MultiCharts: Trading Software for Automated Trading and Backtesting

wilkinsw

Hi Dave,

I've already done this. This wan't at all the point of my question.

wilkinsw

How about symbol mapping: Can I have two charts both with the same IQfeed symbol but..... Chart1: mapped to "Patsystems1 Broker A Symbol". e.g. "qcl#c" to "Phy crude-Feb15" Chart2: mapped to "Patsystems2 Broker B Symbol". e.g. "qcl#c" to "Ph CRDE - FEB15" Is this possible? Note that different broker...

wilkinsw

Hi, Using Patsystems as an example. Is it possible to connect to account A broker A and account B broker B both using Patsystems? All from the one instance of Multicharts? I can see that I can create two different Pats broker profiles. But I can't create two pats datafeeds, as the data source clone ...

wilkinsw

Hi, A few time i have had the following message come up requiring the restart of MC I use "pulseway" to alert me of any stopped processes critical to my trading. However with the popup shown here, the process doesn't end until I click "close the program". Therefore I don't get the alert at point of ...

wilkinsw

Awesome answer. Thanks!

wilkinsw

Hi,

I'm looking for the "best" solution from a broker providing both futures and fx trading with a solid level of reliability and minimal bucket shopness.

Tempted by MB trading. What is the Ram usage like on their standalone platform?

Or should I be looking at IB?

wilkinsw

Nice feature, thanks.

wilkinsw

Hi Andrew just double checking that turning off auto-trading after x rejected orders means:

"GetAppInfo(aiStrategyAuto) = 0" ?

Thanks.

wilkinsw

Hi, When auto trading is turned off due rejected orders, is the "turning off" exactly the same as when when you make a chart setting change (for example). Ie, is it detectable by the "broker loss of connection" alert: { ATS Status Monitor; monitors if the Autotrading strategy is turned off, and if y...

wilkinsw

Thanks for the replies: I've done the following: an offline MC only observation - everything ok an online MC only - everything ok loaded an IQfeed live chart - everything ok Connected to Patsystems - everything ok Loaded a few Pats DOMs - tsserver.exe starts leaking I remember about 1 year ago that ...

wilkinsw

sellshort "at close" limit

if best bid on the open of the next bar > "at close" then your order will execute as an aggressor sell. Aka a market order, worse price = "at close".

Else it will join the book as a limit order.

wilkinsw

I upgraded to MC9.0 last week.

Same workspaces, but memory consumption has worsened.

I turned on file cache yesterday and still tsserver.exe usage climbs at the rate of 0.1mb per second until I'm forced to restart MC.

Any tips?

wilkinsw

Hi Henry,

Why has the max GDI's reduced for MC 9.0 vs MC 8.8?

I'm now encountering this issue on MC9 and didn't on MC8.8.

Would rather not have to open two MC instances.

Is there a registry I can edit?

Thanks.

wilkinsw

Oh yes. Good point. Silly me!

wilkinsw

Hi, https://www.multicharts.com/trading-software/index.php/Precise_Backtesting The above link implies running an extended backtest on just ask and bid data streams. In another post Henry mentions something different. He says: Hello Don, The strategy calculation results are different when it is appli...

wilkinsw

Hi,

When using multiple dataseries......

Was just wondering if there was a keyword to check for presence of data2,3,4 etc on a chart.

E.g. If data2=not present then xyz

Many thanks!

wilkinsw

I sent you all the requested info.

I've just repeated the tests I sent you on an MC9 demo I have. The behaviour is as expected in MC9 from what I can see.

So it seems to be only an issue with pre MC9 versions.

wilkinsw

I have Henry. This behaviour also takes place in TS. I've only just discovered it but don't understand why it happens. Copy and paste my code above and you'll see what I'm talking about (hopefully). (plot a eurofx 60min chart and use 0200 and 0500 as the inputs..... you'll see that, in this example,...

wilkinsw

inputs:t1(100),t2(200); if time crosses over t1 then value1=1 else value1=0; if time crosses over t2 then value2=1 else value2=0; plot1(value1); plot2(value2); The above code does not generate expected behaviour. Sometimes Values1/2 will flag the cross over of input times and other times not. The f...

wilkinsw

Hi Hilbert, My Pats issues have improved dramatically. Don't know why. Since about May2014, I only have about 2-4 small Pats issues a week. Before this it was about 2-4 per day. The issues I still experience are: Frozen ladders. Ladder slowdowns (only seems to happen with WTI Crude on some afternoon...

wilkinsw

Nice graphic. Thanks!

wilkinsw

Thanks Andrew.

I'm probably sounding thick here but, the red mbb section for the OOS window where does that lie? Is it at the end of the IS window or the start of the OOS window?

Thanks again.

wilkinsw

I'm in favour too. If an entry took place not at X bar, but at X+1, all further strategy behavior can change (for example if the profit target was supposed to be executed at bar X+1, but it is issued only at X+2 and the prices on the chart moved away from the profit target). It all depends on how yo...

wilkinsw

Henry, Firstly, I find that profoundly shocking. It's a major limitation. I just don't get how it's not even on the "roadmap" as the tool will forever be incomplete without it. It is far more important than other features like IOG. GA optimisation WILL be incorrectly vectored without it. TS did even...

wilkinsw

Hi, There seems to be lots of Bar Magnifier requests in the project management section, to be added to the Portfolio Backtester. Can I just reiterate how essential this is. It really limits the degree to which one can use the tool without it. As a simple example....tight stops get incorrectly select...

wilkinsw

Hi Andrew, In some other cases it will look like an order filled outside of a bar. Is that what you are looking for? For me, yes exactly that. Using your picture with the yellow arrows as the example......pretend the time/price point that the arrows point to didn't happen. Instead the bar opened a t...

wilkinsw

Hi MC,

I was just wondering if there were any plans for OOEL support. It's pretty powerful stuff.

Would love to have a "OOPL" functionality.

Seperately, would also be nice to have some sort of MC/MC.NET hybrid solution. Why not roll out MC.NET that supports powerlanguage?

Thanks.

wilkinsw

Hi MC, I understand from reading other posts that the MC WFO is not a flawless tool and that there are issues that might need development. However my question surrounds a better understanding of the Wiki page: http://www.multicharts.com/trading-software/index.php/How_to_Verify_Walk-Forward_Optimizat...

wilkinsw

Hi, I've only just read on the Wiki that one can't import an SEF compiled in a different MC build. I actually did this months ago without any obvious issues (8.8 8593 to 8.8 8967). The fact I haven't had any error messages come up or any obvious unexpected behaviour, is it safe to assume that all is...

wilkinsw

Thanks for the reply Henry. In the new backtesting/auto trading engine (coming in the next major platform update) we will provide more order control to the user, including ability to control the OCO groups: Sounds exciting. I'll wait for this then. The issue is personally not mission critical yet. B...

wilkinsw

Oh right. I think I misunderstood your previous post then, as I thought you were saying that Vision+Rithmic local sim doesn't simulate fills (which I assume to mean queue position). This particular demo account IS native and will not simulate latency, slippage, or fill rate (which are probably the m...

wilkinsw

The Rithmic Local Sim has a queue line-up - you only get filled when its your turn in the queue. You might want to give that free option a shot..

Trust you to rock up with all the answers!

Is that on live market data too?

wilkinsw

Please vote for the specified change to the portfolio backtester/optimizer:

http://www.multicharts.com/pm/viewissue ... no=MC-1708

wilkinsw

Henry, I think I caused confusion. You're right, you can indeed connect to a broker sim account which will be useful for testing certain things. However, I was referring to exploiting TT's simulation environment, that simulates queue position and fills, using MC. Having spoken to TT the only way to ...

wilkinsw

Hi, Strangely, I've only just noticed that I had a raft of target limit orders cancelled and resumbitted instead of maintained (lost my queue position). This doesn't always happen and I can only assume it was due to stops using the same ("ordername") were moved for the same bar? I'm using MC64 8.8 8...

wilkinsw

So using correct costs per instrument means I have to optimize 25 instead of 5 variables. From both a statistical and time point of view this will give a highly undesirable outcome. Has this changed for the most current version of MC? If not could you see why this is needed? Slippage in particular v...

wilkinsw

For a basket of 5 instruments:

If my signal has 5 inputs I want to optimise, then by having 5 seperate strategies, each with its own instrument, then.......

I'll have 25 optimisable inputs, no?

wilkinsw

Sorry, it's been a year. This is still something I need. In fact need it even more, hence I'm back here again! Is it part of the MC 9.0? To reiterate........ I want to optimize one signal applied to a basket of instruments. I need to specify slippage and commission for each constituent instrument, a...

wilkinsw

Thank god for yahoo then. I'd have to turn of my systems and wait for 9.0 otherwise.

wilkinsw

Hi Andrew,

I will do. Want to see if others can share their opinions or suggest further improvement, if needed that I can encapsulate in my feature request.

To vote for an improved optimized flow logic as detailed:

https://www.multicharts.com/pm/viewissu ... no=MC-1699

wilkinsw

Same here. Thankfully I spotted it soon enough!

No emails = virtually no risk management for me.

Yahoo looks just as good and is working fine.

wilkinsw

Hi, Please give me feedback on the following..... I love the optimize order flow feature of autotrading. Without it I would get limit breaches whilst trying to submit orders and also risk overfills. However, my colleague and I are seeing one key flaw that should only take a small tweak to correct......

wilkinsw

Multicharts: Would it not be simply possible to connect to a TT sim account?? I recently got told by TT that this would not be possible which was dissappointing. Using their fill simulator would've been good for testing high(er) frequency ideas.....seeing if backtested assumptions play out in real ...

wilkinsw

Such behavior has been neither demonstrated remotely nor information for replicating it was provided. There is no definite use case describing/demonstrating this behavior. If you have a use case please come to our live chat to demonstrate it or provide the information requested in post #14 of this ...

wilkinsw

The prices lag far behind and then at some point during a quiet market (hours later) the charts all catch up within a few seconds I had this for ages with Patsystems data feed all the time. Like you say, MAtricks, it will suddenly catch up. Nightmare. I even reproduced for MC . MC asked for a Pats ...

wilkinsw

but there is still a very infrequent slow consumption of memory by MC for an unknown reason.

Where are we with this MC? Have you accepted this as a bug yet?

wilkinsw

I am a systems trader for a London proprietary trading house. We are looking to finance and manage new strategies that offer diversification to what we are currently running. If you feel you might have a viable system but lack the capital or time and feel like this is something you are interested in...

wilkinsw

Thanks MAtricks!

That does make perfect sense.

I thought there might be some interpolation from the GO results to form a traditional graph, but clearly not. Thanks again MAtricks.

wilkinsw

Nice one! Thanks JoshM. As always, most helpful.

wilkinsw

Please see attached.

Can MC please stop words being excluded from searches?

wilkinsw

Is there any remedy you suggest? Is the MultiCharts team looking into MC's memory issues?

????

wilkinsw

Any thoughts??? You support OCO order submission where brokers support such orders. Do you support any other broker side synthetic orders. Would you consider adding more??

wilkinsw

Hi, I have failed to ever produce a 3D graphic as required following optimization. I'm clearly doing something wrong and help would be appreciated. All I get is big yellow balls. Regardless of the inputs I use and the inputs I choose to "fix". I'm after a slope with peaks and troughs (as expected). ...

wilkinsw

Hi MATricks, This particular demo account IS native and will not simulate latency, slippage, or fill rate I'm currently looking at simulating realtime fills etc. So are you saying that with Rithmic the fills are nowhere near realistic? I've used TT X trader and STS before. Their fill simulators are ...

wilkinsw

Hi, Many brokers provide server side synthetic order management. Can this be exploited through MC? For example, in MC you can convert to market if not filled after X seconds. In effect that would be a MC managed synthetic order. However, designing MC synthetic orders has limitations with regards to ...

wilkinsw

MATricks: love it! Come on MC make it happen. The limit order correction too please.

Turn if off if you don't like it MC is great about giving us the on/off button.

Example:

THANKS!!

wilkinsw

Me again, Firstly: Also, some time ago I made the request for more realistic back test: https://www.multicharts.com/pm/viewissue ... no=MC-1505 Hi Monexx, I was just wondering when you want MC to add a cost for crossing the spread. Without the historical bid/ask you simply can't know when you've c...

wilkinsw

The simple backtest needs tweaking as currently it's wrong. Smoky - I agree with you. Separately, it wouldn't take much just to correct the error on the simple backtest. quoting Andrew from another thread: "Backtesting, Bar Magnifier is on, an order is generated to be executed at next bar, next bar ...

wilkinsw

I see the leak start as soon as I open a DOM and nothing else. MC have witnessed it on my machine but can't reproduce it on theirs. But then again they don't have a live Pats account.

wilkinsw

I suffer this too. But they can't replicate on their end, I'm told. My memory usage slowloy builds throughout the day, every day.

If I work with order book level code and Patsystems low timeframe data then it ramps up quite quickly.

wilkinsw

Ok, I found the problem. Apologies but it was a rookie mistake, the solution to which, at least I hope will help the newbies. Basically there was an inappropriate use of a series function. I should have been using a simple function instead. On one line of code I was using Highestfc( , ) instead of H...

wilkinsw

Ok. Thanks Henry!

wilkinsw

Is there a way to feed real time indicator values to excel so that they can be called upon by another program?

Would RTD server work??

Many thanks!

wilkinsw

Ok great. I'll test this solution with another Pats account soon. Based on the findings above it should have a massive effect on reducing latency. If I you use one broker account profile (Api instance) per core I'll be getting close to halving the latency I currently experience. This is something th...

wilkinsw

Also I use: charts with two datafeeds (same symbol): datafeed1: IQfeed datafeed2: Broker data Any significant mismatch between the two for the current close (ie current price) for more than 30 seconds sends an alert: inputs:seclag(30); vars: intrabarpersist c1(0), intrabarpersist c2(0),vthres(0); vt...

wilkinsw

I promised I would come back with more info and haven't. I will not have time to either for another week or so.

Feel free to close this thread and I can restart it at another time when I have gathered the required info

Thanks for your replies.

wilkinsw

In addition to the: Loss of Broker connection and Loss of realtime data feeds (let me know if you want my code for these). I also use a template chart and a copied live chart to compare key calculated variables and positions (of template vs broker) with Global variables. Then fire off an alert if th...

wilkinsw

Thanks Andrew.

I will come back with further info, I promise.

wilkinsw

No IOG.

I think it's only fair I go away and do some trial and error research.

I'll be back!

(Sorry TJ for being short.... long day).

wilkinsw

TJ mate, there is a near infinite amount of things I don't know, fact.

One thing I do know is that,

you have misunderstood the purpose of this thread.

Also you have added no value to this thread.

Unless I have missed something of course.

If you can prove otherwise then be my guest.

wilkinsw

You might have misunderstood the definition of Maxbarsback Don't want to sidetrack the thread. There are two variables when multiplied mean that I need x mbb set. it's a highest high, lowest low xnb thing. That's all. 16kMBB is far in excess of what I need. I use this so that when I add everything ...

wilkinsw

It's not that complex. Just has to reference bars from long ago. Calculation speed doesn't really improve using an array to store these values. It is a simple strategy. I will wait to here from others and start putting together a test environment. I can't for certain rule out the code so will go and...

wilkinsw

No typo I'm afraid re maxbarsback. More details will follow. For now..... I use imported minute ascii files to create my backtest symbols. My backtests rarely have less than 600 trades. I may wait to see if I can get a couple more replies first. Otherwise there is an awful lot of details and conditi...

wilkinsw

That is not technically possible to send two orders simultaneously to one API. If there are two APIs (two different brokers) – then two orders can be sent almost at the same time. In order to perform such high speed calculations you need a CPU with 4 cores or more. Each chart with a strategy will g...

wilkinsw

MAtricks wrote: Why does it only take micro seconds to generate and send the command to cancel the order but it takes several milliseconds to generate an order? Please specify the particular lines you are referring to. I don't fully understand what MAtricks is referring to (I don't see the differen...

wilkinsw

Hi, Before I go into further details can I ask anyone reading this post to carry out the following and report your findings: Open a new workspace and chart - Any timeframe any symbol (I used 30min CL from 02/06/2003 to 26/02/2014). Load a signal / strategy - Any settings (I used BM=OFF and 16k maxba...

wilkinsw

The recent screen instance where MC sucked up 15.9 gigs of memory was actually in offline mode and MC had been running for only a few minutes. So no ticks had even come into the platform... and so no strategies/indicators were being calculated on incoming ticks Just on the off chance...... This hap...

wilkinsw

Clocks are synced daily Will look at this. My client is using TT and I must say that it is working beautifully. That's good to know. Thanks. Clocks are synced daily for each of us and yet the results still vary at times. Sometimes pretty significantly. What results vary? There are a lot of componen...

wilkinsw

If you are serious about your trading and the time you likely spending developing on MC then invest in a dedicated and fast machine. Agreed! MC does require a boat load of performance to run smoothly for the heavy user. As I've noticed since moving onto a server in our office. The company I work fo...

wilkinsw

Why does it only take micro seconds to generate and send the command to cancel the order but it takes several milliseconds to generate an order?

Interesting point, that I missed.

wilkinsw

A schematic of some kind would still be of value, at least to me. order #6012496 and order #6012498 in the above logs were for the same instrument and generated from two different charts. So why 0.7 seconds difference in sending the order to the plugin? Both had the same event trigger their calculat...

wilkinsw

As requested: Hello William, Our engineers have studied the logs from your PC for the orders in question. Here are the details of order generation and API replies with the time stamps with millisecond precision. All timestamps are Local time = correspond to your computer clock. PATS API replies (as ...

wilkinsw

Just to keep this thread up to date: Logs have been collected and there does appear to be an issue with the Patsystems wrapper. I'm informed that MC are now communicating with Patsystems to resolve the issue. In summary the issues that my colleague and I have experienced with the MC:Pats solution (o...

wilkinsw

Thanks Henry. So MC does confirm a fill on the orders in AA mode? It sure doesn't seem like it.. but I stand corrected. I'd really like to understand the paths that MC takes. Is there a flow chart or a quick description of them somewhere? I second that. Would absolutely love a schematic or just a b...

wilkinsw

Yes that is interesting.

But still safe to say that the London to chicago distance makes up a good chunk of that 1+second latency I experienced in my case study.

wilkinsw

1 full second is extremely bad latency. MC should process your orders within a few microseconds on your side of things. Although its the easiest to blame, I doubt its your machine. Your connection is almost always the issue. 1. Download PingPlotter to your trading machine 2. Find the relevant IPs f...

wilkinsw

If i were to hazard a guess (just a guess)..... I'm wondering if MC can't handle the high rate of refresh of my Pats feed?? Clutching at straws. But I get 10 refreshes per second across 5 ladders with market depth. Instead of maybe slowing down and skipping price action (on the ladder), it's like it...

wilkinsw

It's shared but I'm the only one currently system trading on it (it's brand new). Windows 2012 R2. Accessed via RDP (intranet or VPN). I won't go into details over security but the network is firewalled, the server's security is best described as minimal. Regarding the network, there are about 50 hi...

wilkinsw

I'm accessing a server remotely. The server belongs to us but is located in another office.

wilkinsw

I am now on a server and am still having issues with Patsystems through Multicharts. My Ram is now 8Gb instead of 4Gb. The CPU power is about 5x my old computer. However, currently I only have access to a fraction of that power. Still I'm rarely exceeding 40% CPU. Today, I experienced a hang on the ...

wilkinsw

Hi,

Thanks for that. I know I must be doing something wrong:

When I add your indicator using the ADX example in the code......It takes a while to load (that'll be the loop) but then all I get in the output is:

"execTime = 0.00000"

What have I done wrong?

wilkinsw

Ok Henry will do.

The live demo is possible should the ladders blank out. However the premarket period behaviour will have to be done with screenshots as you'll be closed.

wilkinsw

Yes. Thanks Henry, quite right: It would appear to be Ram related. As we speak I'm setting up my new server and will report back in a couple of weeks. Might be worth adding here that there has been issues surrounding GTC/GTD order support through Pats which Multicharts tell me they are investigating...

wilkinsw

Hi, Just wondering if anyone out there has experience in accessing the indicative opening price (IOP) on CME instruments during pre-open / premarket? I can see it on my Patsystems fed price ladder before the open. Just don't know how to access it in premarket from powerlanguage. Any experiences/idea...

wilkinsw

I don't know the exact details of my colleague's strategy. My strategy literally submitted a buy limit order for CL at 103.05. Submitted following the calculation of my code after the first tick after 1800 est / 2300 gmt on 02/03/2014. The time between the first tick and the offer exceeding 103.05 w...

wilkinsw

gpw797, thanks for sharing. Henry, if you could just confirm (or correct me) that the reason gpw797 might see a lag in their order showing up is due to the confirmation process needing to take place first between MC and the broker before that order shows up. But, critically, the order has already be...

wilkinsw

Thanks for the reply Henry. It's made a few things clearer. So what might look like latency is in fact a whole raft of confirmations going back and forth which make it appear to delay the order submission speed but, from what you say, it is probably taking milliseconds on Multicharts' end to calcula...

wilkinsw

I'd love some help from MC. Maybe some hyperlinks to other threads. My computer clock is now in synch with exchange time. I'm noticing that "generated" order column in the tracker is showing 1-2 seconds post the turn of time intervals for the submission of orders. Would anyone else out there care to...

wilkinsw

Great thanks MAtricks, very useful. I'll start investigating that now and post the results here. Additionally: My computer clock is 4 secs fast.....could that be an issue? I use IQfeed for the calculation of my signals which are submitted to Pats. Could not using Pats as the basis for calculation be...

wilkinsw

escamillo, I hope that is the case as it's easily rectified.

Would you care to elaborate. What are you running and with what latency or with what spare capacity? Or how was such a conclusion so obvious to you?

Thanks.

wilkinsw

Thanks TJ. I trade from a prop firm in London so our internet bandwidth (especially on a Sunday evening) is good. Unfortunately I had logs disabled as I was troubleshooting another issue I was having with MC. As you say, I suspect the high load of the market opening might be the cause of a small lag...

wilkinsw

Hi TJ, Please find attached my task manager. So from your response, you think that the latency I'm experiencing is indeed excessive (calculation to order hitting exchange)? I suspect I'm near the limit to whats advisable, performance wise, and am awaiting a move onto a server. But when I say near th...

wilkinsw

Hi, I'm noticing that it is often taking at least a second and on occassions nearer two seconds to get an order to market from the time the calculation is initiated. I use MC64 with Patsystems as my broker and IQ feed as my data vendor. I run about 17 live charts which on average run with about 5k b...

wilkinsw

TT API is the more widely used and more professional of the two but is far far more expensive. Pats is also used professionally. I use it and it's very cost effective (it's actually very cheap relative to TT). However I've been suffering with quite a few bugs whilst using it on MC 8.8 and no solutio...

wilkinsw

I'm running Windows Server 2008 64bit, MC 64bit, and MBT Pro with 2 gigs of ram. No issues here... Ever. http://www.photonvps.com/?aff=3198 I run it 24/7 without a disconnect or issue in the 6 months that I've been with them. The service with these guys is awesome. Have your server host reset your ...

wilkinsw

And I've tried this on two computers and still have the same issue.

wilkinsw

Hi, I've been suffering a very frustrating problem the last few days and would appreciate some help. I have been running a portfolio backtest consisting of 7 strategies. Multiple instruments and timeframes. Sometimes the performance report will produce a result that doesn't look right at all. Then i...

wilkinsw

Hi,

Would anyone like to recommend a quality, intraday (1min) pre 2008 data source for KC coffee futures? Ideally for CL WTI futures too?

Even better, does anyone have the data to share?

Many thank in advance for any help/suggestions!

wilkinsw

Hi,

As per your supported datafeeds section:

"To sign-up for the service, contact us and we will provide appropriate Thomson Reuters contact info."

I am interested in contacting Reuters for a quote.

Many thanks!

wilkinsw

Any ETA please? Literally sitting on my hands here. Could anyone advise on a 3rd party product that enables portfolio optimisation with bar magnifier that supports easylanguage?

wilkinsw

Hi, I wish to carry out an optimisation to find optimal inputs when applied to a basket of instruments. I do not want to optimise each constituent instrument individually (Don't want multiple strategies, instruments and signals). Therefore, the solution seems to be one strategy, multiple instruments...

wilkinsw

As a possible work around: If a strategy on a chart is restricted in the number of contracts in the same direction that it can go, under "strategy properties", to one order only, then...... If I use something like the strategy to broker synchronizer to send a corrective order in case of a rejected o...

wilkinsw

Thanks for your help TJ. Okay, I've spoken to my broker (Marex, front end Patsystems) and asked them to talk me through what they are seeing when my system submits stops and stop-limit orders. They tell me that my orders are being submitted directly to CME and reside there. Even when I turned my com...

wilkinsw

Yep, I get what you're saying. It's just the lack of any other detail that leaves me wanting. The MC literature (the table from the link you provided me) is clear in many respects: Some orders are "emulated locally" and some "supported on the brokers end". Very easy to understand. However I don't fi...

wilkinsw

I'll try again: 1) Executing orders through the Pats API: Will a) stops and b) stop-limits be executed with my MC based PC shutdown? 2) Under "Strategy properties", "Auto Trading", "Get real time data from...Broker....Chart": Will the selection of "chart" mean that my stop is triggered by a) chart I...

wilkinsw

Still waiting for answers.......please.

wilkinsw

Hi, Is there anyway to use powerlanguage to query the number of pending orders and/or flag up rejected orders? I've got a bug that I'm struggling to fix: If long and am working a stoploss that is sitting (by chance) a couple of prices in front of a sellshort entry level. Then if price blips through ...

wilkinsw

More answers please, if anyone would be so kind.

Please let me know if I have posted in the wrong place. I can't find answers to my questions anywhere in the MC literature.

wilkinsw

Thanks TJ. Henry, if you can, I'm seeking further answers to my questions above. Re stop-limit orders the above link states "Emulated in broker API". What does that mean exactly (it is the only one in table to state this)? Stops are natively supported by Pats. Would you expect a natively supported s...

wilkinsw

I've been auto trading for over a month now using Patsystems as my broker and IQ Feed for data. I'm currently running version 8.5 6850 and have been very happy with the platform in general. I'm seeking guidance on the mechanics of how orders are triggered and executed by Multicharts. I'm specificall...

wilkinsw

Ok thanks Henry.

The workspace in question may have been created using an older Multicharts 8.5. How do I convert older saved workspaces to newer builds?

wilkinsw

Thanks for the reply. However in the month with a -20,500 red striped bar, I never had a single trade go even close to being that far offside. So how are these bars calculated? I'm guessing it's an addition of all the max offside/onside values for all trades for the month. Ie. it's trying to depict ...

wilkinsw

Would anyone be kind enough to clarify what the striped bars represent in the monthly returns and drawdowns tab of the performance report. Please see attached. The striped bars seem far too large to represent run up or drawdown. The max intratrade drawdown for this strategy is $8700. Therefore why i...

wilkinsw

English (United Kingdom)

wilkinsw

TraderTC, the fix from post #107 is already included in MC 8.5 Release builds 6850/6851. It is recommended to install the latest build of MultiCharts to get all updates and improvements. I have build 6851. I've recently noticed many recent optimization report; performance report mismatches. Obvious...

wilkinsw

Hi, I discovered this morning that, on one chart, signals were not functioning correctly (e.g. missed trades when backtesting). All morning I've been trying to find the cause. I thought that maybe one of the "off" signals was interacting with the others but now know this is not the case. I copied an...

wilkinsw

Thanks,

And does "setstoploss" use the engine/broker entryprice in its calculation in AA mode and so may also differ from the chart?

wilkinsw

Hi, If autotrading in AA mode if using "setstoploss" and/or "setbreakeven", in the event of slippage on entry, will the stop be set using the entryprice as per the chart or the real executed entry price? I'm hoping the answer is the former as I want to replicate my backtests as closely as possible i...

wilkinsw

Thanks for the replies. I've coded a suitable workaround for reference by other Patsystems users that run into the same issue. By using "open next bar" you can turn a stop into a limit if your stop order is being rejected as its above (if exiting long) last traded price. @furytrader. My stop (variab...

wilkinsw

Hi, I have auto trading running and have encountered a rejected order (I use Patsystems, trade Euro FX on the CME): "sell order stop price must be below last trade price". This occurred when a stop was placed at entryprice on the open of next bar and price happened to be below entryprice on the open...

wilkinsw

Would anyone be kind enough to tell me how they would maintain their auto strategy's position if in SA mode and you need to temporarily switch the strategy off? Say I'm long at 1.2922 in Euro Fx with signal generated stops and targets in place. If I turn off the strategy, cancel orders (is this righ...

wilkinsw

Hi, I've just gone live and am auto-trading with Patsystems. I seem to be using over the top amounts of memory (please see attached) and was wondering whether this is a known issue or if I have my settings wrong. I use MC64 version 8.5 Build 6851. I have 2 charts open: 1) 60min, 7 years, @EU#c from ...

wilkinsw

Sorry, I was being lazy and should've elaborated on my "24/7" setting. When I said 24/7 I've actually created a custom session template that takes the CME FX futures session (ie starting Sunday at 1700 to Monday at 1600 and so on) and changed it to Sunday 1700 to Monday 1659 and so on up to Sunday a...

wilkinsw

In fact, looking through the TS data now I can see that sometimes the data starts earlier on the Sunday when in 24/7 session mode vs. the standard Eurex session seetings.

wilkinsw

I use both TS and IQFeed. Taking IQFeed for example: If you put the default session (ie close at 1600 open at 1700) then everything looks okay. However, if you put in 24/7 settings you will see that going far back in history (2001+) , that this default session misses out some data that seems to aris...

wilkinsw

Would anyone like to share the session settings they use on CME's Euro FX contract. I'm not entirely convinced my settings are right: "use symbol dictionary session" gives very weird candles with 20 min past the hour closes on a 60min chart. "Use exchange and ECN's sessions": is this the right one? ...

wilkinsw

I think I may have solved this but please feel free to comment: If I run separate chart strategies in AA mode I can see that I can be long and short at the same time in the same instrument with the desired net position. Obviously AA mode runs the risk of an async event. However, I've coded a global ...

wilkinsw

Hi, Am I right in assuming that if a have two strategies running on the same instrument then: A signal to short 2 contracts, if currently long 4 contracts from another strategy, will result in being short 2 contracts rather than being long 2 and closing out my 4 lot long position? In other words, th...

wilkinsw

Using Demo mode.

My Pats account should be up and running middle of next week, so can test it on a demo account then.

wilkinsw

Any news?

I still have this issue. As I said, I'm only testing on the demo account with Pats.

wilkinsw

Hi, I'm just testing my strategy in autotrading mode using Pats in demo mode. The stop limit entries are not working. My entries are "buy at x stop x+10 limit". So that it is effectively a market order but with limits. When the stop price is traded nothing happens. I've also placed manual stoplimit ...

wilkinsw

I'm still seeking further clarification with regards to how multicharts defines a stop order. I'm reading a lot of posts that mention unfilled stop orders. If I have a buy stop in the Bund at 146.00: if price was trading below then moves up and touches 146.00 I'd expect MC to immediately issue a mar...

wilkinsw

How is it even possible to have an unfilled stoploss if the stoploss price is touched by the broker's data? Even in ASync mode, price hits stop, then if a stoploss, this will only ever be a stopmarket type order ie a vitually guaranteed fill. If the broker's data did indeed hit the stop price and th...

wilkinsw

Thanks for your reply. In SA mode how is an unfilled/unexecuted order defined? I understand that in AA mode if the chart says filled but isn't at the broker then the the strategy can convert the unexecuted order to a market order after x seconds. However in SA mode the chart won't say filled until t...

wilkinsw

Hi thanks for the reply. I've had a good look for the answers to my questions and haven't found the conclusive answers I'm after. Not saying they are not there, just haven't found them. As you say an option is just trial and error execution on a sim. Re your reply. I don't want to limit number of en...

wilkinsw

Additionally,

Are any values updated intrabar when live without IOG (e.g. marketposition, entryprice, marketposition at broker etc)?

What does "recalculate on broker events" actually change without IOG?

wilkinsw

Hi, If i code: If "marketposition<>MarketPosition_at_Broker_for_The_Strategy then" in the strategy. When will this be calculated with no IOG? If I turn on the "recalculate on broker events" option does this effect when the above is calculated with no IOG? Ie is it possible to calculate this intrabar...

wilkinsw

Also:

If IOG mode is off:

In the space of one 60min bar (intrabar) is it possible to enter long on a stop, get stopped out on a setstoploss order, then reenter at the original stop long entry? Or will it only attempt the long once?

wilkinsw

If I'm trading in AA mode and for whatever reason my stop entry order isn't filled at the broker, will my setstoploss order still be active? Ie if my long order is not filled but my chart thinks I'm long, will the broker still execute as per my chart triggered setstoploss rules leaving me incorrectl...

wilkinsw

Is it possible to have an optimization running and Autotrade at the same time?

wilkinsw

Hi, I have looked on the forum and can't find the answer to what is probably a very basic question: does selecting ascending vs descending order in the GA properties tab effect the way the algorithm evolves through the optimisation space? Or, is this just for displaying the results? If it does effec...

wilkinsw

wilkinsw

Hi, I have no issues with the maxbarsback setting, currently set at 4000 bars on a 60min chart that goes back about 8 years. However, the maxbarback error message comes up, for my strategy, as soon as I turn on IOG. with Bar magnifier alone, it works fine. It's seemingly just IOG. The error message ...

wilkinsw

If I use "setstoploss":

If I get stopped out on the bar of entry is it possible for the strategy to then reenter if price then returns to the stop entry price (if all this happens in the same bar)?

wilkinsw

Can you show me how I can use IOG to execute the following sell exit orders intrabar: /////////////// If Marketposition=1 then begin lstop=Maxlist(lowerband,(entryprice-(stopf))); llimit=entryprice+(targetf); sell from entry ("masterl") next bar at lstop stop; sell from entry ("masterl") next bar at...

wilkinsw

Hi, I've been reading the section on

"Understanding Automated Trade Execution"

It states that a benefit of AA mode is that unexecuted orders can be converted to market orders to help ensure a fill in an effort to replicate chart fills similar to those on the chart.

Can you not do this with SA mode?

wilkinsw

Can I just check my assumption is true: If in SA mode for autotrading will "entryprice", in a strategies code, return the actual filled price from the broker (with slippage etc) and NOT the theoretical stop/limit price assuming best fill? If in AA mode will "entryprice" only refer to the best fill c...

wilkinsw

Great thanks.

Alternatively if used the function under "strategy properties...Auto Trading":

Recalculate on Broker Events ....... Market position change....order filled.

Would this allow me to create a stop immediately after a fill (on the same bar) without the need for IOG code?

wilkinsw

Has this simulator account mode in MC come to fruition yet?

wilkinsw

Great reply thanks. Didn't know the solution for executing a stop like that was so simple.

I'll just wait for confirmation now from MC that this is what they meant re converting a stop order to a market order.

wilkinsw

Hi, I'm currently researching automation of my strategy and am confused over MC's definition of a stop order. Under strategy properties, Auto Trading, Unfilled Strategy Order Replacement: "Convert unexecuted limit/stop entry orders to market morders after x seconds". How to you define a stop order? ...

wilkinsw

Hi, the following is my exit code for a strategy that uses stop orders to get in on breakouts: //"lowerband" and "upperband" corresponds to trailing stop code If Marketposition=1 then begin lstop=Maxlist(lowerband,(entryprice-(stopf))); llimit=entryprice+(targetf); sell from entry ("masterl") next b...

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