MultiCharts: Trading Software for Automated Trading and Backtesting

davewolfs

Does MC have a means to specify apply indicator X on data stream 2? The only way appears to be through the use of functions e.g

Rsi = new Function.RSI(this, 0);
Rsi.price = BarsOfData(2).Bars.Close;

Please confirm otherwise.

davewolfs

Support, What is the proper approach to define which time series to use for an indicator. Note I am using Portfolio Trader so there is no bar magnification. Here is what I mean by this. I want the indicator to be populated with daily values, but I want to execute on close (eg. order begins execution...

davewolfs

If under any circumstance you send an order from within your CalcBar loop and Bars.Status != EBarState.Close your order will go nowhere, there will be no log/error/warning of this event taking place either. I think you mean that orders that are submitted intra-bar are only active till the next tick...

davewolfs

Just a cautionary note for those using Portfolio Trader. If under any circumstance you send an order from within your CalcBar loop and Bars.Status != EBarState.Close your order will go nowhere, there will be no log/error/warning of this event taking place either. So if you plan to send an order and ...

davewolfs

How can I test for the status of an order?

Example. Short Sale order is submitted and instrument cannot be shorted at current time and is rejected by broker. How can I determine if the order was rejected. Is there a rejected event handler somewhere in the API?

davewolfs

I don't quite understand this so I'm posting it here. PortfolioSignalObject provides the users with the ability to override OnRecalcLastBarAfterEvent which will be called if a user triggers ExecControl.RecalcLastBarAfter yet if a user sends an order when Environment.CalcReason == CalculationReason.T...

davewolfs

davewolfs, session information is available only for the instruments plotted on the chart (using Bars.Sessions). There is no way to get the sessions for a symbol loaded using SymbolStorage.

Seems like this information should be part of symbol storage. API should expose it.

davewolfs

Hi, Can anybody help me out with a code sample how to calculate the slope of an indicator using Linear regression function. I want to estimate the slopes of the last 5 data points of the upper and lower bollinger bands. Thank you. Take a look at this: http://christoph.ruegg.name/blog/linear-regress...

davewolfs

The Arithmetic Exception is a result of MultiCharts setting the MXCSR register in the FPU to a value other than it's default of 00001FA0. I have no idea why MC.NET does this and am contact with their support team. Basically rather than the system gracefully handling Underflow/Overflow it halts and t...

davewolfs

I recently had to use MC Portfolio for one of my projects and wanted to share some of the additions I'd like to see. I don't know if these should all be lumped together or if I should open a separate feature request for each item. Perhaps others can add to this list. Everything here I've been able t...

davewolfs

How can I obtain session information for a symbol that is not part of the main stream.

E.g. I realize we can make make this call Bars.Sessions. But how can I get this for a symbol I have loaded from say SymbolStorage.

davewolfs

I should have put in my comments that I would be only investing on End of Day Data and not intra-day trading. Does this change your kind answer to my post? Quantum777 That is fine. Just keep in mind that it might require some additional work (with dataloader) if you are using daily bars and require...

davewolfs

MC Portolio only allows you to add 10 data series for a single strategy (i don't know why they impose this limitation). You would have to manually load your data series via DataLoader which is fairly straightforward but does require some "plumbing" work on your end. As for C++ Indicators, no reason ...

davewolfs

I've had to implement custom rollover myself using DataLoader since MC Portfolio does not support: 1. Bar Magnification 2. More than 10 instruments (seems like UI limitation not technical) It's unfortunate as the above 2 really make a use case for HAVING to use the DataLoader. It's obviously not ide...

davewolfs

Can anyone confirm if this is possible. I am trying to use the dataloader with a custom future but am getting a symbol not found exception.

Thanks.

davewolfs

Henry,

Can you share an example of using the new Custom Loader added for 9.0.

davewolfs

Hi,

Where can I find a document/example on issuing an order on multiple symbols. E.g. long on one, hedge with other. I'd like to do this using MC 9.x.

Thanks!

davewolfs

What Class/library contains the portfolio functions for .net. Your attached documentation doesn't seem to cover the API.

davewolfs

Bump.

davewolfs

Hello all, I'm wondering how many of you would want to see volume profile support become compatible with non tick data. Specifically have the ability to produce a profile using minute data. Clearly if minute data would be used it would not be exact as the volume information would have to be broken u...

davewolfs

It would make your software easier to use. Look at AB, Neoticker or Quantshare. All of them support this. There really is no reason why you cant enable a version that has power language supported with the ability to recognize .net plugins within power language itself.

davewolfs

Any potential to add some sort of intermediate scripting language? Basically would want the ability to access O,H,L,C volume data, run condition statements (if/end/else), filtering of time and obviously complicated indicators that have been written in C#. Perhaps not necessary for SE version but def...

davewolfs

IQFeed 5.x will support millisecond timestamps. Will this be supported?

davewolfs

Henry,

Since a feature like this is so critical, wouldn't it make sense to engage your users on how MC plans to implement this. This means through the UI and how it will be handled within the API.

Thanks,

Dave

davewolfs

This has been asked several times yet it doesn't exist. Something so simple as taking a total volume/range and applying an indicator such as moving average cannot be done unless you write code to do so. This is not productive. Many platforms support this. Can we get some direction from support/produ...

davewolfs

We are looking into improving this functionality in one of the next versions of MultiCharts.

When? Can you give some details. Will we be able to do indicators on indicators?

davewolfs

Did anything ever come of this? This is probably one MC.NET's largest flaws.

davewolfs

Yes, but that is not at the tick level. So if one needs to do tick by tick calculation. They cannot obtain them. Anyhow. I don't have time or patience to go back and forth on this forum. But the bottom line is, there is not an intuitive way to take a tick sequence and align it with all higher level ...

davewolfs

All chart resolutions are built from the beginning of the session. Each resolution is based on its own rules. If you want to manually build a resolution you need to load all ticks for the session, then based on the applied rules build the resolution you need. For example the resolution you need is ...

davewolfs

if you can align your charts properly. What do you mean exactly? It does not look like the initial topic question. Please provide a screenshot of the behavior you are referring to. What I mean is that if you were to plot the volume that you loaded via data loader based on ticks. Where your primary ...

davewolfs

Right so, wouldn't it make sense for the dataloader to be capable of produce a range out of the box that aligns with the bars on the chart? IDataLoader result should be controlled by the user as you can have different data series with different data range. I don't see how that applies. Please try t...

davewolfs

Hello davewolfs,

Do you add a reference through Visual Studio or PowerLanguage .Net editor?

PowerLanguage Editor.

davewolfs

That is correct, it will not work on tick or volume based bars. They are built on bar amount/volume, not time range.

Right so, wouldn't it make sense for the dataloader to be capable of produce a range out of the box that aligns with the bars on the chart?

davewolfs

Looks like a bug. Steps to reproduce. 1. Create an indicator that references an external assembly. 2. Compile the indicator. 3. Take note of folders in directory: C:\ProgramData\TS Support\MultiCharts .NET64\StudyServer\Techniques\CompAssms 4. Above directory has required files 5. Go into chart, ins...

davewolfs

That approach will work on time based bars. It will not work on tick based or volume bars.

davewolfs

Ok, so basically one has to do some processing in order to get ticks to align. If the precision on the bars time was increased than this wouldn't be an issue. I do believe that the data loader should be able to give a user the ticks that correspond to the bar they are looking at. Should the bars bac...

davewolfs

Thank you Henry.

One quick question what is the difference between a bars volume and truevolume?

davewolfs

What MC needs to do IMHO is the following. 1. Add a rule that specifies the maximum amount of tick data to keep in the database. Should be global and per symbol based. 2. Give users the option to specify how many days should attempt to use tick data. And if an Automatic rollover to non tick data sho...

davewolfs

My honest opinion is that this is a bit of a "boring" feature. Given that you now support .NET 4.0 this could be made significantly more user friendly and powerful. Rather than support a few keywords. Why not go the route of supporting a scripting language like F# which will instantly have built in ...

davewolfs

Thank you Henry. But How do I see what is the suggested method to see what is in the last tick? You need to check that this is realtime calculation and this is the last bar on the chart if Environment.IsRealTimeCalc = true && Bars.LastBarOnChart whether or not it was at the bid/ask. The information...

davewolfs

DataLoader returns ticks that fall into [ Time Start, Time End ] interval, but the bars are built on [Time Start, Time End) interval. For example: If you request data for a minute bar closing at 02:00:00 i.e. (Time Start = 01:59:00, Time End = 02:00:00) - DataLoader will return all data for this pe...

davewolfs

Environment.IsRealTimeCalc = true indicates if there‘s an ongoing real-time calculation. Environment.IsRealTimeCalc = false indicates calculation on historical data. Thank you Henry. But How do I see what is the suggested method to see what is in the last tick? Eg. What time did the tick happen at,...

davewolfs

Henry,

I am interested in knowing how to determine what was the last tick processed in real time.

Should one be using the DATALoader, comparing the current state and previous state of the Bar?

What is the recommend way to look at the most recent tick?

davewolfs

If I want to see all trades while a 5 minute bar is forming via the data loader how is this accomplished? Attached is a sample code that subscribes to realtime data and outputs the realtime bar values in Output tab of PLEditor window. Do we need to set the range property on the request to the datal...

davewolfs

Hello davewolfs,

This is an internal process, not actual error, just ignore it.

Ok, but this seems to be the cause for the first few bars in the chart not drawing indicator values, they are essentially skipped.

davewolfs

Hello davewolfs,

Which data provider do you use?

IQFeed. If it means anything too, performance with multiple calls to the dataloader seems horrible. As though it is meant to only be called once and used. Please confirm.

davewolfs

How is this intended to be used? I have set SubScribe2RT to be true. I have specified that QuoteField should be using RequestQuoteForField to be trade. I see that there is a field RTData in result which is of type ?Bar so either data exists or it does not exist. If I want to see all trades while a 5...

davewolfs

Agreed that building by tick isn't a viable alternative due to the 120 day limitation. As far as I can tell, the close on the daily bars are accurate as I have compared the IQFeed data to CSI data and also Interactive Brokers, so I'm not sure why such a huge difference in the 15-minute bars (and ev...

davewolfs

Very simple example for testing purposes. I am using the dataloader to load all ticks for the bar that I am currently evaluating. Additionally, I am converting this to a lambda series so that it can be referenced through indicators who take iseries. Nice undocumented feature of the API. There is a p...

davewolfs

Don't know why, if one calls Bars.Time[1] on bar index > 0 you get an exception.

This shouldn't happen. I should add that performance seems a bit slow with most of the time being spent in dam.dll.

davewolfs

Hello, I am looking for an explanation on how in bar ticks are processed. Specifically, if we look at the BarMembers class there is the field TickID along with TickTradeSide. I'd like to know the following. 1. When loading historical data. How can one view the sequence of these values per bar. 2. Wh...

davewolfs

Hello Rob, The data is provided by IQFeed "as is". The difference between daily bar and intra-day data is expected You can come to our live chat and we will help you to check the historical data provided by IQfeed. You can get a daily bar with customized sessions if you create N minute chart with y...

davewolfs

Another case of this issue.

Please vote here on this.

https://www.multicharts.com/pm/viewissu ... _no=MC-856

davewolfs

Henry MultiСharts wrote: Hello Mark, IQfeed provides daily bars as fixed OHLC values with the session settings defined on their end. You can get a daily bar with customized sessions if you create N minute chart with your own session template. IQfeed also provides ability to build minute and daily b...

davewolfs

Using IQFeed, is there a way to specify that daily bars when used in a chart or supplied from IDataLoader represent 9:30am-4:15pm EST only for a market that may trade closer to ~24 hours (e.g., E-mini S&P on globex)? I know we could create a custom session but it seems that would affect only sub-da...

davewolfs

Not tested. But the way to go from Array to ISeries is through the undocumented Lamdba class. The Lamda class is basically an ISeries class wrapper around your own data type. It requires an anonymous lamdba function which is given the bar index being requested and what the value is mapped to. So for...

davewolfs

How are daily and weekly bars constructed in multicharts? From what I can see, daily bars completely ignore the specified session template. Why is this?
Any particular instruments you are referring to?

Take a look at ES 405 minute bar using CME Equity Index Open Outcry vs Daily as a start.

davewolfs

It really isn't impossible because I am using IQFeed on another platform that does it. MC should implement this. There should be an option that allows a user to specify that minute bars should be used for daily/weekly/monthly data so that session information can be used. https://www.multicharts.com/...

davewolfs

How are daily and weekly bars constructed in multicharts? From what I can see, daily bars completely ignore the specified session template. Why is this?

davewolfs

I have created a feature request to add the ability to hide/show indicators on the screen without having to go through the process of physically deleting and inserting them. I am thinking that a user would be able to click a drop down icon symbol to that of changing a symbol or timeframe from the st...

davewolfs

Please vote. Minute bar + TPO (Time Price Oportunity) data.

https://www.multicharts.com/pm/viewissu ... no=MC-1278

davewolfs

Please vote, this is related to adding and removing profiles for different duration.

https://www.multicharts.com/pm/viewissu ... no=MC-1277

davewolfs

Please vote. This is related to being easily able to hide/show profiles.

https://www.multicharts.com/pm/viewissu ... no=MC-1276

davewolfs

This is a hardware issue, not a software issue.

Software doesn't make your system blue screen, hardware does usually.

davewolfs

That helped, so how do we get these changes in front of someone at MC so that they consider improving the volume profile implementation?

davewolfs

Is there anything in the API that will allow me to add/remove a study or hide/show a study's plots?

davewolfs

ES and 6E.

davewolfs

Adding to this. On instruments like EUR/USD profile is barely visible.

Also, there is a setting for hologram, if set to 100 on ES, shows a line around the profile with nothing inside of it (I use this for my weekly+ profiles). If I try this on EUR/USD it display completely differently.

davewolfs

What classes implement the ISeries interface? Can you please provide an example of initializing a collection of objects which implement this interface. I see that variable series and object both do. But these classes are designed such that when assigning value you are giving the value of the current...

davewolfs

A general tool where one could draw and get something like volume or delta between a specific range would be useful. For some reason before plotting multiple sessions was definitely not covering the range, it seems to be fine now. Within the profile there should be an option for coloring and options...

davewolfs

I don't deny the base functionality is there, but there is a difference from software that does thing and software that does them well. Some more points. 1. When adding multiple timeframes to the charts the profiles will overlay the existing bars. Not usable. 2. Using multiple data series is a cumbe...

davewolfs

A couple of usability issues. 1. Dependent on tick data. Why? If there are only minute bars use them. Yes the profile will not be as accurate but it is still useful. 2. Users should be able to display multiple profiles of different durations on the same chart. Eg, Daily, Weekly, Monthly or user defi...

davewolfs

A few more questions. Is DataLoader.BeginLoadData() non blocking/asynchronous (it appears that it is). I find this odd, because you force the user to have to sleep, this doesn't seem clean. There are two properties, Data1 and Data2 what is the difference? Data1 is of Type Bar[]. How can I convert an...

davewolfs

Not all functions are available in the source code.

davewolfs

Looking for an example of following. Base series is intraday i.e. 5M, 10M etc... Looking for a way to take current series and current symbol and compress into higher timeframe i.e. current day, currentweek, previous week, current week. I do not want to manually add a dataseries to the chart, I want ...

davewolfs

Is this available for download?

davewolfs

There might be a workaround if I create mock timestamps. What is the minimum timestamp resolution that is supported. Can milliseconds be handled? Milliseconds are not currently supported. Please vote for the corresponding feature request . I don't really care about the timestamp per say. I just wan...

davewolfs

So if my quotes and trades have the same timestamp than basically the system has no way to tell which quote belongs to which trades.

Is there anyway to add tick id to the import?

At least this way, I could specify the id so the system could determine which quotes happened for which ticks.

davewolfs

This makes no sense in my case. Since the quotes have the exact same timestamp as the trade data. How could MC possibly know which quotes happens before or after the trades? Is there a way to associate as tick id with an import file? Historical bars are plotted in the same order they were imported ...

davewolfs

Hello davewolfs,

There is no such feature in MultiCharts at the moment.

Is there the ability to add custom metrics anywhere on a backtest report?

davewolfs

I am trying to import tick data. Is there a means to import the bid/ask and trade information in a single file or must I do this separately? Hello davewolfs, Each quote field should be imported individually. You can have them in the same file but import 1 by 1(select other quote fields columns as U...

davewolfs

I have an external application. I'd like to be able to obtain a handle to Multicharts and perform tasks such as open a chart window. Close a window. Jump to a specific date in a window. Print a window. Etc...

See.

http://en.wikipedia.org/wiki/OLE_Automation

davewolfs

Any plans to add Automation support.

Example. Obtain handle for MultiCharts via other program or powershell script. Instruct MultiCharts to open/close chart and jump to specific position.

davewolfs

So i am working with forex data, and hoping I can get some Range or Momentum bars to paint. can anyone let me know if this is even an option with what is provided? I see forum reference to this on the non .NET forums.. just nothing in the .NET forums Use the point type. From what I can see each poi...

davewolfs

Add me to the list. I'm a new user testing your software and am getting this error as well. When can we expect an update?

davewolfs

Can we have an ETA for when this will be supported? I require .NET 4.0 support at a minimum.

davewolfs

One should really have the ability to select multiple files to import.

I am importing fairly large files at 4 per year. Ideally I shouldn't have to click through each file and wait 5 minutes for an import to take place.

davewolfs

Is there any support for Position Profit/Loss By Time that is grouped down at the intraday level.

Example below.

2013-02-06_2128.png: (53.95 KiB) Downloaded 389 times

davewolfs

I am trying to import tick data. Is there a means to import the bid/ask and trade information in a single file or must I do this separately? My issue with doing this separately is that my tick data is time stamped by the minute (CQG sourced) but the order of my data itself is correct. Please advise.

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