MultiCharts registering prices that were never hit

Questions about MultiCharts and user contributed studies.
WTSchamp
Posts: 2
Joined: 05 Oct 2013

MultiCharts registering prices that were never hit

Postby WTSchamp » 05 Oct 2013

We created a scalping strategy that executes limit order trades based on ridged rules. When the trade is entered a stop order target and a limit order target is executed as well. MultiChart's exhaustive Optimization testing shows the strategy as being nicely successful (both using DTN & Zenfire for data) but once we connect it to Zenfire's live trading platform the performance isn't the same. We tore the data apart and found that each trade that lost money in Zenfire was registered as a winning trade in MultiCharts. On top of that the data's time and sales tape shows that after the execution of the trade entry, the specific trade target was never reached even though MultiCharts shows that it was reached. Many times the price MultiCharts is showing was reached is no where close to being reached. This is being confirmed from two separate data sources, DTN & Zenfire regarding the exact times the trades were triggered.

Could you please look into this and fix this HUGE bug? This totally destroys our confidence in optimizing any limit order strategy using and MultiCharts. Thank You.

SP
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Re: MultiCharts registering prices that were never hit

Postby SP » 06 Oct 2013

For scalping strategies you probably need to enable all options under
Strategy Properties -> Backtesting
-> Backtesting Mode -> Extended with Bid/Ask
-> Backtesting Precision -> Use Bar Magnifier -> 1 Tick
Enable acces to intra-bar time ... checked
-> Backtesting Assumptions -> Fill limit oder when trade price goes beyond limit price by xx points, that depends how much contracts you trade and if you move the order book in a thin market with your orders or not.

And you need [IntrabarOrderGeneration = True]; in your strategy, depending on your order style.

WTSchamp
Posts: 2
Joined: 05 Oct 2013

Re: MultiCharts registering prices that were never hit

Postby WTSchamp » 06 Oct 2013

Everything you mentioned is already turned on.

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Henry MultiСharts
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Re: MultiCharts registering prices that were never hit

Postby Henry MultiСharts » 11 Oct 2013

Hello WTSchamp,

1) What exact version and build number of MultiCharts are you running? (in MultiCharts go to Help tab-> About)

Please send me (support@multicharts.com) the following information for further investigation:
2) workspace you are using;
3) 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;
4) 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.

5) Please attach a detailed problem description and highlight the problem on the screenshots.

If the file size is >10 mb please upload it to any file sharing hosting and send me the download link.

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furytrader
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Re: MultiCharts registering prices that were never hit

Postby furytrader » 15 Oct 2013

On top of that the data's time and sales tape shows that after the execution of the trade entry, the specific trade target was never reached even though MultiCharts shows that it was reached.


Are you saying that the data source you're using for historical backtesting purposes is not showing the price level as being hit and so MultiCharts is making a fill out of thin air? In other words, even though the price data does not show a particular price being traded at the time MultiCharts shows a fill, that MultiCharts is still showing a fill at that price?

hilbert
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Re: MultiCharts registering prices that were never hit

Postby hilbert » 18 Oct 2013

I Am following this topic keenly. Any updates what happend? Did the problem get resolved?

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Henry MultiСharts
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Re: MultiCharts registering prices that were never hit

Postby Henry MultiСharts » 22 Oct 2013

The user has not provided the requested information yet.


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