some general question about using MS and automate order execution

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auato
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some general question about using MS and automate order execution

Postby auato » 21 Feb 2017

I would like to tell you some strange some weird things happened yesterday.
I have 3 different trading system (already backtested and optimized by MC) and now I am arranging to turn them on ("live") through my broker (webank).
To automate the order execution I am using the Portfolio Backtest application like below:
Capture_20Feb_3_small.jpg
portfolio_strategies
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As you can see all trading systems run on the same instruments (MINI7C): two of them with the same time resolution (5minutes) and another one with the hourly resolution (but the hourly resolution is coming from the 5 minutes basis and I only aggregated from the 5 minutes into hour).
I also created two different file charts (Desktops)>
  • In the first Desktop I have two Workspaces with the same instrument at 5 minutes resolution in which I add my 5min. signals (each for a dedicated workaspace)
  • In the second desktop I only have one Workspace with the same instrument at 1 hour resolution and in which is running the signal for hourly trading.
The first strange thing I noticed is that I also found all signals coming from Trading system 5 minutes into the hourly chart and viceversa (maybe when I created the hourly chart I copied and renamed the 5 min. file and then I changes inside the signal and the time resolution).

The second strange thing happened yesterday is about some anomalous and inexpicable entries which I didn’t completely understand but I think produced by the hourly tranding system (I didn't understand pefectly because they are labeled as "Manually Trading")so now I am wondering if I can use an hourly trading system over data aggregated hourly but based on 5 minutes granularity. My fear is that even if I see the bar aggregation in hours, in the reality my hourly TS is running over 5 min.


Thank you,
auato

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TJ
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Re: some general question about using MS and automate order execution

Postby TJ » 21 Feb 2017

Please go to wiki and look for this article:

Trading from Multiple Charts on One Instrument

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Angelina MultiСharts
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Re: some general question about using MS and automate order execution

Postby Angelina MultiСharts » 21 Feb 2017

Hello auato,

First of all, here is the article I'd strongly recommend reading: https://www.multicharts.com/trading-sof ... Instrument

Your charts will display all the trades for the chart symbol from OPT, disregarding the chart resolution or the strategy applied.
Strategy is calculated based on the resolution of the data series, it cannot use the non-aggregated resolution. If you're unsure why certain orders were placed, please print the outputs of your strategy. Here is an example: https://www.multicharts.com/trading-sof ... t_Executed

auato
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Re: some general question about using MS and automate order execution

Postby auato » 21 Feb 2017

Thank you Angelina and TJ.

I read the useful article https://www.multicharts.com/trading-sof ... Instrument and now other aspects on how MC works on the same instrument are clearer. But not so clear about different resolutions.
Your charts will display all the trades for the chart symbol from OPT, disregarding the chart resolution or the strategy applied.
But it is only a graphical representation, I guess.
At this point this means that is totally meaningless to have three different charts with different time resolutions and each different strategy applied, isn't it? I can use the same chart with all strategies applied together and the resolution at 5 minutes.
On that single chart I can push the SA button on the top left corner to activate the Sync Automate order execution.
But in this case, pushing SA button on this single chart, how does the hourly strategy (see in the picture above, it's called "Tempesta") run? I presume it will run based on the five minutes bars and not hourly.

And what's about the "Automate order Execution" button in the Portfolio trader application (I mean not in the chart)? In this case in the Portfolio Trader application I have to specify separately in the Portfolio Tree on the left side the resolution for the instrument for each strategy (and, as you can see, for Tempesta I specified that the aggregation will be 1 hour). This should be disregarding the graphical representation on the chart.
Strategy is calculated based on the resolution of the data series, it cannot use the non-aggregated resolution.
Sorry Angelina, what does it mean? The data series provided by the broker like MINI7C I suppose is a 1 minute native series but my strategies calculate their orders to enter and to exit on 5 minute and 1 hour aggregated bars.

Thank you again,
auato

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Angelina MultiСharts
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Re: some general question about using MS and automate order execution

Postby Angelina MultiСharts » 22 Feb 2017

But it is only a graphical representation, I guess.
Yes, it is only the graphical representation. Even if you do not apply any signals to the chart, but your Broker Profile is selected on Chart Trading Panel, you will still see all the orders from Order and Position tracker.
At this point this means that is totally meaningless to have three different charts with different time resolutions and each different strategy applied, isn't it? I can use the same chart with all strategies applied together and the resolution at 5 minutes.
If there are multiple signals applied to a single chart, then those will be treated as a single strategy.
Meaning, for example, that the orders generated at one strategy calculation will be sent as an OCO-group. One Cancels Other (OCO) orders are the price orders sent in a group. When any of OCO orders is filled or partially filled, the system cancels or reduces size of other orders in this OCO-group.
With this setup there can also be an issue with several entry orders sent by different strategies.

If the strategy is applied to a 5-minute chart, it will be calculated on a 5 minute data. If it is applied to 1-hour data-series, all the calculations will be based on this chart resolution. It will not use any other resolutions, unless you specifically refer to another data series from your script. And in this case it has to be added as Data 2 in Portfolio, or second data series on a chart.

For Portfolio Trader, as you already said, you need to specify the resolution for each strategy.

auato
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Re: some general question about using MS and automate order execution

Postby auato » 23 Feb 2017

If there are multiple signals applied to a single chart, then those will be treated as a single strategy.
Meaning, for example, that the orders generated at one strategy calculation will be sent as an OCO-group. One Cancels Other (OCO) orders are the price orders sent in a group. When any of OCO orders is filled or partially filled, the system cancels or reduces size of other orders in this OCO-group.
With this setup there can also be an issue with several entry orders sent by different strategies.
so, my understanding is that it's better to adopt each signal separately in different charts, right? In this case I can avoid confusion and issues.
If the strategy is applied to a 5-minute chart, it will be calculated on a 5 minute data. If it is applied to 1-hour data-series, all the calculations will be based on this chart resolution. It will not use any other resolutions, unless you specifically refer to another data series from your script. And in this case it has to be added as Data 2 in Portfolio, or second data series on a chart.
Okay, now I am testing each signal separately.... each signal is running on a dedicate chart with its specific required resolution and using the SA modality. When I will be confident for all signal tested separately, can I open the three charts with its own signal loaded and push for each chart the SA button? In that car I will have three charts open with Sto arrivando! mode activated. Or is it preferred to use the Portfolio trader to use together simultaneously?

Thank you,
auato

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Angelina MultiСharts
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Re: some general question about using MS and automate order execution

Postby Angelina MultiСharts » 24 Feb 2017

so, my understanding is that it's better to adopt each signal separately in different charts, right?
Yes, it is a much better approach in my opinion.
can I open the three charts with its own signal loaded and push for each chart the SA button?.. Or is it preferred to use the Portfolio trader to use together simultaneously?
It is the matter of personal preferences, both setups should have a similar behavior. But please note that there's no IOG in Portfolio, so if you want to trade intrabar, I'd recommend trading from the chart.

auato
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Re: some general question about using MS and automate order execution

Postby auato » 28 Feb 2017

Thank you Angelina, I will try and I'll let you know as soon as possible. I decided to start by a single signal running on a single charts in Sto arrivando! mode and verify before if every single signal will run correctly. The next step will be to work with two or three signals simultaneously on the same instrument. Can I operate with more signal in SA mode simultaneously on the same instrument/symbol with Webank? I read in thsi discussion forum about some compatibility issues not yet solved with webank.

Regards,
auato


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