MultiCharts: Trading Software for Automated Trading and Backtesting

joebone

Hello joebone, Regular MultiCharts and MultiCharts .NET are almost identical in terms of functionality and features, but they use different programming languages. With regular MultiCharts you can create a study using EasyLanguage/PowerLanguage. With MultiCharts .NET you can create a study using C# ...

joebone

Hello,
I have been using MC for years and have several licenses. I was curious about transitioning to the .net framework. Does the software run with a mostly identical framework? Is it substantially faster?

joebone

Why does the "How to use stock screener" link take me to trading view?

joebone

One last bump on this and I will let it die.

joebone

Going to bump this in the hopes that I can catch someone's eye. Very interested if anyone is willing to discuss.

joebone

Hello, I was curios if anyone would be interested in discussing their thoughts on how to best design your features for Gen. Optm. I have had a few different builds and thoughts now and have some questions. Would a genetic Optimization be best fit for parameters that have less "step counts" or option...

joebone

Hello,
Just making a quick post asking if there is a way to input a <,>, or = as an input. From what I see we cant do that.

If you wanted to be able to change these as an input or be able to optimize through them would you create a switch statement or a if, then series?

joebone

Hello,
I randomly went to initialize a variable with a 1_ in front of it... Like this...

Code: Select all

Var:
	1_My_variable(0);

This looks like a different color than normal? what's happening here?

joebone

Creating A DLL might also be a possibility.

This is something I am not familiar with.. New techniques. Thanks for the input.

joebone

joebone, a good approach might be to test this and measure the performance difference. When things become complex even reading in text files with the results can give you a speed advantage compared to performing the calculations every time. Regards, ABC Thanks for the help on thinking about this on...

joebone

joebone, a more practical question would be why you compute an array with 100 averages when each strategy only uses four? Computing just the four averages you need per strategy might already show a decent speed improvement (I realize that you might only post a generic example here, so this approach...

joebone

Do you have a suggestion of how to preprocess this Moving average array to speed up optimization? Buy a faster CPU ? So apart from exporting the MAs then importing them as instruments there isnt a way I could pre process something that will be the exact same calculation on every version of the opti...

joebone

Yes, put it in a variable. Put it in a function. ps. If you need coding help, you need to post your codes. Hey TJ, Thanks as always. Lets say for instance I am calculating an array of moving averages. No matter how I optimize my signal I will still calculate the next bar of the entire array. For th...

joebone

Anyone doing preprocessing?

Hello,
I have some calculations that happen on every bar regardless of Inputs for my Signal. Other than exporting data in an indicator then importing it as a instrument. Is there any way to preprocess data to improve optimization speed?

joebone

Thanks TJ, I will go in and do that to try and better understand the MC code here. Before I doubt its speed that makes perfect sense.

joebone

Hello, I am looking for a more experienced programmer in hopes to find a faster solution. I am looking to trim off any fat on my signals to help them optimize faster. something that I use a lot of is the Pivot function. I linked it below for reference. This function is extremely useful but I am tryi...

joebone

Hey, I am looking to try this as well. Hoping to bump this thread and see an answer.

joebone

awesome, Thanks very much!!!

I had found some of the reading on those items but its piecemeal. Is there a sticky somewhere with all the good documentation on using multiple time frames?

joebone

joebone, On the chart the data series are enumerated as Data1, Data2, Data3 and so on. Data1 is the main data series and it cannot be deleted. Both a signal and an indicator are calculated on their base data series. Base data series for a signal is always Data1. Base data series for an indicator ca...

joebone

I just found an old thread about how Real time history matching and bar status work together. That was very helpful as well. Thanks for this!

joebone

Hello, I am working on something similar here. Trying to use multiple Data on one chart. Also doing this from a signal and not a indicator. When you use a Signal and send I_setplotvalue() to an indicator it looks like the value drops to zero constantly before correcting prior to a new tick coming on...

joebone

Hey Polly, I am trying to understand a few things about designating Data(X) in a indicator vs in a signal. In an indicator it appears that I can change the Origin data by selecting it in the properties. Even if I change the Close Data(X) in the code it defaults to the one selected in the properties?...

joebone

Hello, I think I already know the answer to this question but I wanted to make sure. This is using a tick chart. When I design a signal to use the Bid and ask spread and want to make calculations on the bid ask spread. I need to put the Bid or Ask as the first Instrument on the chart cause it update...

joebone

Thanks for reply ABC,

How would you convert to seconds?

joebone

Hello, I have this indicator running on a tick chart. I may be missing something very stupid but I dont understand why this jumps up when ever the bar contains an hour change. My goal here is to get the Time per bar on a tick chart. //Time per bar Vars: Time_per_bar(0), Rolling_Time(0); If Date<> Da...

joebone

Hey Paul,

COuld it be your Maxbarsback?

From Tammy's post
The strategy is optimized using a data range from IS Start minus MaxBarsBack value to IS End.

joebone

Hello joebone, That is correct, one strategy can't exit the positions of another strategy. The backtest doesn't have a problem finding margin to buy and sell all on the same bar even when lower priority signals are selling for money that buys on higher priority signals. Does that mean all selling h...

joebone

After messing with portfolio Trader for a few weeks I finally have everything working as intended.... Almost... The Question I am doing a sector rotation strategy and I need to have all my exits take place before my purchases in order to make room for the incoming purchases. My original plan was to ...

joebone

Svetlana helped me out with my support request...

for anyone coming behind me to work on portfolio trading and pyramiding exits here is the answer..

Look at
SameExitFromOneEntryOnce = False;
https://www.multicharts.com/trading-sof ... eEntryOnce

joebone

This is quite a complex undertaking; I would engage a professional programmer. It is better to make the money to pay the programmer than to save money but getting stuck. As a practice, Data1 should not be longer than 1 day. Hey TJ, Thanks for the response. A quick question. Why no longer than 1day ...

joebone

Thanks for the explanation

joebone

Hello I have a script that I am having trouble debugging. The end use for this will be in portfolio trader but I am currently debugging in a chart. Relevant information..... I am using a weekly chart of SPY going back to 1996 as Data(1). Data(2-10) are the SPDR Sectors XLE,XLU,XLK,XLB,XLP,XLY,XLI,XL...

joebone

Hello, Just a quick question. I am building a portfolio Rotation Tool and I wanted see if this logic checked out with someone who knew. If I use This bar at close to sell positions and Next bar at open to Buy positions will the sell orders clear the backtester before the buy orders come in? allowing...

joebone

This needs to be easier to find. Been trying to figure this out for myself the last few days as well. Also a side note Portfolio Equity doesnt seem to be in the wiki? EDIT Going to drop some tags here for future people to find Portfolio Buying power calculations Available Buying Power This was also ...

joebone

~My Objective I plan to trade a standard portfolio of many different etfs/stocks. I would like to monitor the performance of each of these etfs against several metrics then let the computer build the portfolio on a rolling basis. ~My Strategy I am going to add all of the data to the first instance ...

joebone

Hello, Anfo0000 was using the signal that strongly depended on the initial calculation point, because OpenD, HighD, LowD functions were used. That’s why, the signal, that started calculating at least one bar earlier than session start, produced strongly different result. If you would like our team ...

joebone

TJ nailed it.

open up the script for Volume in the power language editor. You can get an idea of what your looking at there

joebone

Has there been any update to this question raised by anfo0000?

Thanks.

interested as well

joebone

Has anyone used Kibot for tick data? I was going to use tickdata.com but it is very pricey and I don't need the individual contracts. Just the continuous contract. Also, didn't Tickdata used to be cheaper? they want $2000 for ES tick data now...

Any other suggestion other than Kibot?

joebone

I have a rolling calculation for my Limit price in my order: Buy next bar at "Limit_calc" Limit; Is this limit price calculated on the open price of the next bar or is it calculated on the close of the previous bar? Didnt see the answer here : https://www.multicharts.com/trading-software/index.php?t...

joebone

I don't understand your [1] reference on the OHLCV. If the HIGH and LOW of the subsequent bar straddles your order price, you should be filled. You can check here for useful articles: https://www.multicharts.com/discussion/viewtopic.php?t=10811 Just wanted to finish this off.... I was thinking in r...

joebone

. . . So if i wanted to simulate a limit order fill in an indicator I could calculate my entire signal on OHLCV[1] and see if the current bar fills it? would this be correct? for some context I am trying to track the PnL of a signal that I am not trading for observation purposes. I don't understand...

joebone

I am not sure if I understand what you are getting at. Allow me to explain the process. [IntrabarOrderGeneration=false] At the end of the bar (EOB), MultiCharts will calculate your trading logic, if your trading criteria is met, your order will be sent. (ie next tick will be the opening tick of nex...

joebone

I am trying to model limit order fills in in an indicator I have been struggling to get it right. As a prerequisite, the indicator and signal only updates at end of bar and there is no intrabar order generation on the signal. I have a strange question if someone could help me out. Because I have bee...

joebone

Thanks Kate

joebone

I looked through the wiki and I can't seem to find it so sorry for this dumb question.

I have 2 100 1D arrays. I want to combine them to a 200 1D array. How do I do this?

joebone

I see that I can setplotcolor and setplotstyle is there a way to setplottype? I want something to be a point?

also is there a way to setplotmarker as well? I want to turn off the plot marker for a large number of plots

joebone

What do you mean by "clusters"? Are you referring to a ML algorithm?

Yeah like a K-mean clustering. Or Gaussian distribution clustering or something? Just seeing if there was a way to do it like there is in numpy.

joebone

Anyone here had success running cluster analysis on an array? looking to find clusters in a simple array. Is there any "in-house" functions for that? Or is it all going to have to be built?

joebone

1. Is there an ouptut from each run of all the optimizations? Is it possible to see the top Nth performing systems for each run? I.e. the top 10 performing systems from each WFA run. 2. Is it possible to use the performance from all the systems to select the best system? Example, select the system ...

joebone

Thanks very much for those suggestions I will take them under consideration. Regarding data, if you are referring to market data then I am not collecting data. I have used TS data or IQFEED in past. But, I have not collected my own data historically though I am looking into it for bid/ask testing. W...

joebone

I have experimented with this. My solution was to build a Function that calculated and output the Net_Profit-Net_Profit[X] of each setting then use a single signal for all possible sets. Only trading the best one at that time. I believe you could do this with a WFO and a Custom Fitness Value but my ...

joebone

@Joebone As for cloud computing, the dominant leader is AWS. In terms of cost, I am not convinced it is worth it. You can get much more powerful PC at home and own it outright. You would be running likely a Windows box vs cloud services. You would need just to spec out appropriate EC2 instance. The...

joebone

@Joebone I have not used bid/ask testing, yet. I don't have enough experience with Multicharts backtesting engine enough to say. However, on NT, the backtesting results were always accurate for the product I was trading except for being 1 tick optimistic. That's market orders, of course. So, that w...

joebone

Are you using the IQFEED data for bid/ask data or collecting live? Do you use bid/ask spread for more accurate fill information only or in strategy logic? Because, if it is fill information related you could simply apply slippage model in many liquid products. I figure very few systematic traders a...

joebone

Hello, I have been trying to break into this industry for years and within the last year It has started to come together. I come for the finance side and not the computer engineering side. So my practical knowledge about coding and hardware is still a big part of my learning curve. I wanted to pose ...

joebone

Best would be to have a stable version and a beta that is in beta until its deemed stable, so users that are interested in being testers, trying and providing feedback of errors, and using latest versions all the time, can do this with the knowledge that it most likely have bugs, and then users tha...

joebone

On a brighter note, I was able to reinstall/register MC12 thanks to a gracious fellow user's tip. I'll still continue to "test" MC14 until they get things right - as a software developer (of 35+ years), I can appreciate what it takes to both write and support something as complex as MultiCharts. Sa...

joebone

Hello joebone,

Limit orders are executed at the specified price or better (rounded for the better price).
Stop orders at the specified price or worse (rounded for the worse price ).

thanks very much. mark this solved

joebone

If I am trading Emini and using limit orders to buy and sell and those limit orders are based off calculations that are not rounded to a tick then how does the limit get rounded. Does it get rounded at the broker or does MC round it before the order is sent? I ask this question because I have gone b...

joebone

I just had 2 reconnection attempts and one reconnect from yesterday to now, cant say exactly when it occurred.

maybe we should look at the DTN forum as well

Edit... they are mostly dead

joebone

Joebone, my IQ application has been good overnight, no reconnection attempts or loss of connections. Download WinMtr and run it the whole day and nigh to their IPs, and check if you have any losses during the time when you see connection loss. So you can rule out issues. You can try the other IP to...

joebone

I too have had a couple of disconnects of late and received the same communication re relocation of servers. Joebone: can you give me the timezone that your 5am drop relates too please? Then I can check my logs for a similar drop.

Eastern

joebone

Dropped IQFeed again at 5 AM this morning...... The client hung in the reconnect When I talked to IQ support and mentioned the text or email warning signal he said IQFeed development is entirely focused on two things. (1) Server move to Chicago Cloud Servers by June or July (2) New IQ Client with MB...

joebone

I have pushed IQ to implement a warning by email if IQ application loses connection to its servers, i believe the more people asking for this the quicker it happens... they are positive to implement it if enough people request it... MC could do this on their end as well if IQ wont do it. This would...

joebone

Since switching to MC12, a few weeks ago, I haven't had any data dropouts.(IQfeed). Make sure it's not an internet issue. (Also, we are now in the June ES contract.) Yeah I rolled forward a while ago. IQFeed has been solid for me for a while. I need to research a way I can be notified as soon as it...

joebone

yeah I am running 12 as well. All 3 of my data drops have come in the last 2 months and on 12.

joebone

Hello joebone, Changing the resolution for Ask/Bid series influences the result. For example, if you have a 5-Tick resolution for the strategy, and a 1000000-Tick resolution for Ask/Bid series. One can observe that with such setup the orders are executed differently (less precisely). The possible s...

joebone

using the "break on session" ability should restart the tick chart at session break to. That should help you standardize tick charts over longer periods..... At least i think so....

joebone

I just droped last night again?

Anyone else still droping IQFeed connection occasionally?

joebone

Hello, I am trading on Tick data and using the extended backtest to find more accurate results. When you load up tick data of Bid and Ask it can really space out your charts at the 1500 tick level on ES. I have been putting up with the added load of all the extra Bid and Ask ticks as just a necessar...

joebone

Hello everyone,

It looks like there were issues on IQFeed end on February, 17.
The details were shared by Salzburg in this thread.

Thanks for update

This link appears to be dead

joebone

Joe, in case of tick bars you would be correct, however OP did not mention using any tick bars, he just mentioned loading up tick data

lol.. well noted good sir

joebone

The nature of a tick chart is that it reports bars on number of ticks. If a 2000 tick bar starts at time 0 then it may take 10 x 200 tick bars to fill that gap to start the next 2000 tick bar. they may not ever line up. And then if that 200 tick bar doesn't have he exact same timestamp for the open ...

joebone

from IQ techsupport.. We are experiencing intermittent internet issues that is causing IQFeed random disconnects from our servers. The IT team is working on this as we speak and I will keep you updated. Thank you for you time and patience (As a customer one could perhaps have preferred that known i...

joebone

Hello See if someone can help me with this little problem. I have a strategy that uses analytics on multiple TFs. If I insert a charts with only one TF, the tick data in each bar is reported without problems, but when I insert another or other charts in the same workspace (in subcharts 2, 3, etc) t...

joebone

@Salzburg with personal fix You help the dev team to test quickly if they solve the issue, if they can fix the issue for You, after if it's ok they can make it for all other MC users. In debugging process it's very difficult to reproduce real world then some power users can help them to find bugs a...

joebone

Hello, simple question. Just curious if anyone dropped IQFeed just now. approximately 10:20 ish. My IQFeed pluggin was still active. I didnt have time to check the IQFeed time and sales to make sure it wasn't on the IQFeed side. I just restarted MC and IQFeed manager app ... seems to have fixed it. ...

joebone

I had another crash in middle of night, in multicharts (not portfolio trader) with only 2 charts open and trading and it crashed! I might go back to a previous version or move it to NT... crashes usually cost me money.

MC 14 or 12?

joebone

Would any users agree that it could make sense for MC to move away from lifetime licenses? Call me crazy, but I want to make sure my software provider has the cash flow to stay solvent and keeping on top of their R&D. Why not charge an monthly/quarterly/annual fee, no lifetime option? Or maybe reta...

joebone

Hello, I have a signal I am using. I like to run it several times on several different settings on the same underlying. My current solution is to run it on multiple windows in Async mode. But I am finding that when you use limit orders sometimes the chart will "fill" a limit order and the broker doe...

joebone

Hi Joe, Thanks for sharing. How stable is that setup for you, in your experience? How often do you need to restart MC? -Ben I have never had a crash on 12. I have really never had a software end meltdown of any kind. One time I accidentally changed a large chart to a 1 tic resolution and that ended...

joebone

Interested in any comments or suggestions on this subject. I use chart trading in AA mode on several charts I stack my live trading charts in 1 or 2 workspaces using additional windows and just flip through the windows in those workspaces. Then I use other workspaces to stack windows to monitor char...

joebone

Hi, if I use a chart based on tick bars I suppose the volume of the bar is the tick count. 100 ticks bar means a bar composed from 100 ticks so for me volume should be 100. In format instruments I see "Build Volume on: Trade Volume". And in that case you can have 100 ticks bars with volume > 100. I...

joebone

I have 3 licenses. I use one license with the most up to date MC on it and let that trade paper money. Also, there are a lot of cool new features on MC14 that I am experimenting with. If you are live trading any decent amount of cash then its not a serious cost. I use the stable older version to tra...

joebone

Same issue for me with slowdown while viewing optimization or trading report. I’ve had several other issues as well. I’ll post more tomorrow but have another thread active with no replies in this forum. I’ll update that with a more detailed explanation, sorry not in a position at the moment but wan...

joebone

Guys - I have to report on a wild day like today with E-Mini ES futures coming in a 2.5 million contracts for volume and reaching upwards of 100 ticks per second, my workstation's CPU barely went above 5% utilization. And I had several charts with indicators set to "Update On Every Tick". For this ...

joebone

Interesting. I have not experienced the slowdown in MC 14 that you have. I have 4 charts running 200 tick charts in the same workspace for live trading. I use one Desktop configuration for live trading and another one for backtesting. I think even more important than keeping open workspaces to a mi...

joebone

Hello, Jumping in here for a quick question.. Could I use a custom symbol to collect realtime data for a symbol(under a custom symbol) and still update to historical data on the original symbol?

Giving me the ability to have both historical and RT data?

joebone

MC 14 seems like it runs slower than 12...... considerably slower is some cases. So before I throw in the towel and go back to 12 I wanted to make sure I am running things optimally. The wiki says this about workspaces. "To achieve peak performance limit the number of simultaneously open workspaces ...

joebone

Here is a helpful comment from Andrew about it.

Thanks very much for the reference, that is helpful

joebone

I have 6 different workspaces running one signal each and they are all trading the same instrument(@ES#). These signals are the same signal optimized differently. I run them all Async.... occasionally my orders at the broker(IB-Paper) don't fill when a signal will get a fill. this leaves a hung posi...

joebone

Is it possible to use symbol mapping to get the desired effect here?

map the micro contract to the Emini contract?

joebone

For anyone that finds this in the future with a similar problem.... My mistake was not noticing that MC uses only UpVolume when you [ "Build Volume on" - Trade Volume ] in the instrument settings. This leaves off down volume and leaves some bars with 0 volume. If someone knows why that is the case t...

joebone

GIGO

you making fun of me?

joebone

First step:

go through the code and find all the division operations.

quick question though?

Rec_V = Rec_V + V;

sometimes I get a zero on this..

Rec_V - Rec_V[1]

how could a += of volume ever be equal to its previous count? Is there something rounding off?

joebone

First step:

go through the code and find all the division operations.

I found the 0, haven't figured out what mistake I made that was just getting covered up by larger resolutions but there is nothing special about the problem.

solved. thanks

joebone

First step:

go through the code and find all the division operations.

This was my first thought but I was pretty confused as to why a >500 tick resolution doesn't give me a floating point error and <=500 does?

is there something different about <=500 resolution?

joebone

I don't know the 'VWAP Array 11' indicator, but the floating point error is caused by this indicator. And not by the chart's resolution. Since it looks to be a custom indicator, did you perhaps code it to require a minimum resolution of 500 in its calculations? Yes, the indicator is custom. what co...

joebone

Please post a screenshot of the error message.

error message 6-23-20.PNG: (6.87 KiB) Not downloaded yet

joebone

Is that floating point error triggered by MultiCharts itself, or by one of the scripts you have on the chart?

The scripts error and status switches off. MC scripts still work though. I threw on some to make sure

joebone

if I use tick resolution of 500 then i get a floating point. If I use tick resolution of 501 then it works?

I am not even sure how I start to debug this? what am I missing?

joebone

When i use <= 500 tick resolution on /ES I get a floating point error. I dont get an error when above that. What am i missing?

joebone

Just in case someone else encounters this problem I changed the Session to 24/7 and it seems to have fixed the problem for now. I consider this Solved for my specific use.

joebone

Hello, I am using IQFeed Ticker : SPY 1000 Tick Quote Field : Trade Session : 24/5 And my current bar keeps changing to an obviously wrong price.. Anyone have insights? Is this an IQFeed problem? Edit: I just deleted all tick data and downloaded it again prior to market open this AM. The IQFeed tick...

joebone

When you compile a study, MultiCharts would parse the codes and collect all the declarations.
The variables are initialized at compilation, not when you run the indicator.

Awesome, Thanks TJ

joebone

It's not possible to make a variable without also initialising it at the same time. Thanks for Reply One Follow up, value1 = 0 if value1 = 1 then Begin Vars: Special_Index(0); Special_Index = 100; End; This is kinda what I was thinking about. I had something like this in a script I was making and i...

joebone

Not an answer but some thoughts: Thanks very much for the reply... This is actually very helpful! I had not thought about doing exhaustive one at a time! That is great help thanks. I had thought about the Genetic recommendation but sometimes it just feels like I am getting too hands on and needed t...

joebone

Hello, I have a 12 variable exhaustive optimization I would like to run. I have created my own Custom Fitness Value for the optimization and everything appears to be running correctly. My question is specifically about the optimization procedure. Is there a way I can tell the optimization or custom ...

joebone

if a variable is initiated inside a Begin / End section of a script and that section never Begins... Does that variable get initialized? what value is in that variable if it never gets initialized? It's not possible to make a variable without also initialising it at the same time. To make a variabl...

joebone

if a variable is initiated inside a Begin / End section of a script and that section never Begins...

Does that variable get initialized?

what value is in that variable if it never gets initialized?

joebone

My understanding is, the function is a "human" short cut. When MC compiles the indicator, the function code is inserted back into the script wherever it appears. However, all is not lost. Good coding practice can speed up the execution. For example: If H < average( C, 20 ) then . . . If L > average...

joebone

Hello,
. . .
This FAQ thread is awesome...viewtopic.php?t=10811
. . .
I am glad you find it useful.

Good trading to you.

Awe dang... no tips on the speed question... I thought for sure you would have some input.. hahah

joebone

Hello, I have a fairly complex calculation that I use several times. would a function for the calculation be faster when optimizing or is it faster to create new variables for each iteration of the calculation? Second thought or question... This FAQ thread is awesome...https://www.multicharts.com/di...

joebone

Look here: http://www.tickdatamarket.com/

Thanks for reply,
This is where I was looking. Have you used them?

joebone

Have you checked the exchange's website?

Thanks TJ, I will check that out. Is there any trick to integrating the data on into MC other than whats in the wiki?

joebone

bump,

I tried searching for this topic but couldn't find anything. Sorry if this is a dumb question. Just looking for a recommendation of the historical tick data that people use and buy on here?

joebone

Hello all, Simple question. After exhausting all of my IQFeed data for ES and NQ I need more historical tick data to train signal on. Where do you buy your historical tick data? Any tricks for getting MC to put the data together correctly? This will be my first time stitching together multiple data ...

joebone

It could be from the !From Strat to Broker MP Sync. That was why I chose to only use the !From Broker to Strat MP Sync. It doesn't have any problems. However your strategy code can also cause that behaviour. Even the famous Art Collins Cups-Caps Overnight with Stops and Targets code from Beating th...

joebone

hello, Im testing a few strats on IB paper. Occasionally something breaks and I will continue to place an order even after the order was filled. The order will ramp up in size as it iterates to buy more and more. it has got to be the strat to broker sync that is doing it. Curious if anyone has had t...

joebone

MC14 has an new option in Preferences/Data Server to 'save real-time ticks/minute bars to the database' - exactly to address the issue.

Terrific
Is it a new function?

I believe that you could save only real time or use only historical? Is there a way to save and keep them both now?

joebone

Joebone, Any updates? Did you work it out? apologies for the delay on this response. I still haven't solved it. I plotted the continuous and the front month both on the same chart as data 2 and 3 with front month as data 1. they dont line up.. its like the time signatures puts the continuous future...

joebone

Thanks for Replies, This difference seems to be persistent... a setting on a Signal is profitable all the way back to max ticks on @ES# but when I switch to @ES#C it immediately starts losing money... almost appears to be from slippage. Its so stark that I feel like I am missing something obvious bu...

joebone

Pretty sure IQfeed's website detail that no? @/Q=electronic (unless looking only at pit; add this) #=continuous #C=continuous back adjusted My understanding anyway Without sounding condescending; nailing your datasets is probably the most important step in strategy development. Thanks for the reply...

joebone

hello all, I have been working on a futures signal using IQFeed - @ES# and @ES#C. I have found that over the exact same time frame these two return very different Profit and loss data. My backtest is only going back 10 days. 11-12-19 back to 11-2-19. I am using the CME: Equity Index Futs Combined se...

joebone

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.

Yeah.. i did a poor job explaining the first time.

joebone

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, thanks for reply. I was afraid it wasn't clear. Let me first try ...

joebone

Hello, joebone! I’m afraid this cannot be done within one workspace. You need to create separate portfolio workspaces, each with different data ranges to be able to optimize the desired time periods. thanks for reply Anna, Could I save price data as a custom symbol and align the date and bar time t...

joebone

In portfolio trader I can use one strategy to trade multiple underlyings and optimize for one setting over all these underlyings. Is there a regular way or is there a hack to be able to optimize for one strategy over several different time segments on the same underlying. Say I have a strategy that ...

joebone

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

just when i had hope... what was the problem?

joebone

Well Svetlana has provided a possible fix for this problem for now.

I haven't tested this yet... so its unconfirmed
command.rld
https://www.multicharts.com/trading-sof ... ommandLine

joebone

Here is a possible solution to this problem

I haven't tested this yet... so its unconfirmed
command.rld
https://www.multicharts.com/trading-sof ... ommandLine

joebone

Well Svetlana has provided a possible fix for this problem for now. I haven't tested this yet... so its unconfirmed command.rld https://www.multicharts.com/trading-software/index.php/CommandLine There is no way to backtest this fix without a record of the streamed data. But at least I can be confide...

joebone

Hello all, I am experimenting with portfolio backtester. I have some symbols that are newer and some that are older. If a symbol isn't trader yet but I have it in the backtester and use its close value in a calculation then I assume it will fubar with a division by zero or something. I came from Thi...

joebone

IQFeed has confirmed that they see the problem exists and are analyzing solutions. From Anna at MC So we received the reply from Steven from IQFeed Developer Support, here it is: “I believe I have found the source of this issue although I haven't been able to confirm it yet. I have been able to conf...

joebone

"The Devil is in the details" the details of a matter are its most problematic aspect. Yeah, I agree that I could redesign the strategy for a potentially more robust view of Volume. Your answer is elegant but the reason I chose to program my trades is to measure things... Precisely. As precise as I ...

joebone

I have looked through the posts here associated with Aggregated tick. Some of them were mine. They were helpful. And your help along with Zheka was appreciated. Questions Does this problem affect your trading on a regular basis? Is it just my particular strategy that experiences erroneous results? I...

joebone

Historic data is the bench. Streaming data is always different. ALWAYS. It is the same with all the data providers. And that would be fine. If the sales and support for services admitted this. IQFeed is absolutely positive that the streaming data should always be the same as historical. MC support ...

joebone

Have you compared your data with the exchange's data? I haven't and that seems like a good place to start. But.. if the exchange matches historical but not streaming then I still don't have a solution. Historic data is the bench. Streaming data is always different. ALWAYS. It is the same with all t...

joebone

Have you compared your data with the exchange's data?

I haven't and that seems like a good place to start.

But..

if the exchange matches historical but not streaming then I still don't have a solution.

joebone

Hello all I have posted about this before but there was always a little tweak to make the difference smaller. I have now exhausted the established fixes for this problem and I wanted to post this here to share my thoughts and seek advice. Below are screen shots of exported data from MC. IQFeed is my...

joebone

Hi Joe, you are very close. Arrays are always indexed starting with zero, not one. array: Indexes[1, 10](0); is a two dimensional array with eleven elements of value zero in each of the dimensions. So instead you want: array: Indexes[9](0), Indexes_C[9](0); When you copy the array you start at inde...

joebone

. . . is this the section you were asking for? . . . I am not asking for anything. I am merely suggesting to you, if you are looking for coding help, you need to post your codes. Otherwise, people do not know how to help you. Right. I meant to imply, ** is this enough to identify and help me find a...

joebone

Please post the complete code relating to the array. ie. including the declarations. Im working through it ATM. This is my first array. Here is the latest version. index1 = pmm_get_global_named_num("1"); index2 = pmm_get_global_named_num("2"); index3 = pmm_get_global_named_num("3"); index4 = pmm_ge...

joebone

If I want to copy and sort an array then take an action on the 5 highest values in that array.... Is this how I would do it? index1 = pmm_get_global_named_num("1"); index2 = pmm_get_global_named_num("2"); index3 = pmm_get_global_named_num("3"); index4 = pmm_get_global_named_num("4"); index5 = pmm_ge...

joebone

whats the difference between pmm_global_named_num and pmm_my_named_num?

how many global_named_num's can i have?

joebone

How does pmm_set_global_named_num work?

can I recieve this in another strategy with pmm_get_global_named_num ?

does it update every bar?

joebone

I have MC64, but GVSetInteger() doesnt work. Do I still need to DL and install something. I though GV's were default in 64 bit.

joebone

:-) I found and installed EL Collections. Thanks. I didn't find a good walk through on the forum yet. I'm looking for a walk through on how to accomplish the process. I just wanted to make sure this was a source you would recommend. https://www.TS.com/Discussions/DATA/20041222135612ELCollections.do...

joebone

Hello, I have an indicator and a function that I'm using in parallel with a signal. I can't seem to figure out why the signal usually sees the first buy signal before the indicator does.. they are exactly the same code? Is this known? Is code processed differently in signals vs indicators? Thanks T...

joebone

Hello, I have an indicator and a function that I'm using in parallel with a signal. I can't seem to figure out why the signal usually sees the first buy signal before the indicator does.. they are exactly the same code? Is this known? Is code processed differently in signals vs indicators? Thanks

joebone

I need to create a separate username and password for that section?

joebone

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...

joebone

Hello, I want to copy and past the optimization report to an array in a signal. I have 1 signal that when i optimize it gives me possible inputs for another signal that uses several of the optimizations created from the list. So Is there a way to populate an array or maybe another efficient way to e...

joebone

Hello, I have a Signal. It curve fits pretty significantly so after an optimization. of the 100's or sometimes 1000's of possible settings the optimization generates only about a 1/3 of them test well in OOS data. This is troubling for sure. BUT Does it sound reasonable to run an optimization then p...

joebone

Yeah, I figured.. thanks again for reply. Since it only seems to happen on around the close I'm thinking i will just load up a fresh chart around 4:15-4:20 every day and make sure I didnt get a false negative. Hopefully it wont skew my results to much... fortunately this AM I was long overnight so t...

joebone

Zheka, TJ I am using the 5 sec tick and had another false negative yesterday into the close. I am now looking at an exit trade 15;45 and there wasn't one there yesterday. It seems this is the time that it most likely fails. That must be the time when significant adjustments are made on the IB server...

joebone

viewtopic.php?t=8838

thanks wilkinsw

that appears to be using "custom criteria" rather than "custom fitness value"

is that the only resource you know of.

thanks

joebone

Just wanted to put a bump on this to make sure there isn't any thread or discussion on sharing custom fitness values for optimization... If not then ill assume everyone writes their own versions. I'll get to it then!

joebone

hello all,

couldn't find a search with some optimization ratios. Would someone mind sharing a Sortino ratio I could use to optimize with?

any other ratios or optimization metrics would be greatly appreciated!

Thanks

joebone

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...

joebone

Some answers here

viewtopic.php?f=1&t=51624&p=130489#p130489

joebone

@ Zheka

also should this solution work for stocks as well?

joebone

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...

joebone

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. I atta...

joebone

thanks very much for the directions for further research

joebone

some discussion here
viewtopic.php?f=19&t=46221&p=103276&hil ... ta#p103276

joebone

IB does not stream tick-by-tick data. They use aggregated ticks. You can read more about it on their website. ps. most data provider also uses aggregated ticks to various degree. Please read the fine prints. yes, I talked to MC support about this and they explain that part. That doesn't address the...

joebone

This feels like something i could rant about... how is it not at the top of everyone list..

maybe its because I'm using IB for data... this really has nothing to do with MC and everything to do with data provider

So maybe the simple question is what is everyone data provider?

joebone

IB does not stream tick-by-tick data. They use aggregated ticks. You can read more about it on their website. ps. most data provider also uses aggregated ticks to various degree. Please read the fine prints. yes, I talked to MC support about this and they explain that part. That doesn't address the...

joebone

Update...

I had another trade going into the close last night that wasn't there when i shut down the software that is there this morning.... Maybe my system is particularly susceptible to this?? I don't know yet. Hopefully someone can shed some light on this issue.

joebone

Great question. This is a very important concept. For me historical==streaming otherwise all my research is being undermined! I have no issues using IQfeed re historical vs streaming fidelity. I did have issues with CQG realtime data and so stopped using it. When I periodically compile my datasets ...

joebone

Hello all, First post here at MC. I came from ToS and really enjoyed backtesting and coding in thinkscript. Upgraded to MC and IB so I can finally put my ideas into action with automated trading. Something has come to my attention that i find very troubling. I have a signal that I use on 5 min bars ...

joebone

joebone

both work, start with tws to control all after use gateway ...

im not even seeing the @ES contract in quote manager when i pull it up while using Gateway

joebone

Do you have to run TWS or can I chart a continuous with Gateway?

Search found 175 matches