastFileAppend) it may be specific to the fact that the D...

Bruce DeVault

The second way would be faster, but only marginally for the example you've given. The difference would only be consequential with more time consuming operations.

Bruce DeVault

While connected to what data source on each side?

Bruce DeVault

I think the advantage to working with a product that interfaces with EasyLanguage (like the Grail products do, and like it looks like maybe Adaptrade does) is that you can tie in your own custom functions and analysis you've been working on already, and make an adaptive process and a stronger testin...

Bruce DeVault

It's not exactly the same approach, but if you're interested in this sort of thing you may also want to consider Computer Assisted Strategy Builder by Grail Systems ( http://www.thegrailsystem.com/grail-trading-system-frame.htm ) - it does automated exploration as well and is well under that price p...

Bruce DeVault

Not to worry - I understand where you are coming from. I don't decide licensing policy obviously - it's up to TS Support to decide how they want to license and price their products.

Bruce DeVault

Thanks - it can be things as minor as a revision in the header so the file is identifiable as containing additional new keywords. It's quite possibly something simple of this sort and just needs to be looked into.

Bruce DeVault

Running the exact code you've posted, there is only one text object per bar as expected. Perhaps you are not running that code verbatim, or perhaps you have some issue specific to a particular kind of bars (for instance, you could be using bars so small that there are multiple bars for the same date...

Bruce DeVault

I can't speak for whether or not the file format is patented - I don't have any information on this. But, it seems more likely to me that it's a simple question of TS released a new version and it has new features e.g. Strategy Network etc., and to accomodate this and other improvements they have be...

Bruce DeVault

I don't think the current incarnation of replay is intended to be a true "tick replay" in the sense of testing IOG trading systems accurately. It's likely it could be enhanced to do this in the future (and I think that's a really good idea), but of course, replay would be much slower in this circums...

Bruce DeVault

Could TS Support please take a look at TS 8.8 ELD compatibility? It appears that the ELD import mechanism is no longer functional with ELDs created by the latest TS release 8.8.

Bruce DeVault

FWIW, my advice would be to offer access on 2 machines with the base purchase (i.e. the $1495 purchase), and then make access on additional machines very attractive (e.g. say, $250 per machine). What I don't follow is how, if they did this, one user wouldn't simply buy 1 license then "sell" license...

Bruce DeVault

The issue of beta testing is a separate one from the issue of users who want a second license for whatever other purpose. I agree that having a "beta license" that runs the beta version, has no cost, expires when the beta does, and is extended to users who already have a regular license, request a b...

Bruce DeVault

I can see your problem.

1. you are supposed to open the same worksheet ONLY once at a time. Otherwise the wsp will get cross-contaminated.

It seems to me MultiCharts should actually check for this and not let you do it. I didn't know that was possible, and it doesn't seem like a good thing at all.

Bruce DeVault

The only way the 2nd license would normally be MORE than the first is if you bought it a number of years ago and so the pricing was cheaper then because of course the software was more basic when it was first introduced. That doesn't mean that others' new licenses are at that rate or that your new l...

Bruce DeVault

Why not detach the windows from a single MultiCharts?

Bruce DeVault

With apologies, I don't follow why you feel tracking 60 instruments means you should have 60 instances of MultiCharts. Could you please clarify your thoughts on this?

The same data won't be requested more than once - that's one of the functions Quote Manager performs.

Bruce DeVault

I agree with the suggestion, was merely questioning separately why someone would make their monitors like "one big monitor". Perhaps as simple as letting you "detach" a workspace separately without running another MC instance e.g. somewhat how TS handles "desktops".

Bruce DeVault

I understand what the ability to use multiple monitors as one large space is (and monitors here have that capability) - I just don't follow how that's generally helpful. Not having Windows recognize where one monitor begins and another ends means you can't dock windows, maximize doesn't work properl...

Bruce DeVault

MC stores three types of data - tick, 1 minute and daily. So, if I plot a 1 minute chart and add the volume study, how exactly does it construct the volume chart? Does it use the 1 minute data set, an dif not there, will it request 1 minute data from IB, store it and plot it? Here's what happens - ...

Bruce DeVault

The way IB's historical data works, it doesn't store "minute data" like a lot of data feeds do, but rather you tell IB you want "1 minute" as your interval, and it consults its own database of snapshots and combines them into groupings that make 1 minute groups, then gives you that. You can also req...

Bruce DeVault

Regarding OEC specifically, we simply need to check with TSS and see which method they use, and if they need to use the SubscribeTicks method to improve quality specifically for OEC I'm sure they can consider to do this in an upcoming revision. That's separate and apart from the issue with IB, which...

Bruce DeVault

For a good time, you might want to read some similar threads on other platforms, such as http://www.NT.com/vb/showthread.php?t=11056 (note especially the quote "You should have a warning on your page saying that if you use Interactive Brokers for your data feed that any strategy that uses volume wil...

Bruce DeVault

I do understand - I believe it to be more of a procedural problem as I said than an economic one in this case. What I suspect, although I don't speak for anyone but myself in this, is that they may possibly be in the predicament of being unable to change it very much short of a major version revisio...

Bruce DeVault

I believe also as I stated upthread that IB has a general issue. This same conversation has taken place on a whole host of different trading platforms. Often, they can come up with work-arounds and ways to address it and make it "more right" but it's a frequent type of questioning. Remember, IB isn'...

Bruce DeVault

That's a good screenshot and is typical of this type of discussion with a broker or data feed. You'll notice right below what you referenced, the moderator explicitly states that although they have an alternative method for receiving every trade tick, they have NO alternative method for receiving ev...

Bruce DeVault

In fast moving markets, brokers typically combine adjacent updates if the price is the same so that they don't send multiple updates per second, or in some cases, multiple bid/ask updates per last trade price when the bid/ask prices are still the same. If you place a single order when "not a lot" is...

Bruce DeVault

In my view the thing they most omit is real-time or historical updates to bid/ask sizes when the inside price hasn't changed (this is a common flaw when people try to code "pulled quote" type algorithms to attempt to detect fake-outs and manipulation, because they're not seeing every size update typ...

Bruce DeVault

The filtering of tick data (most especially level 1 quote updates such as changes to bid/ask size, but also to a lesser extent other level 1 updates) affects pretty much all data feeds in at least some way. A key issue is that the users of the feed are often expressedly unwilling to pay more when vo...

Bruce DeVault

Thank you for this update Andrew.

Bruce DeVault

You have essentially two choices. First, you could put the text_new inside of an "if barstatus(1) = 2 then" such that the text is only added if the bar is complete. or Second, you could save the text object's identifier created by text_new in an intrabarpersist variable (not just discard it in value...

Bruce DeVault

Sometimes I've seen errors as simple as IB returning a "snapshot" of the trading activity with the updated volume for the day, and platforms handling this newly updated volume for the day as the volume of that snapshot period of time, causing the volume for the day as accumulated by all of the snaps...

Bruce DeVault

There's no reason that a strategy being breakout or mean reversion means you can't use technical levels - you might simply be on one side or on the other side of the level with your stop depending on which way you're anticipating a profitable move. There is an entire approach to performance statisti...

Bruce DeVault

There are some key architectural reasons why EasyLanguage/PowerLanguage doesn't make this trivial to do, and therefore it can't just be a quick "plug-in" that works generically with any EL strategy. It can be done, but it requires that the strategy be built with this in mind, rather than just someth...

Bruce DeVault

It's a real promotional offer. Simply email Jeff at the address above or give him a call for the details privately if you're interested.

Bruce DeVault

I tend to agree with this sentiment, and in general (other than for some specific cases) I'm not entirely a fan of using IB as a data feed. Their focus is not on providing a data feed, and it's something it seems sometimes like they do almost as an after-thought and with considerable restrictions in...

Bruce DeVault

I've been interested in this IB volume issue for some time. I would just like to chime in (as I think you already understand) that it's not a MultiCharts-specific issue - I've seen practically this same extended conversation take place on a number of platforms. IB does some unusual things, and the p...

Bruce DeVault

If the first one is hit then a new one still appears if the study continues to submit another order. So the study needs to check if it was filled to stop submitting extra ones. This should come down to a difference between entries and exits. If you're scaling into a long (and pyramiding is enabled ...

Bruce DeVault

That is correct, and is exactly what I would do to check TWS for the limit order's arrival (I'm just tied up at the moment.)

Bruce DeVault

Yes that is correct. My comments are based on past experience with EasyLanguage on TS and with other platforms - would have to take a look at how MultiCharts handles this specifically and a quick experiment will tell the needed facts here. You're right that if it's handled only locally in the platfo...

Bruce DeVault

You could, but because the limit order is in there first (before you detect it's hit) it might get you a fill faster and with a better price. By the time you detect the price being hit and can send the market order, because of internet transmission time, price could easily have moved on resulting in...

Bruce DeVault

The reason I said measures of or proxies for volatility are reasonable ways to set a stop rather than saying that's the only way is that there are other common approaches. For instance, it's common to also set stops based on technical considerations... for instance, one might set a stop a tick behin...

Bruce DeVault

This is a complex subject, but to over-simplify quickly in the interest of the "big picture" discussion, it's generally helpful in quantification and strategy improvement work (which is what most people are doing with optimizers, although there are some exceptions) to optimize your stop and target c...

Bruce DeVault

It's common to do things such as: (a) equalize the dollar amount invested e.g. $5000 / stock price. This approach most commonly used for equities in systems that don't inherently use a stop. Not usually applicable to commodities or spot forex. (b) equalize the dollar amount risked in distance to the...

Bruce DeVault

A more general capability that would permit a good data feed alert and that has been discussed somewhat elsewhere is simply timer operation. If the indicator gets a recalculation every X milliseconds, you can simply make note of how long it's been since you had a new trade tick, and if the data feed...

Bruce DeVault

Agreed. In the interim, it may be possible to detect replay mode indirectly (I think if I am remembering correctly some other threads here on this forum may deal with differences in how tick precise indicators are updated when in replay mode.)

Bruce DeVault

I understand it's a confusing issue. Above, I was responding to how to interpret the information on the ICE website link you posted... if by "overnight" you mean outside of US regular trading hours and you don't want to see that, you should set your times to 9:30am to 4:00pm or 9:30am to 4:15pm EST....

Bruce DeVault

This should probably be added to GetAppInfo.

Bruce DeVault

EST including RTH + extended: 6pm Sun to 6pm Mon, 8pm Mon to 6pm Tues, 8pm Wed to 6pm Thurs, 8pm Thurs to 6pm Fri?

Bruce DeVault

Focusing just on the data feed issues so far: In a not completely exhaustive but yet pretty significant analysis of popular retail data feeds here a while back, we concluded that none led the other consistently by more than a tiny fraction of a second, and that any average differences were smaller t...

Bruce DeVault

Yes Clayburg's work tends to be in this category of tracking virtual equity curves and curve hopping - he's had some ideas out there either for free or for a small fee for about 5 years now, and written a few articles over the years about these same concepts. They're talked about extensively on his ...

Bruce DeVault

I think doing this type of comparison is an excellent idea, and look forward to seeing what you come up with. Just trying to shine a little more light on why those types of issues tend to happen. It could also be there's an issue in MC itself, but it may be that it's a function of the data feed issu...

Bruce DeVault

...I have noticed a random mismatch between the 1 minute bars and the 10 second bars... I apologize in that I haven't been following all of these threads, but would just quickly add with the hope that it helps that most data feeds provide three native data types: daily, minute, and tick. Second bar...

Bruce DeVault

Interesting that it turns out minute data was less reliable. Thanks for posting this observation. Would be interesting to hear from TSS or anyone who can tell more about how/why this turns out to be the case.

Bruce DeVault

You are welcome - good luck to you!

Bruce DeVault

Line style plots require that you use SetPlotColor[1](1, ColorHere) to set the color as of one bar ago. Histogram style plots do not require this. What is happening is basically that you're changing the color, but it's taking effect 1 bar late because line style plots look at what the color was at t...

Bruce DeVault

Do you have more than one day of data on your chart? It will have a value after the first day of data.

Bruce DeVault

Perhaps you are referring to the fact that the functions return -1 when on the first date, and thus there isn't any previous date's information to return. The average of three numbers all of which are -1 is still -1. You simply need to check for this. variables: var0(0); var0 = ( HighD( 1 ) + LowD( ...

Bruce DeVault

Take a look at the functions OpenD, HighD, LowD and CloseD if you are using intraday data. That is what they do. Or, you can write something that does this by simply watching when date <> date[1] and keeping track of it in a few lines of code (see how the functions above work for an example of how.)

Bruce DeVault

You should be able to do this fairly simply in EasyLanguage/PowerLanguage using an intrabar order generation strategy. Simply put the limit order in the market, and if the price is touched and you don't get a fill, convert it to a market order and keep restating it until you do get a fill.

Bruce DeVault

Probably the easiest way to do this "off the shelf" is using the Grail System (http://www.thegrailsystem.com/). It's based loosely on Robert Pardo's books, including Evaluation and Optimization of Trading Systems, a book to which I was a contributor of some of the optimization techniques material an...

Bruce DeVault

A third party optimizer's cluster analysis feature is normally used to identify the optimum in sample period, out of sample period (if any) and reoptimization interval for maximum robustness, or in other words, percentage of profitability maintained out of sample after reoptimization. This works by ...

Bruce DeVault

That's good to note, thanks for posting the link.

Bruce DeVault

It would need to be consistent with the way TS handles it or TS DLLs would be broken in general, and they're not. Does that make sense?

Bruce DeVault

Okay, great - let us know if this works out for you!

Bruce DeVault

I notice the webpage says "TS2000i or TS6 only" (TS is currently on 8.8 and 2000i is no longer available in the USA) - have you tested this and does it work for what you need?

Bruce DeVault

Solutions for this frequently involve either evaluating a number of systems in parallel and "hopping" from one equity curve to another based on recent performance (e.g. switching to the most upwardly sloping curve over X bars or any number of similar schemes), voting amongst those systems with curre...

Bruce DeVault

You are welcome - good luck to you!

Bruce DeVault

Add the exchange first in Quote Manager, then you will be able to add the symbol. You'll just need to set up the exchanges trading hours, default price scale, etc. and you can use a similar exchange as a reference for how it should look and just make any needed changes from there. Please also chime ...

Bruce DeVault

No problem - the one place where the added complexity involved with ADE would be justified is if you need to backtest / work with historical bars. For this, you can use ELC if you restrict everything to one chart (thus can line up by the bar number) but otherwise, such as when they are on different ...

Bruce DeVault

I'm not sure why you would say "no solutions so far" - these types of solutions (GV, ELC, ADE) are the best and most straight-forward way to do this. You have a whole number of options, including GV/PushPop which is probably the simplest, ELC which is next least complex, and ADE which is most complex.

Bruce DeVault

In Chart A simply don't put the values into the GV if LastBarOnChart is true e.g. if you are in real-time.

Bruce DeVault

For simple interchart communications, I would suggest global variables or pushpop as the easiest solution.

Bruce DeVault

EasyLanguage has no direct commands to read text files. However, you could do this from a DLL - either by building your own or by using a prebuilt package like ADE (which is built upon the ELC DLL) to fulfill your purpose.

Bruce DeVault

Does your session end at 11:00pm? Range bars cannot exceed one 24 hour session in MultiCharts, and break each time the day changes (at the end of the day's sessions, not at midnight).

Bruce DeVault

This problem does not happen when I use Point or Change for Resolution, it only happen with Minutes charts. I also checked and found out that NT platform’s 15 minutes chart has no missing data, on any date, using the same Zen-Fire data. Just a couple of quick notes on this - point or change charts ...

Bruce DeVault

Divide by (your lot size * # of lots in the position) for spot forex if you want the pips per lot. This only applies to spot forex - for equities or commodities you would simply divide by the size of the position in shares or contracts respectively.

Bruce DeVault

Yes, that's the answer in ticks. If you have spot forex data that's in "1/10 pips" e.g. 0.00001 instead of 0.0001 for EUR/USD, you might want to divide the pips result by 10 to adjust for that, but otherwise, pips would be equal to ticks. Some will prefer to algebraicly rearrange it to multiplicatio...

Bruce DeVault

Divide by BigPointValue to translate P/L to points, then divide by MinMove/PriceScale to translate the points to pips. Bear in mind, MultiCharts doesn't yet have currency conversion features per se, so conversion rates are always fixed if you're trying for instance to convert from EUR/JPY back to USD.

Bruce DeVault

Quite clearly there's no point in continuing this exchange. I can assure you my signature has nothing to do with you. Good luck to you!

Bruce DeVault

I am not here to solicit for work, as I have stated pretty plainly - I basically have all the work I can handle most of the time and I have no complaints in this regard. My interest in these forums is regarding technical issues. Beyond that, I don't think what you've said merits any further response...

Bruce DeVault

I'm not "hoping" for anything but that (a) the problem such as you reported it will be resolved in coming builds (I can only go off of what you've said so far, since you've provided no reference to a report thread or test case and it isn't something that's been specifically tested here, although aga...

Bruce DeVault

Regarding development - I've just noticed your second reply above - I've told you I'm a consultant already - and my company's website is on my signature and has been as long as I've posted. I don't derive most of my income from development work (though there's nothing wrong with that of course) - wh...

Bruce DeVault

I don't entirely follow what you're saying. I didn't change anything of yours. I merely said that since you've said they're aware of it and know all of the details (which I'm taking at face value), hopefully it will be resolved in the coming build. Only they can comment in concrete detail on their p...

Bruce DeVault

It sounds like a legitimate concern regarding the order handling - since you're saying they're already well aware of it, hopefully it will be taken care of as part of the next 6.0 build. I'm not aware of the specifics of these reported issues, and haven't tested them here. If there's another thread ...

Bruce DeVault

They are working on the 6.0 release I am sure - it sounds like from what you are saying they are well aware of an issue and it is in their development queue. I don't have any information personally on the TT interface status for MultiCharts, but would welcome any feedback from users who may be using...

Bruce DeVault

I've always found TSS to be very responsive. The forums just aren't the main way to contact them if you have an individual, one on one question - they're for peer support. Telephone, email, live chat - they're all available and work great when you have an individual, specific technical support quest...

Bruce DeVault

Have you made any actual inquiries besides posting about your malaise on this forum? They have multiple avenues for support - the forums are principally for PEER support - feedback from other users, and that is exactly what you are receiving. While TSS does post here, this isn't the main way to cont...

Bruce DeVault

TJ is correct. The forums are functioning normally, and I have always found TSS to be extremely responsive whenever I have inquired about anything, which I do regularly. That is why I have no concerns in this regard and have posted to that effect.

Bruce DeVault

Thanks for your kind words. You are welcome. Good luck to you.

Bruce DeVault

Sure, something like this as a very basic starting point, to give you an idea where to go from here to flesh it out in whatever directions you need: inputs: FastLength(10), SlowLength(20), StartingEquity(100000); variables: FastMA(0), SlowMA(0), ClosedEquity(0), Trades(0), HighestEquity(0); // MA cr...

Bruce DeVault

Assign the equity to a numeric series variable, then use the "highest" function to return the high within X bars. Or, you could track it and look back in another way, such as to Jan 1.

Bruce DeVault

I'm a third party consultant / generalist specializing in quantitative trading and optimization. The information's all on my company's website, the link to which is below my name. We simply make it our business to have good relationships and good communications, to stay on top of what's going on, an...

Bruce DeVault

The whole thing about something being going on at TSS has been way overblown, and I haven't really wanted to comment on it further because these things have a way of just going on and on and on. They're working on 6.0 and the natural next steps.

Bruce DeVault

In order to do this currently in EasyLanguage, you would need to track your own simulated equity curve in memory (keeping track of what your fills would be according to whatever your fill assumptions are), then take or not take the "real" trades based on this.

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