data1, data2 different time zone - how to setup

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FutureTrader
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data1, data2 different time zone - how to setup

Postby FutureTrader » 05 Sep 2014

I'd like to convert my strategies from TS to multicharts so I can autotrade them with IB, but I have problems setting up the charts correct. I'm not a newbie, but guys I need your help :)


I have the following chart setup in TS:
Data1: @ES - Regular Session (Sunday 17:00 - Monday 16:15 ...)
Data2: $VIX.X - Regular Session (Monday 08:30 - Monday 15:15 ...)
Data3: $TRIN - Regular Session (Monday 09:31 - Monday 16:00 ...)
Time Zone: Local
Time Frame: Daily

Having data1, data2, data3 in TS in one chart, the candles are all lined up horizontal correct. And my strategies are working fine with - Buy this bar on close, Buy next bar, Exit at EOD ...


But I don't get it how to setup the charts to get the same results in Multicharts. I've been in the live chat for some hours, but the solution is still not found (or I don't get it ...).
So here are my settings in MC:
Data1: @ES - Default Session (Sunday 17:00 - Monday 16:15 ...), Session Time Zone: Exchange
Data2: $VIX.X - Default Session (Monday 08:30 - Monday 15:15 ...), Session Time Zone: Exchange
Data3: $TRIN - Default Session (Monday 09:31 - Monday 16:00 ...), Session Time Zone: Exchange
Time Zone: Local
Time Frame: Daily

Having data1, data2, data3 in multicharts in one chart, the candles aren't lined up horizontal. And my strategies aren't working, as they are delayed with the entries. See attachement1.


So the live chat suggests, that I should use individual sessions, which would setup my charts correctly. I tried many different individual session templates, but I didn't get any setup which worked.
One more thing I learned in the chat was:
A: All the charts should use the same sessions.
A: If you want a individual session for a symbol, set the same for all the chart for this symbols.
Me: wow I didn't knew that, that MC cannot handle different sessions for a symbol on different charts ...
A: This is true for daily bars only.
A: Or, alternatively, you can seelct the option to build them from minutes.
-------------------------------------------------------------------------


So how should I setup my charts, if I'm using the following data series:
chart1:
data1: @ES
data2: $VIX.X
data3: $TRIN

chart2:
data1: @FDAX -- this one not ending on the same time like @ES
data2: $VIX.X
data3: $TRIN




It would be great if you could share your session templates for trading @ES, $VIX.X, $TRIN on daily base on a chart. @ES is chicago time zone, $TRIN is new your time zone ...
Attachments
mc.data1.data2.data3.png
attachement1
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Alex MultiCharts
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Re: data1, data2 different time zone - how to setup

Postby Alex MultiCharts » 05 Sep 2014

Hello,

As you are using daily bars and instruments with Exchanges with different Time Zones, the following steps should help:

1. Set the charts how you want them, change the daily chart session settings to 24/7. Right click on the chart -> Format instruments -> settings tab. Save the workspace.

2. You should not have other charts opened for the same instrument, as when you want to apply custom sessions for daily charts, the sessions should be identical for all the charts for the same instrument. So, it is better to close all the workspaces before moving to step 3.

3. If you are saving TS data in the local database, then once daily bars are received with the default sessions, they are saved in MultiCharts database and are not always replaced after reload, it will be necessary to clear cache and delete Daily data plotted on the chart for the symbols that you need.

4. Make sure that 24/7 session template has Local Time Zone selected in QuoteManager -> Tools -> Exchanges and ECNs.

5. Open the saved workspace with the charts you need -> press CTRL+R on each chart, if they are separate charts, not sub-charts.

If you still experience any difficulties, please come to our Live Chat Mon-Fri from 6:30 AM to 1 PM EST so we can help you: http://messenger.providesupport.com/mes ... pport.html

FutureTrader
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Re: data1, data2 different time zone - how to setup

Postby FutureTrader » 05 Sep 2014

Hello,

As you are using daily bars and instruments with Exchanges with different Time Zones, the following steps should help:

1. Set the chart how you want them, change the daily chart session settings to 24/7. Right click on the chart -> Format instruments -> settings tab. Save the workspace.

2. You should not have other charts opened for the same instrument, as when you want to apply custom sessions for daily charts, the sessions should be identical for all the charts for the same instrument. So, it is better to close all the workspaces before moving to step 3.

3. If you are saving TS data in the local database, then once daily bars are received with the default sessions, they are saved in MultiCharts database and are not always replaced after reload, it will be necessary to clear cache and delete Daily data plotted on the chart for the symbols that you need.

4. Make sure that 24/7 session template has Local Time Zone selected in QuoteManager -> Tools -> Exchanges and ECNs.

5. Open the saved workspace with the charts you need -> press CTRL+R on each chart, if they are separate charts, not sub-charts.

If you still experience any difficulties, please come to our Live Chat Mon-Fri from 6:30 AM to 1 PM EST so we can help you: http://messenger.providesupport.com/mes ... pport.html

Alex,
thanks for your quick answer. With your configuration suggestion I can plot the chart correct.
But I'm really not sure, how this affects my strategies, which are working on exit at session end etc. ...
Saving the data on local timeframe, doesn't handle summer/winter time ...
This is just handled if saved on exchange base ...


I'm really interested how other traders are solving this problem, with daily bars on new-york and chicago time-zones and applied strategies ...

FutureTrader
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Re: data1, data2 different time zone - how to setup

Postby FutureTrader » 10 Sep 2014

I'm really interested how other traders are solving this problem, with daily bars on new-york and chicago time-zones and applied strategies ...
It would be helpful to get some response as I'm stuck in my developing process :)

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TJ
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Re: data1, data2 different time zone - how to setup

Postby TJ » 10 Sep 2014

I'm really interested how other traders are solving this problem, with daily bars on new-york and chicago time-zones and applied strategies ...
It would be helpful to get some response as I'm stuck in my developing process :)
My suggestion:

Make a chart for each timezone/session...

use GlobalVariables to pass information between them.

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Alex MultiCharts
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Re: data1, data2 different time zone - how to setup

Postby Alex MultiCharts » 11 Sep 2014

But I'm really not sure, how this affects my strategies, which are working on exit at session end etc. ...
As 24/7 sessions required to be used on the chart in order to have the bars aligned and the instruments are from different Time Zones, you will need to utilize the actual session start and end time values from QuoteManager:
https://www.multicharts.com/trading-sof ... ionEndTime
https://www.multicharts.com/trading-sof ... nStartTime

As daily bars are used - you will need to use Bar magnifier and IOG in order to take into account the prices within the bar in backtesting. In order to access the time values of detailed (Bar magnifier) data series you can use datetime_bar_update(data_stream). In realtime you can use computerdatetime.
https://www.multicharts.com/trading-sof ... bar_update
https://www.multicharts.com/trading-sof ... erDateTime

lbottan
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Re: data1, data2 different time zone - how to setup

Postby lbottan » 23 Nov 2015

Hi,
i am having same issue porting a strategy with data2 and data3 from TS to MC.

Is this the only way?

So I should enable IOG and send orders at market closure time?

This should work in realtime automation and backtest as well?

any other simple solution?

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Alex MultiCharts
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Re: data1, data2 different time zone - how to setup

Postby Alex MultiCharts » 23 Nov 2015

Is this the only way?

So I should enable IOG and send orders at market closure time?

This should work in realtime automation and backtest as well?

any other simple solution?
1. Yes. Please refer to the post above.
2. Yes, if you do what is recommended in the previous post.
3. No, there are no simpler solutions.

lbottan
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Re: data1, data2 different time zone - how to setup

Postby lbottan » 23 Nov 2015

Hi Alex,
thanks for reply.

I have few questions that maybe can help also other users.

In my chart i have

data1: VXX, data2: $VIX.X, data3: $VXV.X

-should i set 24/7 in all three (sub)charts? Or only data1?
-if i have other workspaces with other strategies on VXX and normal session .. is this solution compatible or this will influence also these other charts?

my strategy today checks conditions in data1-2-2 and use buy/sell next bar.

Can you help me how to use SessionEndTime, SessionStartTime, datetime_bar_update and ComputerTime with IOG?

I am sure this has been already touched and I would like to avoid the hot water discovery a second time.

This would work with both backtest and automation?

Thanks a lot for you help to the community.


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