Is MultiCharts a fee generator for the broker?

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Gaempi
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Is MultiCharts a fee generator for the broker?

Postby Gaempi » 17 Jan 2011

Hello

I want to trade an easy strategy, but I'm confronted with the following problem: If i work with a breakout system depending on volatility, the buy and sell levels are changing from bar to bar. So Multicharts sends automatically every bar new action levels to my broker (IB). But this produces a lot of costs!

Look at this! If the strategy changes or cancels an orderlevel, IB charges ervery time 0.5 Euro. This means per bar 1 Euro (0.5 € buy and sell level each, exit levels). If i have a 1 minute chart, my strategy every minute changes the levels and Multicharts sends this new levels to IB. This produces the following costs: 60 x 1 € = 60 Euro every hour to my broker (IB) or 540 Euro a trading day (9 h). Is this correct or wrong?

If this is correct ... Multicharts should solve this problem very fast in the following way. Executing our strategies automatically we should have the this two options :

A. As it is: Multicharts sends every change of the action levels to broker (market) and produces high costs. Everybody sees my execution levels at market.

B. Better: Multicharts waits to send the action levels till they are filled by market and send then a market order to broker. This needs a fast interface to broker. And Multicharts is very fast i think.

I was formerly working with TS 2000i and TradeBullet (automatic trade execution from TS to IB). In TradeBullet the trader has the option to wait sending the levels to the market till the action levels are touched by the market. I think this is solved in this way much better.

Thank you for fast respons!

Lucius

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LRP
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Re: Is MultiCharts a fee generator for the broker?

Postby LRP » 17 Jan 2011

+1

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piranhaxp
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Re: Is MultiCharts a fee generator for the broker?

Postby piranhaxp » 17 Jan 2011

Lucius,

any thoughts about to change to a broker which is not so cost intensive ?

I understand your problem, but if you are so sensitive because of 'seeing your execution levels' you may experience much higher slippage costs and may higher probability for not getting filled in limit orders to close your position (lag of time) if some rules are implemented like this (entry+exit limit). In worst case you experience in any entry order a slippage by one tick (maybe the best case). If you are not getting filled, because of your time lag in putting your exit order in the market you may have to exit and 'If Limit Toched' at market with one more slippage and so on. So some example for the FDAX (25EUR per point ... my experience in stops = 1 point slippage at least):

Lucius calculation (changing order scenario:

60 * 1EUR = 60 EUR per hour = 540EUR per day

Mike calculation (worst case with extreme slippage cost because of time lag if you get filled every minute) :

60 * 50EUR (2*25EUR on both sides) = 300 EUR per hour = 2700 EUR per day

I know this is extremely calculated. But please we should keep in mind, that any new features in the software will make it more slowly. Because of the overall time lag in charting software (receiving price data-storing-handling and so on) you have to be aware that you already are far away from 'realtime'. So if Multicharts has to handle all trader comfortable features, someone wants this and someone wants that, you will lagging more behind then others.

May you think about to change the broker. Or another question, how you want to handle exit limits within an order process like you proposed ? Putting an exit limit order in the market if it's touched all the time. Have fun ;o)

Please don't get me wrong.

Regards

Mike

Gaempi
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Re: Is MultiCharts a fee generator for the broker?

Postby Gaempi » 18 Jan 2011

Hi Mike

You are wright. Slippage is a very important point of view. But your slippage cost calculations are not really a matter of fact, if i have one trade in a hour or two or only one or two trades a day. Your scenario of get filled ervery minute is absolutly not seen in real life trading.

So i have in the DAX future slippage costs of maximum 50 € (2x 25 € entry and exit) in a hour or two or in a day. Slippage you can't avoid and is implemented in the strategy calculations. But what should be avoided by Multicharts is the change of the market limits every minute at the broker (in a 1 minute bar chart). That produces a lot of costs by changing or canceling the markets limits. As i have said up to 540 Euro per day (9 h).

You pay every day 540 € for limit handling and onyl 50 or 100 € a day for slippage. And if i trade the ESX-50 future or the SMI Future, i have only slippage costs from 20 to 40 € per day.
That is a big difference (10:1) and is a real problem of trading with Multicharts. Slippage you can't avoid. Limit changing costs can be avoided, if Multicharts not send the limits to the broker, only supervises the limits and send only a market (or limit) order on touching the limits. In this way you can avoid costs of over 2'500 € a week or over 10'000 € a month working with an intraday trading system using 1 minute bar chart.

Changing the broker? InteractiveBrokers (IB) is one of the cheapest and best brokers I know.

And if you have a fast interface to market (as in Multicharts) the speed of trading should not be the problem. Sorry, implementing new features in a software produces not a real speed problem, if a software like MC is using multicore processing.

But if you think speed is a problem and if you want to have placed the orders at market, Multicharts can solve the problem in a very smart way: Give the trader the choice (yes or no button) between sending the limits and not sending them till filling (supervise them only).

TradeBullet (automatic trading execution software) has this important feature. And the people of TradeBulllet understand a lot of trading. I'm trading with trading systems and automatic order execution since 2002 and have my experience.

I'm convinced of MultiCharts to get the standard in the industry. So (I think, I hope) the people of MultiCharts will to implement this important feature in MC 7.0, if they want to get more customers in the world of the core intraday system traders. And TS 9.0 is looking around the corner with new features.

Regards

Lucius

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piranhaxp
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Re: Is MultiCharts a fee generator for the broker?

Postby piranhaxp » 18 Jan 2011

Lucius,

of course you're right. My scenario was the worst case. But I'm always thinking like that to avoid any problems. But let's come back to your statement.

I'm with you at the point that order-handling costs like you provided are not acceptable. Therefore I proposed to change do a different broker. I'm executing and changing orders more then 500 times a day and don't have a structure like this. By the way my broker is GNI. I never experienced something like this. But as longer as I think about your problem may there is another issue. But please let me ask you some questions to be able to think about on a different level.

I don't know how TradeBullett handles these kind of orders. Do they take the limit for market orders from the data feed or from the exchange price which is delivered by the platform? Who is your data provider or you are taking data directly from IB?

Would be nice get get answered the questions then may we can continue to discuss.

Regards.

Mike

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Dave Masalov
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Re: Is MultiCharts a fee generator for the broker?

Postby Dave Masalov » 18 Jan 2011

Dear Lucius,

MultiCharts does not resend orders if the levels are the same, in your case they seem to be constantly changing. Moreover, the majority of the brokers do not charge for this. The issue can be avoided by modifying the code. You should add a condition to your code saying if the channel is X (lower limit and upper limit) then send order to broker. Intra-Bar Order Generation should be on. Thus, your strategy won't be sending orders every bar, but only when you want it to. There will be no delay as Intra-Bar Order Generation means that the strategy will be calculated every tick.

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Re: Is MultiCharts a fee generator for the broker?

Postby Gaempi » 19 Jan 2011

Hello Dave

Modifying the code is a way to solve the problem too. Can you give me a short sample code of a condition the strategy to send only orders to the broker if the actionlevels are filled?

Regards

Lucius

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Dave Masalov
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Re: Is MultiCharts a fee generator for the broker?

Postby Dave Masalov » 19 Jan 2011

Dear Lucius,

It depends on your strategy. Here is an example:

Code: Select all

var: entry_price(0), entry_detected(false);

if marketposition > 0 then
entry_detected = false;

condition1 = close > open;

if not entry_detected and condition1 then
entry_detected = true;

if condition1 and marketposition = 0 and entry_detected then
entry_price = close;

if condition1 then
buy next bar entry_price limit;


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