Floating fills

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beck donald
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Floating fills

Postby beck donald » 30 Jan 2014

I am running MultiCharts .NET64 SE Version 8.8 Release (Build 8590)

I am attaching a picture of something that is showing up. I would like to understand how to set it up to prevent it.

In the enclosed picture there are 4 chart. The far left chart is a 20 point chart that is not trading. It has a long position limit order based strategy attached to it. It has a profit target as well. The chart to its right is the same, except it is trading live, no signals as yet. The chart to the right of that one, is a Short chart with the same specifications, having completed 2 live trades. Finally the far right chart which like the first, is not trading.

On the far right charts most current bar, there is a short signal and a signal to cover. The theoretical cover price was based on prices that did not exist. Profit target was 1 tick or $12.50, which is what the live trading chart results produced.

I have IOG disabled, am backtesting in the extended mode with no option that I am aware of selected that could or would cause this.

Evaluate historic results is impacted by significantly overstating the outcome.

Thank you for your help,
Don
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SnP_Calcs.png
Trade issue
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Henry MultiСharts
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Re: Floating fills

Postby Henry MultiСharts » 31 Jan 2014

Hello Don,

Do you have Bar Magnifier turned on?
Have you studied the following article: How signals are calculated?

beck donald
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Re: Floating fills

Postby beck donald » 31 Jan 2014

Hello Don,


Do you have Bar Magnifier turned on?
Have you studied the following article: How signals are calculated?
Henry,

It is a range bar and therefore do not use the magnifier. I will share, this is a new experience (having floating fills).

Yes I have read it.

Thank you,
Don

beck donald
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Re: Floating fills

Postby beck donald » 06 Feb 2014

Henry,

Any update on this? I am sure this ties into the other issues with charts not having similar signal patterns when traded live as compared to a historic look of the same data, after the fact.

Regards,
Don

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Henry MultiСharts
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Re: Floating fills

Postby Henry MultiСharts » 07 Feb 2014

Don, please send the information Dave has requested via email for analysis of this case.

beck donald
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Re: Floating fills

Postby beck donald » 07 Feb 2014

Could you ask him to resend it. I did not get it.

Thank you

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Henry MultiСharts
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Re: Floating fills

Postby Henry MultiСharts » 07 Feb 2014

Could you ask him to resend it. I did not get it.

Thank you
Done. Please check your email.

beck donald
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Re: Floating fills

Postby beck donald » 07 Apr 2014

Attached is another pictures on this topic.

I do not know if I will be available to get to online support.

I am already waiting on clarity as to how to get the dump from a separate
crashing issue to you (more than 600 megs).

So I am trying to get you more info.
In this example, I am using the channel breakout, included with MC.

Far Left chart - Enhanced Time Bars
Data1, Trade 60 min bars light green
Data2, Ask 60 min bars dark green
Data3, Bid 60 min bars red
Data4, Trade 1 min bars light green

Data 4 is there to provide the activity between the 60 min bars which have the signals on them. It allows me to do a rough verification, to see if it probable that price existed.

Middle - Classic Point Chart

Data1, Trade 20 point bars light green
Data2, Ask 20 point bars dark green
Data3, Bid 20 point bars red
Data4, Trade 1 point bars light green

Data 4 is there to provide the activity between the 20 point bars which have the signals on them. It allows me to do a rough verification, to see if it probable that price existed.

Middle - Enhanced Point Chart

Data1, Trade 20 point bars light green
Data2, Ask 20 point bars dark green
Data3, Bid 20 point bars red
Data4, Trade 1 point bars light green

Data 4 is there to provide the activity between the 20 point bars which have the signals on them. It allows me to do a rough verification, to see if it probable that price existed.

Results
The time based enhanced chart has price activity at a level of a signal between the 60 min bar the signal was generated on and the 60 min bar before it.

The point classic chart has price activity at a level of a signal between the 20 point bar the signal was generated on and the 20 point bar before it.

The point enhanced chart Does not have price activity at many levels of a signal. That price does not exist between the 20 point bar the signal was generated on and the 20 point bar before it.

In much larger tests, I find that All the bar types have this issue although with some bar trpes it is very infrequent and others its very frequent.

Additionally, you can choose any strategy that uses a limit or a stop and apply it to the bar types. Select a profit target strategy and set it to an appropriate target given what is traded. (mini S&P 12.50 as an example).

Open a performance report and note how many total trades then go to the result summary and look at net profit. Result should be number of trades X profit target. In the case of Enhanced Point Charts, it means nothing. You can have 200 trades set at profit target of $12.50 showing $5,000 in profit. If you measure the entrances and exits of the signals they match the values in the trade report which can be $12.00, but it can also be $250 or any other random number.

DB
4MC.png
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