whether using bar magnifier affect limit order and stop order or not

Questions about MultiCharts and user contributed studies.
jacksionane
Posts: 3
Joined: 16 Oct 2017

whether using bar magnifier affect limit order and stop order or not

Postby jacksionane » 18 Oct 2017

i wonder if using bar magnifier has any influence upon limit order, stop order and other order under the condition of disabling intra-bar order generation. the experiment showed below is what i found recently through removing the high price of bar of date being 1171016 and time being 11:24 from quotemanager. the phenomenon below can be found in any bar you want to test.

a. the script of signal test1 is showed just below.
once cleardebug;
if date=1171016 and time=1123 then
buy next bar at 3789 stop;
{the bar of date being 1171016 and time being 11:24 has open price 3783, high price 3789, low price 3781, close price 3787, and the minmove is 1 and the pricescale is 1 as you see in the following picture.}

b. whether i use bar magnifier or not does not affect the result that the stop order will finish at high price 3789. but if i remove the high price 3789 from quotemanager showed in fig1. removing high price 3789 and backfilling, and using bar magnifier, then the stop order does not finish in the next bar showed in fig2. after removing high price.

c. this part following part b immediately. if we replace the test1 script by the following script as follows
if date=1171016 and time=1123 then
buy next bar at 3788 stop;

d. after modifying script, we remove all price equal to and above price 3788 from quotemanager as part b, and backfilling, and using bar magnifier, then the stop order finish as 3788; even though we remove all price value of that bar from quotemanager, the stop order actually finish at price 3788.

all four part, a,b,c,d illustrated above are just a case, you can use limit order and other order to test in any bar through the procedure above which confused me. actually i wonder to know whether these phenomenon are rational or not; if they are rational, thank you for your illustration for the principle underlying these phenomenon.

Attachments
fig2. after removing high price.png
fig2. after removing high price.png (46.85 KiB) Viewed 159 times
fig1. removing high price 3789.png
fig1. removing high price 3789.png (167.51 KiB) Viewed 159 times

User avatar
Henry MultiСharts
Posts: 8508
Joined: 25 Aug 2011
Has thanked: 1213 times
Been thanked: 2733 times

Re: whether using bar magnifier affect limit order and stop order or not

Postby Henry MultiСharts » 20 Oct 2017

Hello jacksionane,

You can study how signals are calculated and orders are filled in MultiCharts at the following page:
https://www.multicharts.com/trading-sof ... Calculated
As for your tests - make sure you edit the minute bars data as well (if you have it in your database) in step "b".
You need to restart all platform processes after you have removed the data in step "d".

jacksionane
Posts: 3
Joined: 16 Oct 2017

Re: whether using bar magnifier affect limit order and stop order or not

Postby jacksionane » 23 Oct 2017

of course not, because minutes data and tick data does not affect each other and they can be received from different broker, which means that if we remove and modify the tick data, the minute data are not affected at all.

jacksionane
Posts: 3
Joined: 16 Oct 2017

Re: whether using bar magnifier affect limit order and stop order or not

Postby jacksionane » 23 Oct 2017

i post this topic, since backtesting performance under the condition of bar magnifier enabled and intra-bar order generation order mode disabled is different from that under the condition of bar magnifier disabled and intra-bar order generation order mode disabled. the phenomenon mentioned is caused by highest tick price within one minute bar is different from high price of the same minute bar. further more, when i edit the quotemanager to make sure that the highest tick price within the minute bar is the same as high price of the minute bar, backtesting performance under the condition of bar magnifier enabled and intra-bar order generation order mode disabled is the same as that under the condition of bar magnifier disabled and intra-bar order generation order mode disabled.
thank your for your detailed reply


Return to “MultiCharts”