MultiCharts: Trading Software for Automated Trading and Backtesting

orion

The difference is due to differential delays in the tick events passed from the data collection process to the two signal processes. Interprocess communication involves delays even when the processes are running on the same machine and the delays experienced by the two signal processes can be differ...

orion

TJ's suggestion will work. Additional note: one issue with print() is that it will truncate existing file and so if you want to avoid that and still want to know if a file already exists, use ELC.PathExists().

orion

Thanks arnie. Is there a more effective way to track this? I use over 40 futures and I would like to avoid having to visit the exchange page for each individual contract. Is there a central place one can easily monitor for all contract changes?

orion

This is not an MC issue but I am posting on this forum in the hope that some knowledgeable user can help. Can someone please advise as to what is the best way to track contract changes. My data provider did not provide any notice of this change even though their datafeed started providing the data w...

orion

Does using split and dividend adjusted data not help?

orion

Good point. While the portfolio trader simulation itself can't be parallelized for understandable reasons, MC team should look into parallelizing the portfolio trader data load in future version since that can significantly improve the user experience.

orion

No, you can't do that. On a related point but different point, note that in MC parlance, a strategy is a chart (aka symbol) and the signals applied to the chart. It is common to confuse the terms signal and strategy. When two or more signals are applied to a chart, they interact and make up a single...

orion

Henry, can you please clarify how the shaded rectangles for intramonth runup and drawdown are calculated. Is MC calculating intramonth runup as follows: runup = 100 * (intramonth_equity_high - intramonth_equity_low) / intramonth_equity_low For example, in a backtest for a certain month, MC shows my ...

orion

Post #14 describes how to do it before the strategy entry signal is acted upon.

orion

There are multiple ways to do this. You can do this using the pmms keywords that you mention. You can also do this without using the pmms keywords by using the following logic. Before making an entry, a strategy checks the global variable using pmm_get_global_named_num(). If the variable is above th...

orion

I don t know if is it possibile with Portfolio Trader (i think yes) but anyway, in this case, what would happen if 8 signals will be triggered at the same time ? Can i assign a random priority ? This is easily done in PT. You can use pmm_set_global_named_num() and pmm_get_global_named_num() to keep...

orion

Michael, please find code for simple version of XAverage(). The trick is to use an input to pass the value of the old average into the call for the new calculation. The caller must save the value of old average from the previous call and pass it in the new call. The value of the old average is ignor...

orion

Slippage being a function of liquidity applies at the exchange. That is how institutions, who have direct access to the exchange and are only limited by the speed of light, model slippage. Clearly, for a retail trader, slippage will also depend on the broker. The point I was making is that slippage ...

orion

I believe slippage should be configurable in the QuoteManager per instrument and/or modifiable/editable from the code. This clearly is a FLAW which leads to unrealistic calculation results, especially for Futures... This is a feature rather than a flaw. Slippage needs to be a function of liquidity ...

orion

Michael, I was away and hence the delayed response. If this is still an open issue, the point I was trying to make is that XAverage() is a series function as opposed to a simple function. While a simple function executes only when called by logic, a series function executes on every bar even if not ...

orion

As Josh and I said, the only way to do this is to use RecalcLastBarAfter() and AllowSendOrdersAlways.

orion

Having led the development of some of these technologies, I agree that paranoia is justified. While I have no complaints regarding MC, the question as to what MC, or for that matter any other platform, is doing is unknowable without reverse engineering the software. That is an expensive proposition....

orion

I find ELC useful in my work for its list and map classes and file IO utilities. ADE stands for "all data everywhere" and is a data communication framework built on top of ELC. I don't use ADE since I use the built in global variables that come with portfolio trader for all data communication betwee...

orion

There is no Timer class in MC. However, you may want to look into RecalcLastBarAfter() and AllowSendOrderAlways keywords. The other option for getting full control of your orders is to write your own broker DLL.

orion

Isn't it true that MarketPosition returns only 1, indicating long, -1, indicating short, or 0, indicting flat? Yes. What does it mean by MarketPosition returning 2 as in the following example then? https://www.multicharts.com/trading-software/index.php/PlaceMarketOrder That is a typo. However, ther...

orion

The last post referencing MC support has the phrase "this issue that you reported with CQG data". Does this issue where we have different volume charts with same data provider arise only with CQG or does MC have this issue with other data providers too? Note that time charts even from same data prov...

orion

Very interesting. I would have expected differences for time charts but not volume charts. When you find the problem, can you please post back what you find.

orion

The following notes may be helpful for you. There are 3 types of exits: 1) tied exit 2) untied exit 3) total exit 1) The following are tied exits. The exit is tied to a specific entry. The first sells 100 shares that were bought by specific entry named. The second sells all shares that were bought b...

orion

Justme, global variabels can not be used historical only realtime. Just to let you know, so you can save yourself some time coding.

Not true. GVs can be used for both historical and realtime. For historical, you have to use them without their PL wrappers.

orion

You will have to write an external processing tool to process your broker order logs since this is not available in MC.

orion

Portfolio_Equity function supplied with MC should do it. Both the function and Portfolio_NetProfit keyword evaluate on every bar. So it is likely there is some other bug in your code.

orion

Thanks Henry. Martin, how about you?
yes

I have had the exact same problem with gaps when I used to have QM running. I no longer use QM to collect real time data and that has fixed my problem. I think this is some kind of MC bug.

orion

For the symbols with the data gaps, were you having the QM collect real time data for the symbols?
Yes

Thanks Henry. Martin, how about you?

orion

For the symbols with the data gaps, were you having the QM collect real time data for the symbols?

orion

What's weird is that the price data I'm using (end-of-day) doesn't have a time stamp, just a date stamp. It is not due to absence or presence of time stamps on price data for daily bars. Most daily bar data will not have time stamps (and will have only date stamps as you mention). However, each sym...

orion

Glad your problem got fixed. Now for the explanation on why the first PMM signal did not work for you but worked for me and why we needed the second PMM signal as the workaround in your case... I am reasonably confident the problem in your case was that your futures database has bars that have diffe...

orion

If the above still prints 3 times per year, also try the following as PMM signal and see if this changes anything.

Code: Select all


vars: lastDate (0);

if (year(date) > year(lastDate)) then begin

    lastDate = date;

    print((date + 19000000):0:0);

end;

orion

Just one last experiment. Attached is image capture of my simple PT setup with a base signal called pc.s.DummySignal2 and a PMM signal called pc.s.TestPortfolio. See the red boxes highlighted on where these signals go. The code for these signals are as below. The base signal simply counts the number...

orion

To troubleshoot lets reduce your code to bare essentials. Using the following code as PMM signal in my portfolio of 40+ futures with daily bars prints out each year only once. Does it do the same for your database or does it print each year 3 times? (Note that the PMM signal is only the following 3 ...

orion

Not being privy to your code or the bar data, I can only hazard a guess as to why this is happening and my guess is that it is because different instruments have different ending bars. In other words, the bar end times are not synchronized across the instruments. Note that the signal will run once f...

orion

PT has two types of signals: the base signals and the PMM signal. The base signals run for each instrument while the PMM signal runs only once. So make all portfolio statistics output a part of the PMM signal.

orion

If you are looking to have the code sync only at start, sample code here will do the job. However, I would still advise users to invest time in understanding the details of these keywords rather than using boiler plate code without understanding what is going on.

orion

There is no entry signal so why did it enter a position? I am not sure I understand that question. You were long when you started and your code uses ChangeMarketPosition to manipulate the market position. The keyword MarketPosition is updated via order fill reports coming from the broker while the ...

orion

Your sell references a buy entry "ATRTestEnter" but there is no such buy entry.

orion

Suggest you check your settings under File -> Preferences -> Trading.

orion

Henry, I am still looking to get answers to questions in post #3. Can you please respond. Thanks.

orion

I see your point about how the sim vs live account should make no difference. Some brokers do convert stop orders to market orders but that conversion is done only if the market has traded through the stop by the time they received the order. They do this since sending the stop to the exchange will ...

orion

I actually first reported this problem many years ago when the DOM was introduced and when I was still trading manually. I had the same uphill struggle back then trying to convince Multicharts that the problem even existed. The response was similarly dismissive, unhelpful and most importantly, tota...

orion

With Portfolio Trader you can do exactly what you have said you are looking to do. And much more!

orion

I am sorry to say and prove me wrong, but the way it is now, you can't use multi data series for backtesting. Because it will give complete fictious results. Please fix this and save the users of MC a lot of time testing bogus strategies. Update: User Glam_100 has described in detail what the probl...

orion

I'm confused - what do you mean by "restart" - do you mean actually shutting down MC and restarting it, or do you mean turning a system off and then on? Under both circumstances, wouldn't MC process all of the proceeding history up until today, thereby detecting the crossover that occurred historic...

orion

The file log method is the simplest; let me know if you need help with it. There is only one other way which is a bit more complicated; it requires implementing a daemon process outside of MC.

orion

Portfolio Trader has a limit of 10,000 symbols for auto trading.

orion

You have to log changes to condition to persistent storage (file on disk) and have a once/begin block in your code that reads the condition from the file log on strategy restart.

orion

You can't since all variables have file scope. However, you can communicate from one signal to another via global variables.

orion

You likely have a problem with Realtime History Matching (RHM). Turn it off.

orion

The built-in exits are all or nothing.

orion

The behavior of Highest() is correct and that of HighestBar() is controversial. I avoid using HighestBar(). The ExecOffset keyword is one of the worst features of EL/PL since it violates principles of good software engineering. It was added in EL without much thought and PL has had to support it for...

orion

Is there a flag or keyword that can be invoked to determine whether a PowerLanguage program is running within Portfolio Trader vs. a regular MultiCharts chart?

GetAppInfo(aiIsPortfolioMode)

orion

Yes, all data vendors support full precision. Otherwise the quotes/prices wouldn't be correct. These two particular symbols are quoted with what MC calls "fractional prices" instead of decimal prices. The PriceScale for these two is "1/32 and j of 32nd" as per this reference which when exported in d...

orion

As I mentioned in the previous post, I do not rely on PT for doing any of my position sizing because even after spending a fair amount of time and effort in trying to understand the workings of its risk manager, there are still pieces of its functionality that are a black box and I don't like operat...

orion

I have been able to copy databases between machines without a problem.

orion

I don't think there is the kind of setting you are seeking. However, if symbol specific commissions and slippage are important, why not simply view them as a hurdle that your strategy has to meet?

orion

Traded on the CBOT:
US Treasury 2 year Note
US Treasury 5 year Note

orion

When exporting data for symbols from QM, it chops off the decimal precision to 6 digits. This is not right thing to do for some of the rates futures which need 7 digit decimal precision. I can do the export by charting the symbol and exporting from the chart but that is inconvenient and I would like...

orion

Henry, from your question it sounds like this timestamp in OPT is broker dependent? I currently use IB but I am also planning to use some CQG FCMs in near future.

orion

Thanks. That cleared up the mystery. Now I know that there is this difference amongst datafeeds.

orion

It is because you have set the MarginPerContract to 100% and Max Potential Loss to 100%. The workings of the portfolio risk manager logic is explained in the pseudocode posted in this thread. However, note that there are still some areas that are not fully explained such how the portfolioOrdersAllow...

orion

If you are using a futures instrument - please make sure the symbol root for the instrument you have added exists in the Symbol Dictionary for IQFeed and has the correct settings. Thanks Henry. I had cleaned out the symbol dictionary for IQ to reduce the clutter. I can add the roots back in for sym...

orion

The GlobalVariable.dll comes installed with MC and you can use the DLL as is without having to do anything further. There are two ways to use global variables: (1) without the PL wrappers, and (2) with the PL wrappers. Your code is trying to use the global variables through the wrapper functions and...

orion

When I add symbols for IQFeed using the 'From Data Source' in QM, the symbol settings for MinMove, PriceScale, and BigPointValue are not set correctly; unlike adding symbols from TS and Interactive Brokers. Is this because IQ does not provide these symbol settings in its symbol lookup database or is...

orion

I am sorry to hear that but I understand. It is better to push it out and have an engine that lives up the same high standards that we have come to expect of MC than try to get a quick release that is not well thought out. Users who feel the need for functionality such as unmanaged orders can try ou...

orion

"Sent" can be both: "order was sent to broker plugin" and "order status has been received from the broker execution gateway". Thanks for clarifying Henry. We have millisecond timestamps in the OPT and I want to understand exactly what they mean so that I can use them in my analytics. Is it safe to ...

orion

I'm interested in the possibility of continuing along the same line to use SetStopLoss( NegNum ). So far, no one has said "Trying to use SetStopLoss( NegNum ) is a bad idea, and here's why ...". Nor has anyone said "Yes, it's a perfectly good way to go ..." <g> Worth exploring further since MC is s...

orion

but how can I avoid the stoploss to exit all my signals? If the signals operate as one strategy then the stoploss will exit entry made by any signal. Note that strategy = chart + (signal1 + signal2 + ....) where "chart" is one row of the portfolio trader. If you want PL studies on a symbol to opera...

orion

I have a couple of questions about the order display in OPT: 1. Some of my orders show the status as "Saved". I could not find what it means in this description of order status in wiki. 2. There was this post that said "MultiCharts waits for the order status from the broker to show it in MultiCharts...

orion

Trading instance is a thread for computing that manages the orders for a given chart (pushes them to the API, modifies/cancels orders). Henry, how is this handled in the PT where there is only one broker plugin? Say strategies for symbols A, B, C generate orders on same bar close at 10:35:05 on 5 s...

orion

The new backtesting/auto trading engine coming in MultiCharts 9.1 will provide direct order control. It will be possible to receive a list of orders from broker, including current orders' state and parameters. Henry, this is great! Will we be able to do the same for positions? Do a demand pull of p...

orion

Henry, I apologize if I caused confusion. I think tony was seeing differences in his trading strategies on two computers if their clocks were not synced and that is what motivated his question. The reason for him seeing differences is because bar formation (as determined by CloseBarTimeout setting i...

orion

one particular trade tried to exit 3-4 times during the 11am (EDT) bar. Therefore the exit orders were trying to send (or were ignored by LMAX) for 15 seconds.

champski, I read your post more carefully. Were all your problems with exits or did you have problems with entries too?

orion

Given your market timer is set to 5 secs, a 15-20 sec broker connection loss will result in 3-4 retries. We need a new PL keyword broker.connectionStatus to give user code visibility into connection status so that user code may take appropriate action in such cases.

orion

I had 2 trades at different times and noticed my entry and exit orders weren't filled on the first few attempts. In autotrade properties, orders not filled are set to expire after 5 seconds.

What is your bar resolution and how many times were they cancelled?

orion

I thought bars formed based on computer time, NOT the time stamp on the tick. But reading above, it sounds like it is in fact the time stamp. Did this change with the most version of MC? You are misunderstanding what is being said in the thread. Bars do indeed form based on computer time for realti...

orion

I am looking at the IB API: It seems that reqOpenOrders() would return the information. All requests are asynchronous, but that shouldn't be too much of an issue to overcome. Can be done, but there might be faster ways to get a similar result: I am working on some Perl code to parse the audit trail...

orion

This would be a useful feature not just for PT but also for anyone who does auto trading with MC. As of now, PL does not have any means of getting open orders or positions at the broker. All position updates are via message "push" by the broker. I discussed this with Andrew a month back and the only...

orion

From the output you printed it seems even the first rebalance didn't work. And the problem most likely has to do with your position limits settings.

orion

The following points may be relevant in case you have a misunderstanding of what it means to have "3 strategies". Perhaps what you have is 3 signals and not 3 strategies? 1. Many users may colloquially refer to a signal as a "strategy" but that colloquial usage of the word strategy is not the formal...

orion

In SA mode "entryprice" returns the actual order fill price from the broker. In AA mode "entryprice" returns average entry price calculated for the strategy on the chart. Henry, my understanding of what you are saying is that the value returned by the EntryPrice keyword in PL signal in AA mode is b...

orion

Resolved and deleted.

orion

I do need it. Because I looking for rebalance the portfolio. I want to have the same dollar amount in each symbol. It isn't just buy or sell... From my understanding of what you are looking to do, you don't need the PMM signal for doing equal position sizing or portfolio rebalancing. You can simply...

orion

Each row of PT is an independent strategy. So each row of PT behaves just like a chart. The PMM signal is an extra feature of PT and you do not need to use it. So for your purpose insert two symbols (GOOG and AAPL), insert your signals against them, and hit backtest.

orion

Thanks Henry. One more question on this. In enforcing the order consistency rule, there are two possible choices for determining "position" in AA mode since MarketPosition and MarketPosition_at_broker_for_the_strategy may not be in sync. One may be indicating position is flat while other may be indi...

orion

In EL there is a rule which for lack of name I will call the 'order consistency rule'. This excerpt is from EL documentation: "Conflicting orders are automatically handled by the automation engine. This means that if you are flat and the signal generates a Sell order, the order is ignored. If you ar...

orion

Henry, I have a question in addition to what MAtricks is asking. I understand that marketPosition and marketPosition_at_broker_for_the_strategy always stay in sync in SA mode but they can get out of sync in AA mode. I also know that in SA mode, marketPosition_at_broker_for_strategy is updated on rec...

orion

how does call by reference work in el

EL Essentials Programmers Guide p108

orion

I have a real problem that is stopping the port. I have a function that is called in 13 different places with loads of variables. Because the parameter passing was long winded I put it in a method that did all the parameter work. That meant there was one set of variables as the function was called ...

orion

Henry, indeed the FAQ addresses how to make functions work with data2. There is a subtlety with the function call frequency that is not addressed in the FAQ. Please note this is not an issue for me since I am used to the PL way of doing it. I was just pointing out for the benefit of the new user tha...

orion

The problem is likely with your configuration and not MC. I am finding it to be quite stable and reliable. I don't use charts. I use the Portfolio Trader but I have as many symbols as you are using. Portfolio Trader does not have IOG but I am using 5 second resolution symbol data. Even at the busies...

orion

I did extensive compatibility checking of EL and PL. The once-begin construct works as in EL. There are no quirks with functions in PL. You have the same concept of simple and series functions. There is one and only difference I found for functions. In EL, you can alias the function call frequency. ...

orion

There is no FFA for MC. Read this if you care about file write performance. The post does not explain why fileAppend is slow but I will explain it briefly here. Going through the original TS thread on FFA, it seems there is a misconception that fileAppend is slow because it relinquishes file handles...

orion

One workaround is to manually create a chart with dummy data series which are hidden as required. Then bulk load symbols you want with .csy. The data series that were hidden should stay hidden.

orion

This is an area where we need a bit of a workaround. I am using the PT but the concept would be applicable to chart window based trading as well. I call one signal the "trader" and the other signals are "strategists". A given symbol may have any number of strategists each trading different timeframe...

orion

Henry, thanks for the response. It was meant to be general information and I wasn't expecting a response. Improved string performance would be nice but is not on top of my list. If I could request features, in priority order they would be as follows: 1. More visibility into the datafeed and broker i...

orion

My portfolio backtesting is noticeably faster with release 5.

orion

PL offers compatibility with the core EL language but compatibility is not 100%. I have programs running on both TS and MC and my preferred platform is MC by a long shot.

orion

This is broker plugin specific. Some broker plugins don't have this field while others do.

orion

1.) Is there any way to import a list of symbols into Quote Manager. 2.) Is there a way to bulk import symbols into a single chart and hide those symbols? 1. QM -> File -> Import Symbol List. 2. On way to bulk import symbols into a chart and hide them is to write a script. Look up the commandLine k...

orion

In MultiCharts 9.0 the indicator is not shown while there is no queue (0q/0s), once there is a queue it shows up and is being painted red.

Henry, it would be great if you could provide us programmatic access to this in a future release!

orion

Thanks Henry. Can you also confirm whether the global variable addons that used to be built into the official MC builds have indeed been removed from the latest build? Not a big deal if they have since I can install the zip file you pointed me to but it would be good to know answer to something that...

orion

I checked with a new MC user who started with a new account, a new PC without any MC residue from past installs, and the GVs are missing on this user's install. So it seems that GVs have been removed from the latest 64b version. Can we get official word from MC?

orion

I don't know of anyone who provides the kind of processed results you are looking for. But there are a number of sources for historical data for equities and you could code up this biggest gainers and losers stuff yourself or hire someone to do it.

orion

Proposal for a new keyword: FormatTime_ms() TJ, printing the millisecond is easily done especially if one does not care about performance. It may be worth first looking at improving the performance of existing string-based keywords. Here is how the performance works out. Assume string-based keyword...

orion

Some time back I deleted global variables and a number of other scripts from the PLE in all my installed licenses since I wanted to reduce the visual clutter and I figured I would not need the GVs given the global variables in the portfolio trader. Turns out that was a mistake and I would like to us...

orion

It seems like string performance in PL can be improved. Below are some benchmarks in terms of CPU clock cycles for a call. Note that converting a number to string is 20 times more expensive than a call to compute the popular RSI indicator. Some of these string manipulation keywords are used heavily ...

orion

Henry, I have some questions on this topic. One trading plugin can process 1 order per time. It means all orders that are generated by the strategies are put into a queue and sent one by one to the API. Once one order is sent, the trading engine starts sending the next order. That is not technically...

orion

The best way to get more throughput for backtest and optimization is to buy more software licenses from MC and use cheaper desktop processors rather than server class processor with 18 cores.

orion

Thank you Andrew. I greatly appreciate your time and effort in answering all the questions!

orion

If you had a spike at (say) 10:30 and then new data arrives and the 10:35 bar forms. Is the new bar after the spike also a spike or do you get normal bars again? If you get normal bars again then this a spike in your data and has nothing to do with MC.

orion

1. Market order that was sent on the open of a bar, that is yet to be acknowledged as filled, is always cancelled at the earliest of any one of the following two events: (a) the close of the bar on whose open the market order was sent, or (b) expiration of the market order timer. ... 3. The timer f...

orion

You have changed the story. You first post said it occurs on the most recent bar. Your last post says it occurs on first bar. The most recent bar is the last bar on chart. Which bar does it occur on?

orion

So your first post about this happening on the most recent bar is not correct? It happens for arbitrary bars?

orion

See highestBar()

orion

Thank you Andrew for the response. 1. For a market order sent on a prior bar, if the script stops generating the market order condition before the market order timer ('Cancel Market Orders as Obsolete if not Filled Within X seconds') expires, does MC cancel the market order immediately (similar to t...

orion

Do you know if a negative number can be used (e.g. SetStopLoss( -500 ) ) in order to advance the stop into profitable territory? I can foresee similar issues as for the BE case applying to the SetDollarTrailing() and SetPercentTrailing() cases. I am guessing the negative number would lead to order ...

orion

PriceScale is a bit of a misnomer in that it does not scale the price. The price will remain what it is. AFAIK, the only way to scale the price is to export ascii, scale it outside using a python or excel, and then import it back.

orion

Did you try setStopLoss(0) instead of setBreakEven()?

orion

Look up keyword setMaxBarsBack.

orion

Thanks Josh. You get my votes for both the most helpful and the most knowledgeable on the forum.

orion

Some barStatus questions: 1. According to thread above, recalculate due to recalcLastBarAfter() can result in barStatus = 0, 1, 2, or -1 depending on when the recalculate event arrived. Should we assume same applies to recalculate due to broker events for auto trading setting of recalculate on 'Mar...

orion

First, let me acknowledge the pain of your loss. As someone said, the joy of winning and the pain of losing are right up there with the pain of winning and the joy of losing. Now, some points that may be relevant to your case: 1. Looking at your OPT, it seems that the order status never changed from...

orion

I am trying to export a Portfolio Report from Portfolio Trader to OpenOffice. Everything seems to run well... and then at the last stage I am seeing an error 'failed to save file' and no export is created. This is really a severe limitation... when will this be fixed? I have developed a simple work...

orion

Hello Andrew or Henry, Could you please help with these questions. I have edited to add two more questions. This is the full list. Clear understanding of the operation of the MC order engine is essential to making sure we don't have mishaps due to poor fills, double orders, exposed orders, and other...

orion

Without knowing what is in the DLL on your other platform, three other things to try out. 1. Try taking log of the sum of price changes over a certain window and not the log of the price. Typically when you take logs, you take logs of price ratios and not price itself. So try do following: // origin...

orion

I think your question is how to make MC continue with the position from the prior day since your broker requires a break in trading. Use the 'Do not Show the Assign the Initial Market Position at the Broker' and select the third option which is 'Use the actual position at the broker'. You have to us...

orion

Good advice. Also, rejection and corruption can sometimes be one and the same; rejection can be a result of corruption and corruption itself comes in two possible forms: price (slippage) and time (latency).

orion

wilkins, after looking into their fine print, I am inclined to agree with you that at least for stop and market orders, which are 'simulated' per their web page, the dice is loaded against IB customers.

orion

Here's the deal in a nutshell Submitted Limit Orders: Submitted Stop Limit Orders: IB claims both of these as 'native' on its website. So your findings are in line with what they say on the web. OTOH, their website says stop and market orders are 'simulated'. Did you ask them about stop orders too?...

orion

For trading CME futures with IB, stop orders are simulated while stop-limit orders are native per IB website. That explains the difference between AMP and IB treatment of your stop orders.

orion

I knew "internalizing" is the norm in equities. According to recorded statements of Thomas Peterffy in 2010 criticizing the practice, equities brokers internalize 95% of the order flow. Looking over some CME rules, this seems to be legal in futures too. So key question: how much equities and futures...

orion

wilkins, you are right on all counts. Thanks for sharing that code. I have seen that "if open next bar ..." before but I have always stayed away from it but you make a good case for looking at that idiom again. MC_prog have you verified that IB will accept a stop that will be rejected per the CME ru...

orion

1. If a strategy makes frequent trades, then position updates will be sent frequently by the broker thus making bp more resilient to message loss while order execution report is sent only once for each trade which makes sp more fragile from an error standpoint. So if bp error occurs due to message ...

orion

Some questions on position sync: Shorthand: bp = marketPosition_at_broker sp = marketPosition_at_broker_for_the_strategy 1. When the unexpected mismatch case discussed here occurs and we are in SA mode with single chart trading the symbol, is it always the case that bp is right and sp is wrong? In o...

orion

To my knowledge, there is no datafeed for auto trading elementized news like the institutional platforms do. Which retail datafeeds or trading platforms have that? OTOH, detecting gaps and unusual premarket activity in equity markets is a trivial exercise.

orion

Thanks Andrew. Makes sense. The fact that all this works with multiple datafeeds and multiple brokers while satisfying the needs of such a diversity of traders speaks volumes about the MC team!

orion

Gordon: one more thing. Make sure it is indeed ASCII mapping that you need and that you can't live with ASCII import instead. They are two very different things. ASCII mapping require two different symbols for two resolutions. ASCII import will not require two different symbols.

orion

Andrew, thank you for all the clarifications. This has been very helpful. I have one remaining question. 1.a. With OOF=off, since this is sent as an IB OCA, I assume you send it as OCA_reduce_size instead of OCA_cancel so that one fill does not cancel the others? It depends. If MC detects the orders...

orion

i am happy to know the good things of PT. but , again I can't trade all of Nasdaq, but need to filter (scan) by some indicators or levels or vol in "real time" and get down to like 10-20 symbols and do "Day trade" I see we have an impedance mismatch. I repeat: PT can do anything that RS can and muc...

orion

thats great to hear and yes those features are great to have, but can it scan NASDAQ real time to check the Vol, ATR in real time, for Day trades ? As I mentioned, you can trade with it. So, yes you can not just scan Nasdaq but trade all of Nasdaq. It also has multidata capability which is lacking ...

orion

does MC has similar feature like Radar screen of TS ? if so, can we do program an auto signal (strategy) off of the results comes from it? The portfolio trader (PT) is a thousand times more powerful than anything TS has to offer since: (a) you can trade a large portfolio of symbols and strategies w...

orion

Since the topic of fileAppend() and print() came up here and here , the following guidelines may of interest to MC users: 1. Use fileAppend() only if you must. It is incredibly slow. Use print() if you can since it is 47X faster than fileAppend. 2. There are some interesting use cases for fileAppend...

orion

8. Going through the IB API after your response, I now see the OCA_cancel and OCA_reduce_size you refer to. The 3 limit orders for scale out in case (b) from previous post are part of 1 OCO. The term OCO literally means 'One Cancels Other'. I assume this literal interpretation is not the intended m...

orion

For ASCII mapping there is no import symbol from data source. Instead, in QM you do File -> Map ASCII. The symbol is automagically created when you do that as long as you have the proper root settings in your symbol dictionary for the root ES (so that symbol parameters such as minMove, priceScale, ....

orion

Thanks orion. I think FileAppend is the same, but I have to test it. No its different. One more thing: even if fileAppend works, you should redo your code so that is is not doing a zillion file writes and deletes. Trust me, that Windows file sytem bug that I mentioned in one of the earlier posts is...

orion

Andrew, thanks for clarifying. OOF was my shorthand for 'Optimize Order Flow'. So OOF on means 'Optimize Order Flow is checked and OOF off means 'Optimize Order Flow' is unchecked. I want to understand how OCO packaging changes with 'Optimize Order Flow'. Could you please address questions 2 and 5 f...

orion

I made a test by means of a simple signal script: The file is deleted only once; Executing the 2 lines more often shows that each time one line is added to the file. It is only deleted when the system is started. Indeed. My tests show its not that the file is deleted only once. What I found is: 1. ...

orion

Welcome! You have graduated from novice status. Making ema work will get you to PL expert status. All the best.

orion

Yes, that is expected behavior! Take the following code for myXaverage(). Verify that it is identical to the builtin xaverage() function you are using except for the print statement that has been inserted. Save this code and compile it as a function. Use auto-detect for the function setting when com...

orion

Quick glance at your code and one problem is you are using a series function inside a conditional.

orion

Can you please supply a basic code example of how to match a backtest with realtime results with RHM disabled " The changes needed in improper (sloppy) code which has a mismatch between realtime and history are dependent on the nature of the code. The medicine depends on the disease the patient has...

orion

I would like to understand the OCO concept better and how it pertains to Interactive Brokers in particular. I understand that MC 9.1 will allow for explicit OCOs in PL code but since there is no ETA for that and OCOs are currently implicit rather than explicit , I have a few questions on how this wo...

orion

Beejaysea, I can't understand either why there is no difference when same strat is toggled on and off alongside each other- nor why RTHM is enabled by default .. l Michael, beejay's problem is not an RHM problem. Toggling RHM on or off will not change backtest. RHM on or off only makes a difference...

orion

A related question: Can a variable from one Signal Strategy (System "A") be read or accessed by the other Strategy (System "B")? Yes, if you use global variables . Josh is right in the sense that the state of a variable can be communicated from one signal to another by means of a global variable bu...

orion

What are the best practices to use to ensure System "A" Entries (LA1) and not being closed by System "B" Exits (XB1)? Run them as separate charts. If you run them on same chart, result will be what you got below: What I've found is that when there are overlapping signals generated by both systems, ...

orion

Some barStatus questions: 1. According to thread above, recalculate due to recalcLastBarAfter() can result in barStatus = 0, 1, 2, or -1 depending on when the recalculate event arrived. Should we assume same applies to recalculate due to broker events for auto trading setting of recalculate on 'Mark...

orion

1) A delay of 1 second after the Filedelete does not help. Multicharts Team should confirm that all handles are released after a Print(file(..) or a FileDelete. MC is unlikely to be able to confirm what the underlying Windows filesystem may be doing. I have run into Windows filesystem handle bugs w...

orion

and in fact that would help if I dont have to cancel the stop/target orders. the reason is that I would be doing 25-50 symbols to minimum, i would be afraid to cancel so many and then sit and verify Indeed, I have a similar situation; hence my interest. After mulling this over I think the answer is...

orion

Andrew, I have been following this thread. I am thinking of what is best way to do this if I am trading dozens of symbols which may have outstanding stop and profit orders when trading resumes. Your post #4 said: All active orders must be removed manually before you start automation, otherwise the s...

orion

My two cents (wild guesses) below. 1. Windows will not allow you to delete a file if there is an open handle to the file. Perhaps MC or Windows hangs on to file handles longer than it should? 2. Are there multiple symbols being traded with market position >0, =0, and <0 as a result of which you have...

orion

The point is: those message can come asynchronically and also sometimes some of them may even get lost. This is why there are 2 options. You actually did the right thing. It is not accidential that the "market position change" is not checked there. Otherwise it would trigger recalculation on every ...

orion

I am using Portfolio Trader with daily data. The default order settings in the broker plugin are set to Time in Force = DAY. Is there any other setting that I need to set to make sure my order expires at the end of the regular trading hours? Maybe in IB Gateway? Look in the same broker plugin dialo...

orion

Is there any particular reason why the 'recalculate on position change" is not used? Andrew, there are two options for recalculate setting: (a) market position change, and (b) order filled. I understand these correspond to different response messages received from broker. 1. Is one more responsive ...

orion

Hmmm. Not very specific are they? It is exactly what the say - the order with the highest probability of fill is sent. If you assume price distribution is normal or lognormal, it is usually the order that is closest to the market. One broker that I know will cancel one exit and send the other exit ...

orion

This says that MC supports four order types including stop-limit orders. But there are only 3 order actions in PL:
next bar at market;
next bar at limitPrice limit;
next bar at stopPrice stop;

How is the stop-limit order coded?

Edit: I take back this question. The answer is here

orion

Its unlikely to be an up volume and down volume issue since his Rithmic volume is lagging TS volume by 5%. If it was a matter of up volume and down volume being reported differently vs consolidated, the difference would be much greater. I recently spent an inordinate number of hours comparing TS wit...

orion

TS filters out some ticks and so ticks you get are not all the ticks at the exchange. However, in your case, it is Rithmic volume that is lagging. I have not looked at Rithmic but question to ask would be whether Rithmic also filters out some of the ticks and with a different filter criteria than TS?

orion

Thanks Andrew. As you guessed, the individual contract roots were misconfigured since they get set to default values during the mapping process. You and Henry get to the answers fast without even needing to take a look! Another question. Does ASCII mapping support mapping of multiple resolutions of ...

orion

Thank you Andrew for answering all the questions. This is all now crystal clear for both chart based trading and portfolio trading.

orion

This thread has been poisoned like the last one. So I will end my posting here with one final note: 1. There has been no flip-flopping since my very first post in this thread posited MC software as potential hypothesis. See post #8 (excerpted below): There are 4 possibilities: 1. ISP service 2. Data...

orion

MAtricks, I am new to MC and do not have the experience of trading MC like you do; so I value your input highly. Trading latency being an MC problem is certainly a valid hypothesis. Hence my suggestion to waveslider to instrument his network packet traffic. I know for a fact that MC has latency issu...

orion

I had 35 second delays on the close today, so, yes I have some serious issues. How can I find out exactly when the order left the platform? That would help me begin to trace the latency MC staff (Henry or Andrew) can comment on what sort of logs MC has for analysis. In addition, I would recommend u...

orion

Setting the TCPInitialRTT seems like worth a try, but I am hesitant to mess with the registry without knowing exactly how to do it. The link you sent is appreciated, but not specific enough. If the latency was consistent, and could be anticipated, the orders could be issued early by this amount and...

orion

Orion- I appreciate your creative problem solving. Unfortunately I don't have the time to get as deeply involved as you suggest. The computer is co-located in Chicago, the data connection is fast, the datafeed is CQG which in my experience is good. In this past example I watched CPU and RAM usage w...

orion

Thanks for the interest! It would be great if we can nail this down... although, I think the culprit is obviously MC. Your experience with internet hops is fascinating. I'd love to hear more. I thought it was 2 hops where the message got a across, not 4! Wow! The lag I've noticed is post calculatio...

orion

Dial-up ISP in Guam wouldn't create 13 seconds of lag :) MAtricks, do you know the answer to the question for Henry; was your 3 sec worst case latency between (a) script calculation and place order fired to broker, or (b) script calculation and order status returned by broker? I am very interested ...

orion

The worst I've seen while MC was operating "correctly" was 3 seconds of lag while submitting an order. I'm not attempting to be an HFT firm, but 3 seconds is a long time in this biz. I'm with you Waveslider.. something needs to be done about this. Henry, I read your post https://www.multicharts.com...

orion

waveslider, your statement about new bar not being actually generated and that being difficult to confirm was somewhat surprising to me. What do you think of post #2 on debugging the new bar generation delay issue? There are 4 possibilities: 1. ISP service 2. Datafeed service 3. Machine-workload iss...

orion

One possibility that I see is that the new bar is not actually generated for a period and this is delaying the order issuance. It is difficult to confirm this possibility. waveslider, I did not get that last sentence you wrote. Doesn't looking at the chart tell you whether ticks for a new bar have ...

orion

Does custom futures work with ASCII mapping (ASCII files kept external to the database)? I am getting the yellow popup message even though the contracts all exist in the quote manager. The data for the contracts is in external ASCII files and is linked via ASCII mapping. I am able to bring up charts...

orion

Andrew, using two strategies S1 and S2 to trade same symbol in PT is a bit different than using charts since the 'Show the assign the initial market position' dialog is not available. I want to check on how to make this work for PT assuming strategies are not flat at end of trading session and the P...

orion

Readers: please ignore Jad. He has sowed enough confusion. This is my last post on this topic and its purpose is to counter the confusion. MC is not the issue given the many other issues that stand in the way of a retail trader. The latency you measure via ping tests to your datafeed or your broker ...

orion

If you think such tests are necesary to prove that there is a cost in sending an order later than it could be sent, then you haven't understood the problem. MC acknowledges that the one tick delay exists. So, 'whether' there is an impact should not be in question. Determining the exact $ impact is ...

orion

I wouldn't underestimate the value of a tick. e.g. If a one tick delay was universally enforced, the entire HFT industry would shut down overnight. But you don't have to be involved with HFT to be impacted by inefficient design. All large moves begin with a single tick. In my assessment, there are ...

orion

When building custom futures, I notice some of the expired contracts from some datafeed providers lack expiration dates or have wrong dates. I understand correct expiration date is critical for time based custom future. Questions: 1) Is it also required for volume based custom future construction? 2...

orion

It may well have been well thought out when it was first conceived, as a workaround to various constraints - but it isn't necessary now and it is an incredibly inefficient and dated process design. So to still describe such an inefficient process flow as 'well designed' is extremely generous IMO. T...

orion

I see no reason why the same tick satisfying a set of trade condition(s) can't also call the broker's API to place a trade without having to wait for another tick. Why design a process flow that has to wait for the next tick when it isn't necessary? It kinda violates the K.I.S.S. principle that is ...

orion

A separate issue is that as soon as the 2nd chart puts on a trade (while the first chart still has a trade open), the reference line for position entry (and current open P&L) becomes the average price for the two positions. Again, some might like this, but I find it very confusing. Is it possible a...

orion

I have no experience using the Marketposition_at_Broker so I cannot answer this. I see no need for this in my code.

Thanks. You answer addresses a lot of the source of potential confusion. Andrew or Henry can hopefully advise to the accuracy of the rest of the points in posts #7 and #9 above.

orion

Trading from Multiple Charts on One Instrument https://www.multicharts.com/trading-software/index.php/Trading_from_Multiple_Charts_on_One_Instrument TJ, thanks for bringing this up. I think this wiki entry is accurate but is a red herring by virtue of its sins of omission if the points I made in my...

orion

MC_Prog, I have not tried this but the following is my understanding. MAtricks, since you have been doing this, can you please let us know whether following points are correct for two charts trading same symbol in SA mode: 1. marketPosition keyword in one chart will return the market position for th...

orion

If this is not a designed limitation of MC, then the issue is likely to be a firewall.

orion

For example: buy 10, buy 20, sell 40, sell 10, buy 20 (we are flatt now :-) ) i am testing this with buy and sell orders, but it does not work as expected. thx wegi That series of buy and sell commands does not make your position flat. Read the documentation on buy and sell. Also, the following exc...

orion

gerler, can you give some more color on what was measured. Specifically, the time being 100ms longer: what events bracket the time interval in both the MC code and your Java code?

orion

Thanks for the workaround Andrew. I will check it out. It will also be great if we can plan for the feature suggested for a future release. The difference between PT and chart scripts is that for charts we have two types of scripts, namely indicators and signals, and strategy report calculation can ...

orion

I am finding PT backtest mode to be very useful for doing things other than backtest. For many of my PT runs, I do not need a backtest report since there are no trades in my script; the scripts are doing some other processing of the database. However, with such scripts which process large numbers of...

orion

How can I check to make sure the the data2 series is updated in Portfolio Trader with the correct values? I don't see anywhere to check this in Portfolio Trader. If the above mentioned market scanner shows the data is ok, does that mean that the Portfolio Trader data will be ok too, or is there ano...

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