MultiCharts: Trading Software for Automated Trading and Backtesting

Fredi

Hello Henry,

I disabled "External historical data", however without any success.

Do I have to use other settings (not live Login/Password, not Live Server, other link) in QM,
in order to receive historical data for an expired instrument?

Fredi

Thank you for your reply. I try to load i.e. DDH16 (DAX future March 2016), the last expired one. And already in QuoteManager (selecting the symbol and choosing "Connect symbol") I'm getting the mentioned event message: "No security definition has been found: Symbol=DDH16" It is live and has in my o...

Fredi

I'm really the only one with the missing historical data?
Are there any known problems with CQG, in the moment?

Could I please get a short feedback?

Fredi

It's currently not possible for me to download historical CQG data in QuoteManager (Version 9.1.11815.400; Server: Live with wss://api.cqg.com::443 and it doesn't matter if "External historical data" is enabled/disabled). I modified the registry as proposed above. For example if I want to connect DD...

Fredi

Thank you JoshM. I didn't notice this feature request.
The real problem is, that I don't see any workaround.

Fredi

If a market is very fast and OCO group is not supported natively by broker, there is always the possibility, that both bracket orders can be filled. That means: a open position without an exit order. With the commands marketposition / i_marketposition / OpenpositionProfit it is possible, to find out...

Fredi

Ok, I found the reason of the difference.
Bollinger calculation in MC:
BollingerBand = Average( PriceValue, Len ) + NumDevs * StandardDev( PriceValue, Len, 1 ) ;

Fredi

Hi, the UpperBB is calculated in 2 different ways: directly via formular and "manual" via average and standard deviations (see code). Why is there a difference in the results? [IntrabarOrderGeneration = true]; inputs: FastLength(20), NumDevsUp(0.6); vars: intraBarPersist BBup(0), intraBarPersist mBB...

Fredi

Hello Henry, all conditions are fulfilled.

Fredi

For the CQG demo account I can't change the demo server (with
QuoteManger->Tools->DataSources->CQG->Settings) to
wss://api.cqg.com:443, because the field is greyed out with the
contents wss://demoapi.cqg.com:443.

Repairing doesn't help. Any idea/solution?

Fredi

A first approach... Inputs: xseconds(60); vars: intrabarpersist MaxHigh(0), intrabarpersist MinLow(0), StrDateTime(""), endtime_s(0); StrDateTime = FormatDate("dd.MM.yy", el_datetodatetime(Date))+" "+FormatTime("HH:mm:ss", el_timetodatetime_s(time_s)); MaxHigh = maxlist(MaxHigh, High); MinLow = minL...

Fredi

May be this Workaround is a help ...

Code: Select all


if barssinceentry <= MaxBarsBack then

	MaxHigh = Highest (high, barssinceentry)	

else MaxHigh = maxlist(MaxHigh, Highest (high, MaxBarsBack));	



ATRVal = MaxHigh - (AvgTrueRange(ATRLength) * TrailingATRs);

Fredi

Because I'm not a programmer I`m looking for a such a code / function (building a higher time / range frame), also. Even an example in another language would be helpful. Does anybody know such an example / frame? Another question: is there any description of the MC prebuild functions (like BarQualit...

Fredi

Tony, thank you again for sharing your experience. I had similiar experiences, especially with backtests that produces unbelievable (good) results. And therefore I would like to find tips / advices, if there are any proven techniques (best kind of entries/exits, backtests) in such environments as de...

Fredi

Tony, thank you for your approach. Maybe a very helpful impuls for my next steps. Does your backtesting script looking similar as this code? TV = MinMove/PriceScale; // Tick Value profit = 4 * TV; offset = 2 * TV; // Backtest-Offset if marketposition = 0 then TargetPassed = false; if marketposition ...

Fredi

Henry, thank you. Before I adjust my script to real-time (if it makes sense, at all), I think, first I have to verify my understanding, how future market is working. The situation: I’m trading FDAX and Euro-Bund (CQG tick data; broker is AMP). I‘m using for both instruments the same MC-script / stra...

Fredi

Assume there is stratey with only 1 symbol, based on Data1 = 1 tick Data2 = 16 tick Following MichaelS answer (lose Data2), I think without Data2 the "story" would become much easier with all the parameter like Barstatus=2, IOG, BM etc. Therefore the question: is there any solution to build a framew...

Fredi

Yes, the question is perhaps naive: I want to reach realtime results as closely as possible with the backtest (the opposite situation - backtest results more closely to realtime seems not possible). The problem: in the lowest time frame (tick data), very often my strategy isn't getting the fill in r...

Fredi

Thank you very much for your answers.

I hear from ADE the first time. Seems to be very powerful.

Do you have any experience / important advices / links
concerning this application (very popular, tested, processor-intensive, known disadvantages etc.)?

Fredi

Hello,

in 1 workspace with 2 charts (Chart1: Tick, Chart2: 5 min.) I would like to transfer an entry condition from Chart2 to Chart1 strategy via a GV.

Does this work in backtest or only in real-time?
Is there any way to realize this approach for backtesting?

Thanks & regards,
Fredi

Fredi

You are right, I have to become more specific. to 1. In the moment, I control the mentioned processes with a kind of this method ( https://www.multicharts.com/discussion/viewtopic.php?f=5&t=46551 ). However, independent of the Broker status (connected or not) no alert is generated. That means, that ...

Fredi

Hello, there are 2 issues, which are making autotrading immpossible for me, in the moment. 1. In order to control MC during autotrading, which processes (seeing in Task-Manager) are starting /closing for (a) Broker connection / disconnection (right click on Broker tab) and (b) real time datafeed (co...

Fredi

Today I switched on MC - without any changes compared to yesterday - and everything is working fine.

I don't have any explanation for that - and it remains an uncomfortable feeling.

Regards,
Fredi

Fredi

Hello, similar problem as in the topic "Tick chart missing data" (from today). Since today, I' missing the CQG-data (Ticks, 5min) of symbol DDZ14 (DAX INDEX FUT DEC 14 = FDAX Dec14) in the chart. Curious: only the data of the last 2 days (Monday 22./ Tuesday 23.9.) are missing, which were available ...

Fredi

Hello Andrew, thank you for the detailed description. A supplementary question: What code would generate a faster (entry-) execution (or speed will be the same)? (A) Buy PositionSize Contracts next bar at Limit_Long Limit; in combination with "Convert unexecuted limit or stop entry/exit orders to ma...

Fredi

Very often, limit/stop prices are touched, however no execution or only partially executions via auto-trading of my (kind of) scalping system (Resolution: 1 point, Broker CQG, SA-Mode). My question: are the below settings the best in order to get an order exceution as fast as possible and a high pro...

Fredi

Andrew, maybe I don't understand your question correctly. But this is exactly the goal 1, I mentioned above: if the connection to the broker works correctly and the MC strategy doesn't initiate this position (with other words: has nothing to do with this position), then the routine / logic will send...

Fredi

Thanks for your interest. I would like to be more clearly: I'm trading the FDAX. However I think, the instrument is not important, because the settings of SL & target depending very often on the volatility. So it's more a question of the strateyg. In my case there are 2 possible differences between ...

Fredi

Andrew, beside you, this topic seems not to be very interesting for other users. Nevertheless - I try a new approach, in the hope to find a "suboptimal" solution, at least. Of course, I don't know the latency time of the broker API. However I can't imagine, that this time is > 5 ... 10 seconds. On t...

Fredi

Based on that possibility (both bracket orders are filled), it is particularly important to look for a solution. In my opinion is that the reason, may be at all, that there exits a signal like "!From Strategy To Broker MP Synchronizer!". It's hard for me to believe, that there is no solution or work...

Fredi

Andrew, sorry for my incorrect form of address. What do I mean by OCO risk? Via MC I'm sending always 2 orders (Stop + Profit = OCO-group) to the broker. Because my broker doesn't support native OCO-groups the following case is possible: one order of them, i.e. the profit target, is filled. But befo...

Fredi

Henry, thank you. I think I get it. In my focus is standing the OCO risk. That means, that at the broker side a unwished position is possible, not caused from the MC script. So the signal "!From Strategy To Broker MP Synchronizer!" is the suitable approach for me. Now the biggest problem for me is t...

Fredi

Hello Andrew , thank you for your information. As I understand it: "!From Broker To Strategy MP Synchronizer!" and "ChangeMarketPosition" does not send order to the broker? Is this right? If YES, then this is no solution for my case, because my intension is to close real positions, which are wrongly...

Fredi

Most of the Brokers do not support Native One-Cancels-Others group, at the moment. In order to minimize this OCO-Orders Risk (see https://www.multicharts.com/trading-software/index.php/Trading_Risks#_OCO-Orders_Risk) I'm testing some codes - without success up to now. Situation: 1 Symbol, 1 Chart, T...

Fredi

Thank you Henry. Do you see any sensefull ("with not too much effort") workaround
to realize such issue, like with an array etc.?

Fredi

Is attached.

Fredi

Henry, unfortunately not. I tried it with the following code... once cleardebug; vars: RSID2(0, data2), RSID2_Tick(0, data2), value1(0); RSID2 = RSI(Close of Data2, 14) of Data2; // org. RSI for Data2 (reference) RSID2_Tick = RSI(Close of data2, 14) of Data2; // Reset: RSI2_Tick = RSI for Data2 valu...

Fredi

The recommendation will not produce the desired result. Independent from vars-Declaration [RSID2_Tick(0) or RSID2_Tick(0, Data2)] I'm getting with this code .... once cleardebug; vars: RSID2(0, data2), RSID2_Tick(0); RSID2 = RSI(Close of Data2, 14) of Data2; // org. RSI for Data2 (reference) RSID2_T...

Fredi

I think, I didn't describe the problem correctly. The base data are still: Data(1): 1 point DAX future (=Tick) Data(2): 16 point DAX future In a signal script - just like in the chart - I want to update RSI of Data(2) with the actual Tick-Close. Or with other words: for RSI of Data(2) all Close of D...

Fredi

Thx Henry for this information. An additional question comes up and I can't find any easy solution: same workspace as mentioned above with Data1: 1 point DAX future Data2: 16 point DAX future Now I'm using, among other things, the indicator RSID2 = RSI(Close of Data(2), 14) of Data(2); In the Chart ...

Fredi

The problem is very much bigger than feared. With only Barstatus(2)=2 the missing barnumbers are displayed. However it is impossible to get the OHLC values of the bars or to make any other operations at this time, because the values aren't still valid after this time. vars: count(0); if (BarStatus(2...

Fredi

Ok. However - my strategy based on ticks (1 point and 16 points) so I can't switch to a time based resolution. And what I don't understand: why is the timestamp of Data2 not always automatically one of the timestamps of Data1? Because both, Data1 and Data2, are basing on the same ticks / timestamps ...

Fredi

With checking BARSTATUS I want to sync multi-data studies (same instrument). Data1: 1 point DAX future Data2: 16 point DAX future The problem: I don´t get every Barnumber of Data2; that means, I can't trigger reliably (buy/sell) my strategy with Data2. if (BarStatus(1) = 2) And (BarStatus(2) = 2) th...

Fredi

Hello Henry,
thank you, this is good thing.
However, what can I do in the meantime (up to the official version)
and how can I use this in a signal study (like "ADX(5) on Spread1"), in order
to generate a setup for orders?

Fredi

From two dataseries (i.e. Data1 and Data2) it's easy to calculate the difference (=Spread) via an indicator study. However - how to calculate the ADX(5) from this Spread, which is'n a DataN series? Is there any way to transform this Spread (including O, H, L, C) to a DataN series, in order to make "...

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