ICEUS automated trading issue for Coffee with IB and TS different multiplier

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bszabo825
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ICEUS automated trading issue for Coffee with IB and TS different multiplier

Postby bszabo825 » 11 Aug 2019

Hi,

I'm using TS datafeed with IB as the broker. Trying to trade ICEUS futures symbols like Coffee (KC).
Symbol mapping is properly done I checked, as manual chart trading works properly and enters position.

When I switch on the Automated trading then none of the stops or trailing stops are working. This problem is only a problem with ICEUS symbols.

What I could figure out is that it seems there is price multiplier issue between TS and IB, and there is 100 multiplier as TS uses USD and IB is using cents.

Is there any workaround? What setups do I have to change in order get the automated trading properly running without hard coding the multiplier in the strategy?

Would appreciate some support here.

Thanks,
Barnabas

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Henry MultiСharts
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Re: ICEUS automated trading issue for Coffee with IB and TS different multiplier

Postby Henry MultiСharts » 12 Aug 2019

Hello Barnabas,

You need to add the price multiplier (*0.01) to the end of the description of the TS symbol in QuoteManager to adjust the price values and make them match the broker's instrument (IB).
Once that is done you need to close and re-open all workspaces that are using this instrument.
You also need to disconnect the IB broker profile, go to the symbol mapping, delete all lines using this instrument.
Then add the symbol mapping for this instrument.

bszabo825
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Re: ICEUS automated trading issue for Coffee with IB and TS different multiplier

Postby bszabo825 » 12 Aug 2019

Hello Barnabas,

You need to add the price multiplier (*0.01) to the end of the description of the TS symbol in QuoteManager to adjust the price values and make them match the broker's instrument (IB).
Once that is done you need to close and re-open all workspaces that are using this instrument.
You also need to disconnect the IB broker profile, go to the symbol mapping, delete all lines using this instrument.
Then add the symbol mapping for this instrument.


Hello Henry,

Thank you very much for the prompt reply. Can you let me which field you mean? In the futures tab in the symbol root or where?
Or should I adjust the scale setting and Big point value? Could you send some pictures that I can use as an example?
I have attached what I can see as available. After this I will take the steps as you mentioned.

Thanks,
Barnabas
Attachments
Coffee_Quote_Manager_Settings.png
(135.48 KiB) Downloaded 226 times
Coffee_Quote_Manager.png
(135.69 KiB) Downloaded 226 times

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Henry MultiСharts
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Re: ICEUS automated trading issue for Coffee with IB and TS different multiplier

Postby Henry MultiСharts » 13 Aug 2019

Barnabas,

In the Edit Symbol window (on your second screenshot) you need to add *0.01 to the end of Description, so that it becomes Coffee C Continuous Contract [Mar19]*0.01. You will need to adjust the Price Scale and Big Point Value accordingly (1/10000 and 37500).

bszabo825
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Re: ICEUS automated trading issue for Coffee with IB and TS different multiplier

Postby bszabo825 » 29 Sep 2019

Dear Henry,

Thanks for the feedback. I was checking the setup what you have recommended. However I have still issues. The backtesting and strategy results are completely different on simulation then before. I have in the strategy stop loss and profit targets and also dollar trailing. It seems they are not calculated properly. Is there anyway that I can keep the TS price scale adjust the profit targets / stop loss / dollar trailing and divide them by hundred? In that case the real trading will be ok, but the performance report will be wrong? Would appreciate a help here, before I go live, I would like to understand the mechanism. Maybe I will hard code this things in the strategy itself.

Thanks,
Barnabas

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Henry MultiСharts
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Re: ICEUS automated trading issue for Coffee with IB and TS different multiplier

Postby Henry MultiСharts » 11 Oct 2019

Hello Barnabas,

MultiCharts is rounding the order price based on the chart instrument's price scale.
Therefore, to send the orders from TS symbol to IB instrument, your TS symbol price and settings should match IB price format, otherwise the order will be rejected by the broker.
This means you need to use the price multiplier and configure TS symbol accordingly. You will also need to update your code or the inputs for it to comply with the new settings.
Alternatively you can still use IB symbol on your chart to send orders to IB.

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Re: ICEUS automated trading issue for Coffee with IB and TS different multiplier

Postby tonyt » 17 Aug 2022

Hello Barnabas,

MultiCharts is rounding the order price based on the chart instrument's price scale.
Therefore, to send the orders from TS symbol to IB instrument, your TS symbol price and settings should match IB price format, otherwise the order will be rejected by the broker.
This means you need to use the price multiplier and configure TS symbol accordingly. You will also need to update your code or the inputs for it to comply with the new settings.
Alternatively you can still use IB symbol on your chart to send orders to IB.
if a code says: buy next bar at highest(high,nbars) stop; what would I need to adjust here, or is there anything to adjust?
and if a stop loss is a dollar amount input 'stoploss', at say $2000 and the code is: setstoploss(stoploss), what would need adjusting here?

when you say '...Alternatively you can still use IB symbol on your chart to send orders to IB...' are you suggesting to simply 'map'
KCZ2 to KCZ2 (current front month for coffee) for example? What would that solve?

Thank you for any insight

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Re: ICEUS automated trading issue for Coffee with IB and TS different multiplier

Postby Kate MultiCharts » 18 Aug 2022

Hello tonyt,

You need to revise the whole script to see if it should be adjusted to new symbol parameters. Usually, if the script’s logic is not too complex, adjustments are not required. However, if you have any specific questions or issues, please let us know.

I’ll also attach the screenshot with the correct symbol settings for TS and IB symbols mentioned in this thread for your and other users’ reference.
KCZ2.png
(82.83 KiB) Not downloaded yet

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Re: ICEUS automated trading issue for Coffee with IB and TS different multiplier

Postby tonyt » 18 Aug 2022

Thank you Kate for the prompt reply. This is an obscure issue that I am sure has frustrated many traders. I did the above mentioned and was able to get the prices aligned.

In the case of Cocoa, CC, does this need to be don? In other words, are all the ICEUS products 1/100th of the spot price? It does not appear that there is any scale mismatch between CCZ22 and CCZ2. Can you please confirm this?
Attachments
CC TS Settings.png
TS Settings
(12.53 KiB) Not downloaded yet
CC TS Settings 2.png
TS Minmove Price Scale
(14.23 KiB) Not downloaded yet
CCZ2 IB Settings.png
IB Settings
(14.76 KiB) Not downloaded yet
CCZ2 IB Settings 2.png
IB Minmove Price Scale
(12.62 KiB) Not downloaded yet

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Kate MultiCharts
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Re: ICEUS automated trading issue for Coffee with IB and TS different multiplier

Postby Kate MultiCharts » 19 Aug 2022

tonyt,

The symbol settings seem to match for IB and TS in that case. If you do not notice any price discrepancies, there’s no need to adjust the parameters or add a multiplier.


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