MultiCharts: Trading Software for Automated Trading and Backtesting

GTrader

Hi Angelina, Please see the following example. I am setting the position sizing in the PMM script. The size is set on each bar update. Ideally it would only need to be set on each order. When running against a large portfolio I would think the overhead would be expensive. Any ideas on how to make th...

GTrader

First of all the scenario involves using stocks/etf's for the portfolio. Whether I use "Required Capital Assumptions in Margin Trader - Margin value 100% of contract cost" or "Potential Loss per Contract - Max Potential Loss 100" the results are the same. Initial Capital: 1,000,000 Trade 1: (day 1) ...

GTrader

a) Is it possible to set (or at least verify) the "Required Capital Assumptions in Margin Trading" / "Potential Loss Per Contract" in a script? and if so, how would I do that? b) Is there an easy way to see which trades are skipped because of a lack of capital? Ideally, it would be nice to see in th...

GTrader

Hi Angelina,
Should my forum login work for the project management section? or is a separate login?

GTrader

This question/suggestion involves plotting in signals and the AddIndicator method. I think plotting in signals would be useful, but more importantly, it is crucial to have the ability to add an indicator in a signal and have it plot as if it was added externally. That way you can keep the indicator ...

GTrader

Can you give an example of how to use the CountIf function?

GTrader

Hi Angelina,
I just emailed them. Thanks!

GTrader

Hi,
I keep receiving this error.

Capture.JPG: (14.76 KiB) Downloaded 467 times

when I run a WFA in PortfolioTrader. I am using a 504 Bars in-sample (2 years) and 252 out-of-sample (1 year) anchored optimization with 17 years of history. The error only occurs when anchored is selected.

GTrader

One thing missing from the strategy report when backtesting in the Portfolio Trader is a section or overlay graph depicting the amount of capital used over time. I would normally want to see this in conjunction with the equity cure.

GTrader

Having access to both versions made me realize that each version has it's benefits. Things can be done very quickly in MC with power language, but MC.net excels in more complex problems. Have you considered combining the two versions and charging for language modules since everything is the same exc...

GTrader

I have a situation where when I optimize a strategy using an exhaustive search it is missing (or skipping) some of the best results. It is associated with the "use limitation" option. If I increase the number of results to include the full set of results I get the scenario to show. It seems there is...

GTrader

Some enhancement suggestions Charts Are there any plans to integrate a way to view the results from the portfolio trader in a chart(s)? I ask as I usually sanity check my results by stepping through the charts. It would be nice to be able to view trades in a chart for each security traded where you ...

GTrader

Seems as though you can't backtest a strategy if either Minimal Acceptable Return or Interest Rate is set to 0 in the Portfolio Trader application. Is that by design? I know these are mainly used for the performance ratios, but with the world moving toward negative rates it might be nice to at least...

GTrader

Thanks Josh

GTrader

Hi JoshM, I'm actually trying to get prior open position not the closed position. Imagine the following: - buy 100 @ 99 on 1/1/2016 - buy 100 @ 98 on 1/5/2016 Both positions are still open. After the second entry the BarsSinceEntry() method get reset to the most recent entry. I can't figure out how ...

GTrader

Hi,
If I have two open positions on the same security. I am trying to get the BarsSinceEntry of the first position taken. The BarsSinceEntry method only returns the most recent entry.

Thanks for the help.

GTrader

Hi, I was wondering if the following is possible. Say I have a strategy with an Input called "lookback". I want to have my order name to be string.Format("LE lookback {0}", lookback). When I define the order in the Create method it uses the default lookback value instead of the current value of the ...

GTrader

Hi Guys, I'm trying to wrap my head around writing portfolio strategies in MultiCharts. I've stepped through the examples with the debugger and I'm getting closer. There are a couple of questions I have: a) It seems as though Portfolio Strategies need to be coded differently than standard strategies...

GTrader

Hi Henry, Thanks for getting back so quick. I did what you said but it still doesn't match up. I've attached the strategy and a screenshot of my Portfolio Settings. I can't get the trade sizes to match up. The problem is definitely on the Portfolio Backtester size as the trade sizes should just be b...

GTrader

Hi, I'm comparing the results between a chart backtest and a backtest run in the Portfolio Trader application. The strategy is identical in both as well as the security ( SPY ). The signals are identical (i.e. the trade dates and prices), but the size of the trades differ. I believe all the settings...

GTrader

That's exactly the issue I'm having. No big deal as I can just put them up further in the class definition for the strategy I'm working on, but I assumed that it was a requirement or something.

GTrader

Hi Josh, I should have been clearer on my question. The problem I am running into is that if I move my properties to the bottom of the class definition the strategy compiles fine but when I add it to a chart I receive an error. If I move my properties right after the class constructor everything wor...

GTrader

Question: Why do the inputs for a study have to be at a particular place within the class?

GTrader

Yes,
Thats generally how all my workspaces are setup. A scanner window with all my securities I'm following and a series of charts linked to it.

The processes go away after a while (20 m) or so.

I also use TS and IQFeed as my datasource providers.

GTrader

MultiCharts .NET64 Version 9.0 Release (Build 10761)

tsServer.exe
Host64.exe
Host32.exe

GTrader

I noticed the same thing, but I found they just take a long time to close. Can take up to 30 minutes before they close.

GTrader

For some reason when I drop a Limit Buy order below the current price it prompts me for an order on the wrong symbol and size. My symbol mapping looks fine. I'm stumped. My chart is a custom future contract on the TF with data from TS and my broker and symbol mapping is for Interactive Brokers TFH5.

GTrader

perhaps you can add an option to make it based off of pricescale.

GTrader

When using Volume Profile for a given security is it possible to have the "Ticks Per Row" set dynamically? For a given chart, if I am looking at a stock I might want it to be 100 ticks but when I switch to a future contract I might want it to be 4 for the ES. It is a pain to have to go into the sett...

GTrader

thanks MK

GTrader

Thanks for the heads up MK. I'm trying to move from TS to IB as a broker but I have to say I'm starting to get a headache. The portfolio margin that IB offers made me give it a try but I am having huge data issues. I am still using TS data for most of my trading but I really want to consolidate my t...

GTrader

Add the option for a given symbol in QuoteManager to
a) Collect all historical data instead of just current prices while QuoteManager is open.
b) Add the option for a given symbol to collect data outside of normal trading hours.

GTrader

Is there a way to use 1 minute bar data for volume profiles? I'm using IB as my data feed and they don't provide tick data and their second bars have way to strict data constraints for make a volume profile. I was thinking you could create a less accurate profile using minute bar/volume data.

GTrader

Hi Henry, I'm looking to create my own application within MC. I would like to be able to add a new menuitem in the main menu where I can launch my own form. You have some of the objects exposed such as data, account info, etc. It would be good to expose the backtesting / optimization engine as well....

GTrader

I've recently been evaluating all the platforms that I trade on and trying to consolidate to one platform. Through this process it has become clear what my needs are to make a long term commitment to a given platform. No platform has everything, but they need to be open enough that workarounds can b...

GTrader

is this a newer build than beta 3 or is it the same?

GTrader

Is it possible to customize the chart trading form? or create my own chart trading form?

GTrader

Can you please add resolution linking to Scanner window?

GTrader

Hi Henry, I would think that charting a custom future contract would be the norm for futures. What is the thought process of only having one DOM per MultiChart instance? If you are trading multiple symbols, it is helpful to have multiple DOM's especially when you use multiple monitors/desktops. Not ...

GTrader

a) Is it possible to change the DOM window to be a normal MDI window inside a workspace?
b) When i am plotting a custom continuous future chart and I link it to a DOM window, I can't get the depth even when I use symbol linking. Is there a way around this?

GTrader

a) 30 days of 30 minute bars of a custom future contract (problem is when I look at QuoteManager it seems to make a series of 1 minute bar requests instead of the 30 minute thereby causing the pacing violation).
b) 180 days of daily data for the same custom future contract

GTrader

I find using IB data makes MC unusable. Every data request, irregardless of the resolution, is made as a 1 minute request. Thereby almost always causing a pacing violation. I'm only working with a single ticker with 2 charts (continuous ES daily, and 30 min). Am I doing something wrong? Does the bun...

GTrader

Hi Henry, I can't find a use example of the session object or where the current session object resides. I see there is a collection of sessions in the Bars object but I'm not sure how to identify the current session. I'm trying to create an indicator that resets on a session change. Maybe there is a...

GTrader

how do you detect a session change? i.e. how do i know this bar is either the last bar in a session or the first bar of a session?

GTrader

Is it possible to share the following between computers:
a) security definitions,
b) data

GTrader

I'm trying to use source control for my C# studies project, but the project seems to get overwritten every time and is removed from source control. Any one figure out how to best tackle this issue?

GTrader

Ok, another bug. As stated above the fix for getting market profile to work on daily bars is to select build from minute bars. The problem is when that chart is linked to other charts via ticker every time I change the ticker it comes unchecked. Not sure why.

GTrader

Ok, if I build the daily bars from minutes it works. Definitely a bug though. It should work with daily bars.

GTrader

Actually, it seems the above works "but not for daily bars". Daily bars market profile comes up with no data available.

GTrader

Thanks Henry,
Just thought I would throw the idea out there. It isn't a requirement but more of a quality of life thing and it should be easy to implement.

Best
Mitch

GTrader

I can't figure out how to create a day session continuous futures contract using TS data. I've added the continuous contracts (ESU14, ESM14, etc) to QuoteManager. I've also created the new entry in the Symbol Dictionary for ES/TS. Each contract is set to use the Symbol Settings for Setting Source an...

GTrader

Hi Henry, What I am suggesting is adding the ability for MC.Net to add the ability to load dll's with pre-compiled indicators/strategies dynamically on start-up. This would be an alternative to the built in file based compiler that MC.Net uses. To be specific, I would no longer have to put *.cs file...

GTrader

Having used MC.Net for a while, I have one suggestion that would make using visual studio a bit more seamless. I'm not crazy about how you have to play with files and switch between Powerlanguage editor and visual studio. Why can't MC.Net just scan the MultiChart.Net directory (or some specific dire...

GTrader

When using IB as a souce for data for minute charts I noticed that MC requests 1 week of data at a time. I find that the repeated requests result in a pacing violation depending on how much data is requested. Is there any reason 1 request isn't made for the whole history?

GTrader

I am using TS data for the $Tick Symbol.

For some reason there will be data missing but if I open a new chart the data is shown to be there. Ctrl-R does not correct the problem for the chart missing the data.

See two attachments

GTrader

I was trying to use the IB Gateway instead of TWS mainly for running automated strategies since the Gateway doesn't automatically log off at night. The problem I was running into was when I look up a ticker for Interactive Brokers it automatically launches TWS and logs me out of the Gateway. I have ...

GTrader

a) Is it possible to fill in the surface area of an oscillator plot? I mimic this by creating a histogram with the same value of the oscillator value, but it would be better if I could just fill in a given background area between 2 plot lines. b) It seems the visual plot order is dictated by the ord...

GTrader

Having tried every platform out there, the main problem is how certain platforms differentiate between indicators and systems/signals. You should be able to write a signal and have the ability to plot (to any pane in the chart) from within the signal directly without having to create a separate indi...

GTrader

I was trying to use the Chart Trading feature and I had the following questions: a) When trading futures, I tried dropping the limit order onto the chart it always defaults to shorting [x] contracts at limit. How do I change it to a buy? b) Can I modify the template orders in chart trading? I am usi...

GTrader

I re-added the contract in QuoteManager using the lookup functionality. It fixed it but I'm not sure why as it had the same settings but whatever works.

Thanks for the help.

GTrader

When using TS Feed

GTrader

Still can't get it to work

GTrader

When I try to chart futures (such as ESM4), using IB for data, it only returns a few bars. Stocks seem to work fine, it's only on futures. Any ideas?

GTrader

Now that TS now has a WebAPI will it be added as a broker? Also will the data feed be updated to use the new API (it is much faster).

GTrader

Can it be optional by defining the input type?

Are there any negatives to allowing it?

GTrader

MC.Net has actually been out for a while, and they even have a beta version of the next upgrade. The first book will give you exposure to the basic ones, but the second will have the reference for most of the .net namespaces. The main reason for namespaces (using packages) is just so objects/methods...

GTrader

Is there a separate Project Management thread for MC.net?

GTrader

The other thing that would help MC.Net and MC in general is creating a better third party interest by creating the equivalent of an AppStore for MC (indicator, strategies and addons). The ability to use Visual Studio in MC.Net would be a huge incentive for them also.

GTrader

To get your feet wet I liked "Head First C#". You can read it in a day and it will give you the general idea of how it works. Then I would get one of the O'Reilly books like "Programming C#" as a reference. For strategy coding and such that is all you will need, but if you want to code some form app...

GTrader

Just got home and tried it and it worked. I have 2 other suggestions that helped for me. a) don't set the breakpoints until after you attach to the MCCharts.exe process b) just changing the status of the indicator did not work the first time. I had to close the workspace and reopen it to hit the bre...

GTrader

Hi Henry, What I am looking for is to be able to create my own independent windows/forms inside of MC.Net (like the Chart or Scanner window) without having launch it inside a Chart as a Indicator/Study. My use example would be to create a tool/GUI to manage all of my live strategies. It would be use...

GTrader

One enhancement that would be beneficial is the addition of a new type of study(aside from the existing signals/indicators/functions). Currently if I write a form application I need to launch it from a chart. Instead it would be nice if you had a new type that could be launched from a menu (like any...

GTrader

Thanks Guys. I am traveling this week, but will let you know if either work when I get back home next week.

Thanks again.

GTrader

Thanks zoli ill give it a shot.

GTrader

Thanks for getting back to me Henry. I worked on it late last night and was able to get it working on my laptop but not my desktop. I am using the exact same process on each. When I set the breakpoints it tells me that it will not stop because "symbols have not been loaded for this document". I goog...

GTrader

I've followed all the forum posts to try to get it to work but I can't seem to get it to work. I've made an argument in another post of why the new express versions are superior to the older versions so it would be great if you can help me out with this. I'm configured as follows: - Win7 64 - MS.Net...

GTrader

I think it would be a benefit to the application to have a solution that works with the new Visual Studio Express for Desktops as a) this version combines C#/VB/C++ under 1 roof like the professional version of VS, b) it has the ability to attach to process for debugging that is missing from earlier...

GTrader

Is there any reason MC hasn't added TS as a broker? This product seems to be able to do it:

http://www.traderssoft.com/mc/

GTrader

I'm running the new Visual Studio Express for Desktops 2012 and it seems to all be working fine on my laptop and desktop. As an aside, I love the new express version as it includes C++/C#/VB all under one roof (like the professional version) and they now have a express version of the team foundation...

GTrader

So far that I've found. Works fine on my mac using Safari.

GTrader

I am using Internet Explorer and all of the forum posts are centered instead of left justified. Does anyone else have this problem?

GTrader

Hi Henry, To be more specific ... this is the basics of what I am trying to replicate. NextDate = Next Bar Date; LastTickOfDay = NextDate <> Date; If LastTickOfDay then begin NextOpen = Next Bar Open; Gap = NextOpen - Close; if Gap>0 then SellShort ("se") Next Bar on Open else if Gap<0 then Buy ("le...

GTrader

Do you have an example of how to do the equivalent of a "Next Bar on Open" order in EL? It is for a opening gap strategy that I am porting over where I want to process the order after the opening tick of a new session (as i filter whether to place the trade based on where the opening price is) and s...

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