Order Execution Issue

Questions about MultiCharts and user contributed studies.
kenlionheart
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Joined: 10 Apr 2013

Order Execution Issue

Postby kenlionheart » 13 Jun 2013

Hi

I have an issue with automated trading.

I made a strategy with a Renko chart on 5 min.

I put the back testing to extended and inserted the ask and bid data for better back testing results.

The problem is that when I open the same strategy on a new worksheet, one is auto trading and one is calculating in real time, they place buy and sell signals at different places on the chart.

So I put sub charts with 1 tick ask and bid data, modified the strategy to place Limit orders at Ask and Bid prices at sub charts 2 and 3 (ask and bid).

Even with 1 tick bid and ask data, the auto trading chart and the real-time calculating chart still place orders at different points on the chart... the difference is like 15 cents on a $50 equity... which is a lot.

What should I do?

Is there a solution? Should I switch to a slower chart?

Thanks :)

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Henry MultiСharts
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Re: Order Execution Issue

Postby Henry MultiСharts » 14 Jun 2013

Hello kenlionheart,

Please refer to the following articles:
Intra-Bar Order Generation, Bar Magnifier on Non-Standard Chart Types
Why Identical Charts Are Showing Different Strategy Trading Results
Also make sure you know how Renko bars and options for them work.

kenlionheart
Posts: 3
Joined: 10 Apr 2013

Re: Order Execution Issue

Postby kenlionheart » 17 Jun 2013

Hi Henry, thanks for the links.

I had used Andrews explanation to set the auto trading chart and the real-time chart to start at the same bar. E.g. I set the auto trading chart to reference 50 bars, and the real-time chart to reference 47 bars - so that they start calculating from the same bar.

Also, this strategy I made does not use IOG, so it's disabled for back testing and trading.

I'm using this code (Data 2 and 3 are tick by tick subcharts of ask/bid data):

If Condition1 then Buy next bar at close of data2 Limit;
If Condition2 then SellShort next bar at close of data3 Limit;
End;
If Mom=True then begin
If Condition3 then Buy next bar at close of data2 Limit;
If Condition2 then SellShort next bar at close of data3 Limit;


However, I am still having orders placed at different prices. What's confusing is that I'm using limit orders to execute based on tick by tick sub charts of ask/bid, and both charts are placing orders at the same time, but at different prices.

Could this have anything to do with my IB data feed?

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Henry MultiСharts
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Re: Order Execution Issue

Postby Henry MultiСharts » 18 Jun 2013

Hello kenlionheart,

Please send me (support@multicharts.com) the following information for further investigation:
- workspace you are using;
- in QuoteManager select the symbol you are using, make a right click on it->Export data->Export instrument (with data). Send me the Qmd export file for analysis;
- in PowerLanguage editor->File->Export->Export with dependent functions the studies you are using in the workspaces you are providing. Send me the study export file.

Please highlight the problem on the screenshots and specify the version and build number of MultiCharts you are using (Help->About).

StratMan
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Re: Order Execution Issue

Postby StratMan » 19 Jun 2013

Having a similar problem (very simple strategy on range bar chart with bid&ask data), thank you Henry to report the answer of this problem on the forum, so I can benefit.

kenlionheart, FYI I have the issue with MB Trading data feed+broker and with iqfeed.fxcm data+fxcm broker...


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