MultiCharts: Trading Software for Automated Trading and Backtesting

Zheka

You only corrected RSI, need to do the same in all similar cases.
Accessing data3 is no different than data2.

Zheka

RSI(Close,Rsi_Length) data(2) <RSI_Up

Zheka

What does that suppose to mean? RSI_Up data(2) or dir=-1 data(2) If you want to call a function on data2, then the syntax is f() data(2) (and it will take input parameters from data2 -so no need to pass Close2). If you want to use a variable, changing its value only on each bar of data2, then you de...

Zheka

As the first step, try changing function calls from:

Code: Select all

MA100Value = Average( Close2, MA100Length )data2 ;

to:

Code: Select all

MA100Value = Average( Close, MA100Length) data(2) ;

Zheka

Did you try looking in PLEditor?
It has the Dictionary of all keywords and in-built functions catalogued by theme, with explanations and examples..

Zheka

These are also available programmatically via MaxPosProfit() , MacContractProfit(), OpenEntryProfit() and OpenEntryProfitPerContract ().

Zheka

Look at the List of trades in the Performance Report: each trade has a Run-up and a Drawdown.

That's what you are looking for. Export the list to Excel and analyze as you wish.

A Performance report also has separate tabs with visual analysis of these stats.

Zheka

It probably has to do with wrong parameter type declaration in DefineDLL: passing an array(of doubles) requires a *pointer-to-double*, not just Double. Try declaring it as LPDouble, and try finding an EasyLanguage Extention SDK referenced here: https://www.multicharts.com/trading-software/index.php/...

Zheka

It is clearer

You have access to all the trades, so calculate 'Sharp ratio' based on trades, not on 'calendar periods'.
It will be the more adequate measure for your purposes.

Zheka

Hi joebone,

it is not really clear what you want to achieve...and why skipping certain periods - either in a 'hard-coded' way or by defining 'high vol' periods dynamically - hurts your ability to optimize by a metric you want?

Zheka

Pacing violations should go away as soon as MC plug-in implements the latest IB API.

Zheka

This will not work reliably all the time. I could not make 'data reloading' work well in live trading..

Zheka

An indicator will not really help when you backfill for 50+ symbols in Portfolio Trader, especially when auto trading.

Zheka

Problem : - if some data is missed during a backfill ( problem with broker API, no quotes, bars filtered out, etc), a user has no way of knowing. Suggestion: Upon backfill, MC/ PortfolioTrader should transparently "Alert" the user in case some data are missing. These alerts should show a user the p...

Zheka

Problem: When setting "Bars back" in an instrument settings, MC will make requests to the broker API until it obtains X bars, even if bars for certain periods are skipped. E.g. requesting 24 60min bars (back) should cover a period of 1 day (with a 24 hr session) But currently, if some bars are misse...

Zheka

It often happens that due to a glitch in PT-broker(IB) connection, there are gaps in historical data. However, Reload functionality currently only works in MC - which makes it a hassle reloading data for a big number of symbols. Please implement Reload functionality in Portfolio Trader. https://www....

Zheka

It would help immensely to quickly judge performance of a Portfolio, if a user could not only see the Total Portfolio Equity, but also its components. There could be a 2-level dialogue window or - better- a table with toggles, allowing one select either entire strategies or entire instruments or cho...

Zheka

Yes.
It is worth reviewing it from time to time and casting your ballot/filing issues - if you want to change things.

And it will improve your understanding of how MC/PT work (or do not work) immensely.

Zheka

Zheka

You do have to export input parameters and key metrics to a .csv file during optimization. Then use EL Collections (search in User Contributed studies on this forum) in your other script to read and map the table in the file, then apply your logic for selecting a specific line and then populate the ...

Zheka

This will also be needed:

So, please VOTE:
https://www.multicharts.com/pm/public/m ... es/MC-2348

Zheka

It is doable in backtesting buy setting the trade size to 1, but would be inefficient (and with any exchange-traded product with some decent min.lot size - impossible) to implement in live trading with PT. Unless of course you implement all systems as functions and calculate/maintain all needed stat...

Zheka

MC does not store real-time ticks (from which it constructs 1-min bars) to QM database by default. You need to "Flush" them to the database manually to be able to observe and compare the timestamps. 1-min bars up to the last full minute come from historical IB servers (and saved), the current "not-y...

Zheka

First, you should compare apples to apples: you Live chart is based on Trade (is it mid-point for Oanda?), while you backtest is based on Bid. Second, with this kind of spreads (9-10pips!?? really?): - your backtest is "unrealistically good" by design - your buy orders are executed at much better pr...

Zheka

It loads the data from the local database upon each backtest, currently there is no cache of this data. That's exactly the bug - introduced in MC12 and absent in MC11, and as such IMHO should not be just "fixed in some future release", with undefined ETA. That was the reason for this thread, pls re...

Zheka

sorry, it is indeed in another pair...then disregards my comment..

Zheka

This is because you have 2 open positions. And MC manages a stop loss for both...

Zheka

You could achieve this by:
1) setting up the symbol list in Portfolio Trader
2) adding a small block of code (or a separate signal) to write to a file the performance metrics you need

Zheka

Well, that's as close as you can get it...And it is indeed possible that some trades were busted/cleaned out and corrections made after the day close. No one is to blame, that's just "real-life". The best you can do is to "Flush cached data to database" before closing MC. So, MC should/will not be r...

Zheka

Anna,

correct me if I am wrong, but when PT "Downloads missing historical data" on the FIRST backtest, there is no need for another download - there is no "missing" data.
This initially collected data is in cache and used by all subsequent backtests.

What's the bug that was corrected?

Zheka

Anna,

this is a bug that was introduced in MC12.

Before any enhancements are made, let's correct the bug in the nearest MC12 release.
It does make the process of testing in PT inconveniently slow .

Zheka

Yes, experiment..

Zheka

OK, then it makes sense. 15-60sec bars would be a more robust solution then IOG. All logic besides exit split behind a barstatus(2)=1 check. Also, if you do not employ a portfolio-level MM logic in real-time, you might be better off trading from MC rather than PT - since MC uses 1 core per chart and...

Zheka

I made it less granular, not more. You made it more granular compared to a "decision" time frame. With our 1-minute strategy, fine, but with our 1-hour strategy this would be a drastic change that we'd need to backtest. If your strategy logic relies on a smaller timeframe - then it means it is not ...

Zheka

You don't need a more granular Data1 at all - unless you are really micro-managing entries/exits with an "execution algo". If you need to trade intrabar, then a stop/limit order submitted at bar end will work just fine. Getting to a more granular time-frame will not solve the problem of "delays" - i...

Zheka

But no big deal, I'll increase the interval. Maybe 15 seconds.

You really insist on paying your dues.

Zheka

For both I use 1-sec Data1 bars, which isn't important to their success, so should I not

The question should be just the opposite: do you really, REALLY need it?
You whole production set-up should be scrutinized from this perspective, and optimized for robustness.

Zheka

@pcrespo,
What's the bar interval for your primary trading logic and what would be your typical trade length?

Zheka

What's the bar interval for your primary trading logic and what would be your typical trade length?

Zheka

@pcrespo, I feel you are overdoing it and "observation" influences the results. I/O operations (like printing to a file) are relatively slow, and you are printing at each tick and bar close! My advice: - sync clock once in 15 minutes, not seconds - use 15-60sec bars - find time differences via datet...

Zheka

Henry, I knew there are probably "some well-reasoned calculations" even as I submitted the PM. Whatever they are, they just do not make sense. Or are not applicable. And order for 10K usd is an order for 10Kusd. Not more, not less. This can be easily programmed around, right? One "if" statement... O...

Zheka

Henry,

I am using IB. Why should it matter?

Zheka

https://www.multicharts.com/pm/public/multicharts/issues/MC-2499 1) Load any USD-quoted currency pair, e.g. USD.JPY, USD.CAD 2) apply any signal 3) set strategy currency to USD 4) set "Cash Per Trade" = $10000 5) run the signal and see in the trade list that trade sizes are not equal to 10 000 usd. ...

Zheka

Anna, You misunderstood the issue. PT downloaded missing historical data even before MC12. The problem is that now, after loading data for the FIRST backtest (either from the database or also filling in some missing data), MC12 loads them from the database ANEW/AGAIN for all subsequent backtests (on...

Zheka

It is misleading to judge the quality of connection by ping (which uses a different protocol for measurement).

One can observe real-time TCP connection latencies under load just by opening a Resource Monitor in a Task Manager and looking under Network/TCP connections.

Zheka

Set data to Trades and 1-tick and see how frequently MC plots/updates the data to ensure it actually works. My suggestion re 1-tick resolution was to VERIFY (rather than ensure) that it works. These 5-sec bars will be the "ticks" (actually, they are recorded by MC as 4-ticks in the database - O-H-L...

Zheka

is the the "Use 5 seconds bars as ticks" you are talking about Yes, this is the one. 5-sec bars come with 250-300ms delay in real-time from IB's historical data server, cleaned, so you are guaranteed to have historical=real-time. All with minor processing load compared to getting all of the ticks i...

Zheka

THE solution to this issue is to use IB's True Real-Time 5-sec bars, instead of ticks.
For that, switch to "use 5-sec bars as ticks" in IB's plug-in(datasource) settings; you might need to use Trades as a datastream (rather than Bid-Ask).
Please search forum for related/my posts for details.

Zheka

I have experienced the same unnecessary reload of all of the instrument data in PT when backtesting.

@Anna,
did you manage to replicate it on your end?

Zheka

@Zheka - quad core was the lowest available from OVH. I'll shop around for a server with faster (and possibly fewer) cores. I've read you have a 4xCPU server. Of course, if it's a single 4-core Xeon E3 - then there is no real need. Still, you will do better with a i7-7700K, which is also a quad-cor...

Zheka

Yes, CPU seems to be "good enough", though you would be better off with 1x i7-7700K (or 6700K).. Why do you need a 4-CPU set-up on a production machine? TCP Optimizer will mostly cover it, just read the docs/search the web to understand what specific settings mean and how "networking" works. You can...

Zheka

@Zheka - yeah, switching to IB data was going to be my last resort, which seems to be where I'm headed. I just ran a speed test to a server in Dallas. I don't know how indicative it is, but I got 116 MB/s (927 Mb/s) Down and 26 MB/s Up. Hmm:-) I was talking about latency (and tuning NIC/TCP stack i...

Zheka

Several things came to mind: - "Pings" are not at all representative of real latency under load. - your network card/TCP stack settings and CPU processing power will somewhat influence your overall "trading system" latency, especially in times of heavy trading/tick count across several instruments -...

Zheka

To add:
with "Request Historical ticks directly from API", MC gets Bid prices=Ask.
w/o "Request H...", MC gets, but does not save any tick data to the database (as reported above)

Zheka

1) IB CFD historical data would not load, motivating that "Data are not subscribed" and that it would start getting Delayed data after the delay period. - I do have all the IB permissions for CFDs - that was not a problem with MC11 Thank you for your answers, Henry. I tried to get you the logs, but...

Zheka

Henry,

could "Flush Cashed Data to Database" be also integrated under File->..... into the main program, so you don't always have to open the Quotemanager?

Fully agree.
There is hardly a reason for placing it in QM if the data to be "flushed to database" are collected in the main MC program.

Zheka

Started using MC 12 with IB, stumbled upon several issues: 1) IB CFD historical data would not load, motivating that "Data are not subscribed" and that it would start getting Delayed data after the delay period. - I do have all the IB permissions for CFDs - that was not a problem with MC11 2) How do...

Zheka

Technically, a broker would allow opening a new position if you have sufficient equity - at that moment - to cover the margin. To only base your sizing decisions on closed equity, you need to explicitly code this around. You can also play with PortfolioTrader Portfolio Settings (Exposure, Required C...

Zheka

Thank you!

Zheka

WOW!
I did not know it is possible to reference indicator plots as inputs.
Is there somewhere a more general "use case" description with syntax, all the limitations and nuances?

Zheka

A simple solution to this set of issues is to use IB's "True RT 5-sec bars" feed , covering all ticks in these 5 seconds. For the cost of 250-300ms delay, you get a "cleaned" 5-sec bar (o-h-l-c) from IB's Historical data servers. If you do not use tick bars, and the trading bar interval is longer th...

Zheka

To add to the issues:

https://www.multicharts.com/pm/public/m ... es/MC-2473

It seems to be currently not possible to have a variable size of a stop/trailing stop via standard MC order commands.

Zheka

I just discovered that both 2D and 3D Optimisation reports provide analysis FIXING other optimized params at some specific values! (which btw is not at all obvious for a user!), making such reports highly misleading and not practically usable. One would need to export the results to Excel and work w...

Zheka

This might be connected with Required Capital assumptions (see top-right part in Portfolio settings)/Margin per contract settings.

Try to debug with 1 strategy, 2 strategies..

Zheka

How did you set-up your portfolio?
Is it one "signal" (=strategy logic) applied to many instruments or many (same) "strategies" each applied to one instrument?

Zheka

Why guess? As TJ suggested, launch a Task manager and from there, if necessary, a Performance Monitor. Observe if, under your full set-up, CPU load, RAM consumption and SSD usage are at their maximum and are a bottleneck. Then close 1/4 of workspaces and observe again...repeat until you get a good f...

Zheka

This will allow separating position sizing algos/signals from the core signal logic also in MC, will simplify code, etc. Yes, it is possible to vary position size in PT MM signals, but this does not cover quite a number of use cases. E.g. when dynamic sizing algos are different by strategy/instrumen...

Zheka

If one wants to open the text of a function from within a document (by right-clicking on the function name), the function opens not in the "next"/side-by-side tab to the current document, but as the last in the list, which - if more than 5-6 documents are open - is a pain. It is also impossible to j...

Zheka

Such dll usage is not directly possible. There is a tool (I do not remember the name) selling for 600eur+ which wraps around 32-bit dll functions and makes them callable from within 64-bit programs, but the success rate is not 100%. Knowledge of 32-bit program structure/nuances would be desirable. W...

Zheka

Negotiations (and changes) start with the word "NO"

Zheka

With such a tight stop-loss/profit target, you would definitely want to use Bar Magnifier.

https://www.multicharts.com/trading-sof ... _Magnifier.

Zheka

Portfolio_NetProfit+Portfolio_OpenPositionProfit - assuming you use a Portfolio Trader (look under "Portfolio_..." sections in PL Editor Dictionary).

And you do need to use PT to backtest position sizing for a portfolio.

Zheka

Alex, you are soooo generous and kind to spend 20+min of your precious time on smbdy who does not listen, is not appreciative of other people's time, lazy to do the homework and/or just does not get it. IMHO, 1-2-3 ->ban! (or ignore) As for buying exactly the "opening tick" : for strategies not util...

Zheka

You don't have a problem.

The difference between the arrows and the fills is because of Heikin-Ashi bars; HA Open is not determined by time.

Zheka

What's wrong with what you described? An arrow placed incorrectly or the real trade?

What's the timestamp of the first tick (=open) of this bar? By default, MC opens a bar only when the first tick of it appears.

A screenshot would help.

Zheka

My question was about the time, not price. How much time passes - on average - since bar open? Is there a pattern?

Zheka

Does the order get executed on time, i.e. as soon as the next bar opens?

Zheka

But does it work as it should in backtesting?

Zheka

Array_Sort loops through the array AND moves values in memory. Much more expensive than just looping and saving.

Zheka

There is no way.
Why do you want to avoid looping?

Zheka

Hi, I am automating export of price and indicator values from a chart by starting MC and loading a relevant workspace with a signal that does the job with print(filename, value1,value2,...). The problem is that the resulting file is not released by MC until the signal is switched off, and so it cann...

Zheka

Alex,

But in the screenshot you attached the date is *pinned*, fixed.....No wonder you do not get trades.

Zheka

With MC, it will cancel and resubmit the same order with the closing of a bar.

AFAIK, MC cancels/resubmits a limit order, only if its price changed.
Write an email to Support, if it does not.

I was able to see how OANDA compared. They don;t.

In what sense?

Zheka

In forex limits are filled at touch. Futures you have to expect to go through the price by a tick In a free 'market" (ECN in case of IB or exchange in case of futures) if there is somebody on the other side - you will be filled. So, it all comes down to depth/liquidity at the time. Now, practically...

Zheka

IB Gateway is a small gateway app from IB to connect via API. I am not clear on your item #2. Is this step the one that makes it stable? No, it is stable by design (and lack of GUI). But this avoids having to type authentication codes if the app crashes in automated trading and you then restart it a...

Zheka

IB would work as smooth as silk. 1) use IB Gateway, not TWS. It can stably run for months, no need to re-login daily; update it as you need. 2) set-up a second "user" for the account without (card) authentication -with trading permissions only - if you want to avoid "dialing in" during live trading ...

Zheka

Will the issue of licensing/authorisation server disconnects (which breaks automated trading) be addressed?

Zheka

@MC, I hope the above paper provides the background necessary to start thinking of what can be implemented (see PM ). A setting to filter obvious (user-specified) outliers - both in RT and in historical data - is a no brainer and is implemented in many other trading software. Would save traders a lo...

Zheka

Inputs: NumDays(0); Vars: var0(SquareRoot( 260 )) , j(0); Array: dayClose[30](0), dayOpen[30](0); for j=0 to NumDays-1 begin dayClose[j] = CloseD(j); dayOpen[j] = OpenD(j); end; if dayClose[1]>0 then begin value2=Log( OpenD(0) /dayClose[1]); Value1 = var0 * StandardDev(value2, NumDays, 1 ) ; end; p...

Zheka

The error is not "regardless". Follow TJ's advice. 1) StandardDev needs a "series" as input. Just Log() is not, but a variable - in MC - is. 2) calculate Log if dayClose[1]>0. I am not 100% clear why 1) passes by the compiler and why 2) is not handled by closeD() under the hood, but thats the way it...

Zheka

One way would be to split one portfolio strategy applied on N symbols into separate N strategies. You can easily do this by setting up one, and then "cloning" (right-click -menu). But in general be aware that when you "deny entry" at the portfolio level then this entry is 'skipped' also in the strat...

Zheka

Input: stime(1220); Var: ii(0),jj(0),ec(0); if average(close,5) > average(close,10) and time<stime then begin if ii=0 then ec=close; ii+=1; jj=0; buy next bar at ec+5*averagetruerange(10) stop; end; if average(close,5) < average(close,10) and time<stime then begin if jj=0 then ec=close; jj+=1; ii=0...

Zheka

value1=array_compare(simbolo,idx,simbolo,idx+1,portfoliostrategies); You are trying to compare n=portfoliostrategies elements starting from an (increasing) element idx+1 - in an array that has a max number of portfoliostrategies elements. Try value1=array_compare(simbolo,idx,simbolo,idx+1,portfolio...

Zheka

In MC, for orders to stay open an entry condition needs to be satisfied at each bar. Set each day's session end time at 5:59 p.m. ( or even 6:00pm). In theory, as the bar closes (I guess you are using Daily bars, right?), entry condition will get re-evaluated, current orders - cancelled, new orders ...

Zheka

Is your IOG setting ON? If not, then it is no wonder that everything gets evaluated only at each 10-min bar close.. Search the forum - this has been discussed with regards to SetExitOnClose. You can also set your Data1 as 1min, and Data2 as 10min, and this will allow conditions to be evaluated with ...

Zheka

You mentioned "automated strategy execution" - so was my answer...Sorry, can't help with manual trading setup..

Zheka

Hi, In theory, it should be possible to reload a chart with a different time frame and turn automated trading on again after the switch...But that has many complications and side effects and would not be a robust solution to rely on for automated trading. What's wrong with having several needed time...

Zheka

Thank you, Anna!

Zheka

Hi,

this might be governed by the "Margin value [ ]% of contract cost".
try playing with it (e.g. set it to100)

Zheka

raffaele, if you put one signal and multiple instruments under one strategy , PT will optimize just one set of variables, for one signal. Exactly as you want. Where PT fails is in finding optimum values for separate strategies that would maximize a certain metric for the whole portfolio. There is a ...

Zheka

Brute force rules!

)

Zheka

Of course - data back in history cannot "represent" future executions, regardless of the number of providers. But if an order is issued to "buy next bar at market" when backtesting in MC in Extended mode, then using "historical' bid/ask data from IB you can be pretty sure that it would indeed have b...

Zheka

In some cases manual intervention may be required to resolve any issue arises - I want to have TWS there for those times. How do you handle that? Automated trading is executed on a separate VPS which only has 2 programs installed and running: trading software (MC or SC) and IBGateway, in total occu...

Zheka

1. I do not know how you trade and why would you run a bulky (and somewhat buggy) TWS for execution of automated strategies. TWS has not been designed for that - so, use at your own peril. IB Gateway is, in contrast, a very lightweight, robust application with minimum overhead which runs for months ...

Zheka

I would like to have the same 'time exit" of N-bars for each entry in a complex position. But of course, a code like below would generate a compile error of "Orders cannot be inside a loop". for ii=0 to posTradecount(0)-1 begin if currentbar-PosTradeentryBar(0,ii)=TimeStop then Sell ("TimeBarsLX"+Nu...

Zheka

Min Movement: 5 (can also be 1 if you want 1/10 pips accuracy - I found that keeping this setting at TWS a bit buggy though) I have never encountered a problem setting a 1/10 pips accuracy in IB Gateway. Setting Min Movement to 5 will cause errors in RT, if your strategy submits a limit order with ...

Zheka

We DONT, Backup is for a different purpose altogether.

Zheka

Henry,
This issue comes up again and again.

Please, let's at least have a button to save data without having to close (nearly) all of MC processes.

There is a PM for that.

Zheka

Coding around is surely always possible. Please let's get this improved in one of the upcoming releases.

Thank you.

Zheka

Pity. What's the recommended way then to trade such non-native (to the exchange) symbols? Monitor DST and manually adjust as you go?
How to correctly do the backtesting?

Zheka

In this case each instrument will be calculated in his own base currency (price*big point value).

You mean performance statistics will be calculated in each instrument's base currency, right?

What will happen to all margin-related calculations at the portfolio level?

Zheka

Try changing price scale for relevant symbols in QuoteManager to the precision you require.

Zheka

Will installing a 32-bit MC and a 64-bit MC help? These would be 2 QMs and 2 databases, right?

Zheka

Swisstrader, MC does not handle rollover of pre-constructed *continuous contracts* from IQFeed. The rules have been defined by IQFeed and contracts stitched together into one data series on IQFeed's side. You can get the rules from IQFeed and compare the @YM# data series to a plot of 2 separate cont...

Zheka

Anna,
but that was exactly the point! As far as I know, in TS a variable initialization with the function will make it calculate on each bar...
And this is how it used to work in MC previously (to the best of my knowledge).

Zheka

Hi, Josh,

Out of curiosity:
do you not use the Economic events as input to your strategies or you use a different way/tool to supply it to the strategies?

Thank you for your work!

Zheka

Indeed. Sorry, I overlooked.

Is it possible to add MXN..TRY is in the list, but MXN is not...

Does it mean that USD.MXN cannot be traded in Portfolio Trader?
What happens to all the performance statistics when Base currency is set to None? And the instrument is USD.MXN?

Zheka

Henry, Sorry, but 1. Why would "if false then Function()" execute slower then "if false then a=b"? With time of execution dependent on specifics of Function()? 2. Array_setmaxindex () had not been benchmarked over the "complete data interval". It had been called ONCE. One instruction called once tak...

Zheka

Henry,

It will be impossible to correctly match e.g. Japanese stock exchange hours to IBs (Exchange) EST/EDT hours - because of the DST.

Is it possible to add a "TimeZone" to the session template?

Zheka

Ok.
My question has been different though: please confirm that the bars in RT in Portfolio Trader get constructed from mid-point True RT bars (when I select Trade field for Fx), and not from Bid-Ask.

Zheka

Indeed. I overlooked it somehow.
Thank you.

Zheka

BY THE WAY: IB started to stream their Continuous contracts via the API.
Would be really great to be able to get them into MC!

Zheka

Great:-)

The question to MC however:
is it supposed to (not) work this way?
Is this different from EL/ TS?

Zheka

emavola(xAverage(vola, period)) This is your initial assignment in Variables declaration. It calculates on the very first script calculation, BUT NOT on each and every subsequent bars. Add emavola = xAverage(vola, period) explicitly later in the code. Same for all other variables using functions at...

Zheka

IB CFDs and XAU/XAG are tagged to a "SMART" Exchange. SMART Exchange has a single list of settings for it, and while changing product settings or session template is not a problem, the TimeZone - relative to which a session template then works - IS a problem. If one product trades in Japan and excha...

Zheka

Hi, This is because you do not update the emavola in your code. You only initialize it when declaring a variable. I also has been under the impression that setting a variable to a function at declaration in EL allows one to avoid explicit assignment to a value later in the code. (this is probably no...

Zheka

Dear MC, I finally did some investigation re the matter, running the code below over 300 days of 1-min bars: // Signal input: P(false),len(200); vars: ii(0),strt(0),ed(0),MA(0),sum(0); Array: Tr[] (0); once strt=computerdatetime; //once array_setmaxindex(Tr,len) ; MA=waverage(close,5); //if P then s...

Zheka

Portfolio money management functions (e.g. pmms_strategy_deny_entry() ) not only disallow sending orders to the broker, but also cancel them for a strategy altogether, as if they did not happen - which affects strategy statistics. But to implement "Equity curve trading" (and in some other cases) suc...

Zheka

Will anybody at MC please answer?

Zheka

Hi,

from what passed by me:

- http://xlsgate.com/about-xlsgate/
- https://fx1.net/sharedvar.php

Zheka

I send an email to my gmail account. Mobile phone gmail app has a 'push' delivery turned on.
As soon as the message arrives, I get an alert and can see the headline of the message.

Zheka

Hi, Anna, I observed this behavior when "live" paper trading in Portfolio Trader - with neither QM, nor core MC running. Just IB Gateway and PT. Please check this on your end. I verified that core MC constructs RT bars from midpoints correctly. But I have no way to verify that this is similarly so i...

Zheka

It would help immensely to quickly judge performance of a Portfolio, if a user could not only see the Total Portfolio Equity, but also its components. There could be a 2-level dialogue window or - better- a table with toggles, allowing one select either entire strategies or entire instruments or cho...

Zheka

When trading multiple strategies on the same instrument via PT, aggregating orders and sending only the "net" amount to the broker would reduce transaction costs.

https://www.multicharts.com/pm/public/m ... es/MC-2348

Zheka

It would be great to have Order and Position Tracker in PT filterable also by Strategy Name - as defined in Feature Request #2346 https://www.multicharts.com/pm/public/m ... es/MC-2346

https://www.multicharts.com/pm/public/m ... es/MC-2347

Zheka

At the moment, the Strategy Name column in Orders and Position Tracker in PT just repeats the signal names used in Strategies. A list of them! This is useless if one runs strategies with similar signals but with different parameters. Expected Strategy Names are how they are named in the Portfolio tr...

Zheka

Midpoint data is requested for Forex trades from IB

.
I know, Anna. I was the one who requested this feature to be implemented.

But Walter referenced different MC behavior under different IB API versions - and this made me curious.

Zheka

Sorry, just read the previous thread on the subject.
viewtopic.php?p=124646#p124646

@Angelina,
When will a global 'toggle' solution be available (rather than a cumbersome registry edit)?

Zheka

Just got a message that

"Currency conversion is not supported for USD.MXN@IdealPro.
Please set Base currency to None"

Is that because currency conversion is handled with rates from MCFXPrivate which doesn't have this pair?

Zheka

I have been running PT with FX instruments set for using mid-point True RT bars from IB (i.e. Trades; Use 5-sec bars as Ticks). Observing IB Gateway logs, I could see that indeed the 5-sec bars are coming to the api client. However, live tick Bid and Ask are subscribed to by MC as well. This makes m...

Zheka

Is there a Registry key to enable showing milliseconds in the Date/Time fields in OPT and Logs in Portfolio Trader?

OPT in MC shows milliseconds, but not in PT.

Zheka

Re 1): Interesting! What does IB API provide as Trades for FX?

Because IB API states that "TRADES" Tick Type is not available for FX.
https://interactivebrokers.github.io/tw ... at_to_show

Has seen requests for Trades generate errors just 2 days ago.

Zheka

Dear MC, I need to implement a portfolio of multiple strategies on multiple instruments, choosing signals dynamically from a large pool (>50) of variations per strategy. Implementing the above in PT is not difficult and is acceptably quick to backtest, but it lags in RT. MC offloads calculations of ...

Zheka

Henry, it is of course not necessary to "constantly" request historical data. Making a request just 1 time, 50-200ms before 1-min bar "closure" would be enough to accurately capture O and H / L, saving both ticks AND 1min bars (both are historical except the last 200-300ms) straight into QM database...

Zheka

Starting from recently released IB API v973.04, it becomes possible to request historical tick data. https://interactivebrokers.github.io/tws-api/historical_time_and_sales.html#gsc.tab=0 This would potentially allow building and saving a 1 min bar almost in RT (building it from the regularly request...

Zheka

Thank you, Josh!

I somehow never explored the Symbol_* functionality....It actually did the trick!

Nevertheless, I think the current implementation of MaxBarsback is to be corrected.

Zheka

I have tested it, and it works as it should!

Thanks!

Zheka

There is a *nuance* in MC which makes life unnecessarily harder. Say, you have 1 min bars as Data1 and need it 200-300 bars ago - for an indicator. But you also have Weekly bars as Data2 - for gauging a 20-Week ATR. Then, you might not have enough data to backtest, since a Maxbarsback setting of 250...

Zheka

+1!
This would be a great time-saver!

Zheka

Try connecting via IB Gateway instead of a bulky TWS.
Added benefit is IBG does not try to log off once a day and can run for months.

Zheka

We will seek for possible improvements in one of the future versions. Pleeease! This will make this functionality usable. Plot ticks either from 1 second snapshots or 5 second snapshots from server Historical bar is split into multiple ticks. A tick is generated by MultiCharts on each change of O-H...

Zheka

I have noticed a setting in IB's Profile under Data Sources called "Download historical data\ Don't request data for empty periods". Checking it on/off did not result in an attempt to re-download missing data. Would be really great to make this checkmark do what it is seemingly supposed to! (if redo...

Zheka

The problem is, most of us do not need to edit data very often. A stage of "You do not know that you do not know" I thought so as well until: 1) I found - by chance - several gaps in the data (from 2 days to 2 weeks) that were nearly impossible to identify visually (and so found out that MC does no...

Zheka

Since datafeeds are not perfect, one needs to clean erroneous data or know of /fill-in the gaps. Right now, a trader has to change each and every bad tick/value manually. Would be very helpful if MC could automate these tasks. 1) Have a tool that would scan the symbol's data in a database and report...

Zheka

Realtime bars are updated once in 5 seconds with a single Close value. This update does not work as actual correction, bar’s OHL values will not be changed, only the close will be updated. Realtime bars can be different from historical bars, that is expected behavior. IB streams 5-sec True RT bars ...

Zheka

It is a real pain and wastes a lot of time when you discover that certain data had not been downloaded by MC (from IB) (for some reason) and all your work should be thrown away. I assumed that MC scans for gaps in the data and tries to download those missing but discovered this not to be the case. A...

Zheka

Dear MC,

Would greatly appreciate answers to my questions above.

Also, would be great to have this feature working for CFDs. Trade field is just empty at the moment.

Thank you.

Zheka

I have just installed the latest MC 10 R7 over R5.

DataUpdater.exe run without a problem and I can now see the updated holiday list.

Zheka

Normal correlations among system results are not at all useful in creating a diversified portfolio, i.e. finding complementary equity streams to reduce drawdowns and maximise Profit/DD ratio. A practical and correct approach is to calculate correlations of closed-trade equity in a drawdown ("under w...

Zheka

Current "Rolling Period" analysis is not really "rolling" (it is anchored!) and is not useful for understanding strategy performance (needed to monitor results subsequently in RT). A user should be able to specify a number of "periods" to roll (e.g. 3-month rolling window, 4-weeks, etc). Key metrics...

Zheka

It would be a very useful feature to be able to generate the whole "Performance report" (or at least Summary, Trade statistics as well as the Equity curve/DD) based on user selected "resolution"! Current performance report "resolution" is "Trades" only, but having the ability to have it also on "Dai...

Zheka

At the moment, one has to manually add a Holiday/Event for each and every occurence of it in the past and in the future. Please add a way to: - specify calendar "rules" for the recurring user-added event (incl. duration) and applicability (one-time, backwards and forward). - create user-defined holi...

Zheka

Hi, Ming80, Where could one read that the "Generated" timestamp is for "when the exchange deems the order marketable"? Until now I thought that "Generated" is what it means i.e. generated by MC. My investigation a year ago showed that this timing to a large degree is driven by the "bar closing time"...

Zheka

Hi Henry, I would like to reconfirm the following re 5-sec True RT bars: 1. Minute resolution: - IB API streams "bar updates" (i.e. O-H-L-C values) every 5-sec. How does MC update the bar in RT? My observation is that MC updates "Close only", and that 1-min bars received in RT and after subsequent r...

Zheka

The function is a Simple function , but takes several numericref inputs.

Zheka

I am compiling with the default "Fast execution" mode.

@MC: would appreciate your any feedback on the matter.

Zheka

I have just checked it with a print statement: the function does NOT get executed.

Zheka

I have stumbled upon an interesting phenomenon: Consider the following piece of code: ----------------------------------------------------------- Input: P(false); if P then Value1=Function () ; // where Function is calculationally-intensive -----------------------------------------------------------...

Zheka

Hmm. Indeed. I could access it via IE.

Still, a lot of MC's functions are not covered...

Zheka

This link does not work for me either

Would you mind attaching the document,please?

Zheka

None of the links on the official MC page (https://www.multicharts.com/trading-software/index.php/EasyLanguage_Resources), nor links given by Google, nor the one from Tony - work. After some deeper searching the web, I did find the TS 8.3 EL Functions and Reserved Words manual. BUT: It describes onl...

Zheka

This has been a long time EasyLanguage legacy. It is part of programming's idiosyncrasies. Just ignore the zero and always start with one and you will be ok. This fact must be HIGHLIGHTED somewhere in the Arrays section of MC/PL documentation! https://www.multicharts.com/trading-software/index.php/...

Zheka

Actually, other basic array functions (VarianceArray and SortArray) process arrays from an index of 1 rather than 0!

Zheka

1. This link does not work. 2. I am not talking about Reserved words, I am talking about built-in studies 3. NO, Google does not return anything for these very specific implementations of these functions. 4. Why should a paying user spend time at all searching for something that should be documented...

Zheka

Oh..REALLY?

The only place built-in functions/studies were described must have been in the Easylanguage "Function and Reserved Words Reference" on the TS site.
And the link is dead for at least a year.

Zheka

========== ========== ========== ========== Moderator's note: You can get the reference guides here: https://www.multicharts.com/trading-software/index.php/Additional_Information_Sources https://www.multicharts.com/trading-software/index.php/Main_Page https://www.multicharts.com/discussion/viewforu...

Zheka

5-sec forex data is way too slow for high frequency trader (scalper). It seems to be an IB datafeed limitation, not a multicharts limitation. Other datafeeds don't have that delay. In case of using IB datafeed, the quote field "Trade" needs to be calculated by Muticharts as the middle between bid a...

Zheka

How can one construct a correct Mid-price based range bar chart in RT? Does it build correctly historically off "True RT" 5-sec bars? Hello Zheka, Historical data is complete, OHLC values are supplied. Realtime updates are streamed once in 5 seconds (Close value only). Yes, but: 1) 5-sec is too lon...

Zheka

If I understand you correctly, you mean having a chart with two instruments of the same asset, one with quote field of Ask and the other with quote field of Bid? Yes, for calculation of signals and indicators. But I now realize it will not substitute a "100% correct" mid-point-based range bars. It ...

Zheka

I installed the latest version today. I noticed I get delayed quotes for Forex. Searching for the reason, I saw the following comment in features list: "Interactive Brokers: MidPoint is now supported for Forex when Quote field is set to Trade. Realtime updates are streamed by the data feed once in ...

Zheka

Great! Thank you!

Zheka

Thank you, Josh. Hopefully, you will find time to make Friday update have events for the upcoming week, - otherwise Monday will be "eventless". As for "all-day & High-Impact events" - having them is important (at least) for realistic back-testing of sound risk management (e.g. closing positions befo...

Zheka

Dear Josh and all, since FAQ is missing on the website, a couple of questions on this great tool. 1. I can see time used in the files is NY time. I assume it automatically changes between EST/EDT, correct? 2. For some reason, Future Economic Events.txt (Updated: 9-12-2016 16:05 UTC) contains info UP...

Zheka

Thank you, Felix!

I will try it the way you suggested.

Zheka

Guys:-) Appreciate your comments but they are all about somewhat different situations. My question related to the following set-up: - One chart, 2 signals applied to it, signals generate opposite orders (one after another) The problem is that the opposite-side order generated by the 2nd strategy wil...

Zheka

Thanks a lot for your message! I have long wondered why there is no "unmanaged" order placement mode in MC whereby "Buy 500" would really mean "Buy 500", not "establish a long position of 5000".. What would happen if one of the strategies signals "buy 500" and another - later - "sell short 500"?? I ...

Zheka

Thank you!

Zheka

Hello Zheka, We have double checked it for you and we can confirm that the bar is "closed" by MC when the "opening" tick arrives. If you want the bar to be closed faster - you need to set the CloseBarTimeout value to 0 in HKEY_CURRENT_USER\Software\TS Support\your MultiCharts version\Shaper\. You n...

Zheka

Hi Henry, I see 3 possibilities: 1) if current rules apply and a bar is "closed" by MC when the "opening" tick arrives, then it will be closed at +5 sec vs. the "timely" end of a bar period. 2) MC treats the last update for the bar as an 'opening tick' (because it arrives with a 250-300ms delay) and...

Zheka

Sorry for not being clear. There are 12 5-sec updates in 1 min. Is there an MC variable will show 12 (or 12*x), so that one can write: [IOG=true] //?needed? if (Numberofupdates=12) then //last update of a 1 min bar begin // system logic end; The final goal is to only do processing as soon as the las...

Zheka

There is always discrepancy between realtime and historical data. It's unavoidable. But realtime is realtime, historical is historical data. We should not wait realtime data to became historical data then fetch "realtime" data from historical server. That's not true realtime. To test if it's true r...

Zheka

I will just summarize the reasons for asking these implementation of mid-point and 5-sec RT bars for IB: 1. One gets into unpleasant situations (that need handling) when the "autotrading" chart from IB gets "refreshed" with historical data. A chart refreshed with historical data (after closing a cha...

Zheka

Hi, Henry, It is really great to see that these 2 features I asked for are finally implemented! Questions on IB's True RT 5 sec bars implementation: 1) Will a RT 'update' get incorporated into a bar "on-the-fly", as it builds? 2) What is the real delay of IB providing these updates? My previous rese...

Zheka

I use IB

Zheka

Great news on coming availability of mid-point data. As for 5-sec True bars: We have tested IB 5 second bars. This is a realtime data snapshot coming once in 5 seconds. How do you suggest using it? Do you want to receive a realtime tick bar once in 5 seconds instead of every second? We do not think ...

Zheka

Henry,

What will happen when "Collecting RT data" is ON, but with reloading of the chart (say, 1min chart) for that symbol? What will happen with reloading of both a "tick-based" chart and a 1min chart?

What values will be stored in the database for 1min, after such reload? For ticks?

Zheka

Hello dario, In most cases data is different from vendor to vendor. "MultiCharts Forex Data" is retail spread FXCM data stored on our servers. We do not have any information regarding the FXCM data streamed by the other vendors/available in the other applications and we can not guarantee that it wi...

Zheka

With this post i would like to raise the importance of this simple-to-implement functionality(ies). Simple - but critical! As there is no "trade" data in FX (only bid and ask), one has to manually calculate a mid-point to feed into signals. This leads to some subtle issues in RT (series syncing and ...

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