Simulate Manual Trading in Data Playback mode

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orad
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Simulate Manual Trading in Data Playback mode

Postby orad » 31 Jan 2016

This study is a modified version of _ChartToolBar_Trading_ that sends orders as IOrderMarket orders similar to backtest orders. When you apply it on your chart, this allows you to simulate manual trading in Data Playback mode. You can then see the results in the Strategy Performance Report. This is useful for testing your strategy ideas before starting to write code for them.

Image

Note: Just like any other strategies, orders in this strategy are applied on the chart only after MaxBarsBack. So if you try to trade on bars before MaxBarsBack then your orders are ignored.

This strategy provides only market orders in Data Playback mode. There is a feature request here to support simulated manual trading in MultiCharts the same way we do for live trading. Please vote it up if you like this.

_ChartToolBar_PlaybackTrading_.Strategy.CS

Code: Select all

using System;
using System.Collections.Generic;
using System.Drawing;
using System.Windows.Forms;

namespace PowerLanguage.Strategy
{
[IOGMode(IOGMode.Enabled)]
public class _ChartToolBar_PlaybackTrading_ : SignalObject
{
public _ChartToolBar_PlaybackTrading_(object _ctx) : base(_ctx)
{
}

private ToolStripButton _infoPanel;
private ToolStripLabel _pnlLabel;
private volatile int _trackedMarketPosition;
private bool _isToolbarInitiated;

private IOrderMarket _marketLE;
private IOrderMarket _marketLX;
private IOrderMarket _marketSE;
private IOrderMarket _marketSX;

protected override void Create()
{
_marketLE = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, "LE", EOrderAction.Buy));
_marketLX = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, "LX", EOrderAction.Sell, OrderExit.Total));

_marketSE = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, "SE", EOrderAction.SellShort));
_marketSX = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, "SX", EOrderAction.BuyToCover, OrderExit.Total));
}

protected override void StartCalc()
{
RunOnce(ref _isToolbarInitiated, () =>
{
CreateToolStrip();
MessageBox.Show("Playback Trading is enabled. You can now simulate manual trading in Data Playback mode.",
this.Name, MessageBoxButtons.OK, MessageBoxIcon.Information);
});
}

protected override void CalcBar()
{
if (Bars.CurrentBarAbsolute() > ExecInfo.MaxBarsBack &&
Bars.Status == EBarState.Close)
{
SetMarketPosition(_trackedMarketPosition);
}
UpdatePanelInfo();
}

private void CreateToolStrip()
{
ChartToolBar.AccessToolBar(tb =>
{
var lotNumControl = new NumericUpDown
{
Minimum = 1,
Maximum = 100
};
AddItemToToolStrip(tb, new ToolStripControlHost(lotNumControl));

var tsiBuy = new ToolStripButton
{
Text = "Buy Market",
BackColor = Color.DeepSkyBlue,
ToolTipText = "Click to send Buy Market or reduce Short position"
};
tsiBuy.Click += (obj, args) => _trackedMarketPosition += (int)lotNumControl.Value;
AddItemToToolStrip(tb, tsiBuy);

_infoPanel = new ToolStripButton
{
ToolTipText = "Click to Close Position"
};
_infoPanel.Click += (obj, args) => _trackedMarketPosition = 0;
AddItemToToolStrip(tb, _infoPanel);

var tsiSell = new ToolStripButton
{
Text = "Sell Market",
BackColor = Color.LightCoral,
ToolTipText = "Click to send Sell Market or reduce Long position"
};
tsiSell.Click += (obj, args) => _trackedMarketPosition -= (int)lotNumControl.Value;
AddItemToToolStrip(tb, tsiSell);

AddItemToToolStrip(tb, new ToolStripSeparator());

var tsiPnlLabel = new ToolStripLabel
{
Text = "Profit/Loss:",
};
AddItemToToolStrip(tb, tsiPnlLabel);
AddItemToToolStrip(tb, _pnlLabel = new ToolStripLabel());

AddItemToToolStrip(tb, new ToolStripSeparator());

UpdatePanelInfo();
});
}

private void UpdatePanelInfo()
{
var mp = 0; // market position
var opl = 0.0; // open profit and loss
var tpl = 0.0; // total profit and loss
if (_isToolbarInitiated)
{
mp = CurrentPosition.Value;
opl = CurrentPosition.OpenProfit;
tpl = NetProfit + opl;
}

ChartToolBar.AccessToolBarAsync(tb =>
{
_infoPanel.Enabled = (0 != mp);
_infoPanel.Text = GetOpenPnlString(mp, opl);
_infoPanel.BackColor = GetBgColor(opl);

_pnlLabel.Text = tpl.ToString("C");
_pnlLabel.ForeColor = GetColor(tpl);
});
}

private void SetMarketPosition(int targetPosition)
{
IOrderMarket entryOrder;
IOrderMarket exitOrder;
int adjust;
var pos = CurrentPosition.Value;
var count = Math.Abs(targetPosition);
var isLong = targetPosition > 0;
string dirstr;
if (isLong)
{
entryOrder = _marketLE;
exitOrder = _marketLX;
adjust = count - pos;
dirstr = "Long";
}
else
{
entryOrder = _marketSE;
exitOrder = _marketSX;
adjust = count + pos;
dirstr = "Short";
}

if (adjust == 0)
{
//Output.WriteLine("{0}\t Pos: {1}\t Target: {2}\t HOLD", Bars.TimeValue, pos, targetPosition);
}
else if (adjust > 0)
{
if ((isLong && pos < 0) || (!isLong && pos > 0)) adjust = count;
Output.WriteLine("{0}\t Pos: {1}\t Target: {2}\t {3} Entry: {4}", Bars.TimeValue, pos, targetPosition, dirstr, adjust);
dirstr = dirstr[0] + "E" + adjust;
entryOrder.Send(dirstr, adjust);
}
else // adjust < 0
{
adjust = -adjust;
Output.WriteLine("{0}\t Pos: {1}\t Target: {2}\t {3} Exit: {4}", Bars.TimeValue, pos, targetPosition, dirstr, adjust);
dirstr = dirstr[0] + "X" + adjust;
exitOrder.Send(dirstr, adjust);
}
}

protected override void Destroy()
{
if (_isToolbarInitiated)
{
ChartToolBar.AccessToolBar(tb =>
{
var itemsToErase = new List<ToolStripItem>();

foreach (ToolStripItem item in tb.Items)
if (ReferenceEquals(this, item.Tag))
itemsToErase.Add(item);

foreach (var item in itemsToErase)
tb.Items.Remove(item);
});
}
}

#region Helpers
private void RunOnce(ref bool flag, Action action)
{
if (!flag)
{
action();
flag = true;
};
}

private void AddItemToToolStrip(ToolStrip tb, ToolStripItem item)
{
item.Tag = this;
tb.Items.Add(item);
}

private static string GetOpenPnlString(int mp, double opl)
{
var str = (mp > 0) ? mp + " Long"
: (mp < 0) ? -mp + " Short"
: "Flat";

return String.Format("{0} {1}", str, opl.ToString("C"));
}

private static Color GetBgColor(double opl)
{
return opl > 0 ? Color.LawnGreen
: opl < 0 ? Color.OrangeRed
: Color.FromKnownColor(KnownColor.Control);
}

private static Color GetColor(double opl)
{
return opl > 0 ? Color.Green
: opl < 0 ? Color.Red
: Color.FromKnownColor(KnownColor.Control);
}
#endregion

}

}
Attachments
Playback Trading ToolStrip.png
(2.59 KiB) Downloaded 2271 times

robinheck
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Re: Simulate Manual Trading in Data Playback mode

Postby robinheck » 02 Jan 2018

I like this idea.
Is that only MC.NET can do this?
Can MC do this too?

lordongi
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Re: Simulate Manual Trading in Data Playback mode

Postby lordongi » 13 Mar 2018

Thanks a lot!

webcharacter
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Joined: 06 Oct 2017

Re: Simulate Manual Trading in Data Playback mode

Postby webcharacter » 11 Jun 2019

Thank you, Orad, this is very useful. However, one problem I'm having is that the entry time and price that I'd like to execute on the close of the current bar, executes on the close of the following bar instead. The same thing happens with the exits. Essentially, I'm always one bar late on both entries and exits. I've worked with the code and the signal properties a little, but no success yet. Have you seen this behavior?

Thank you, Brian Warren

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orad
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Re: Simulate Manual Trading in Data Playback mode

Postby orad » 13 Jun 2019

Thank you, Orad, this is very useful. However, one problem I'm having is that the entry time and price that I'd like to execute on the close of the current bar, executes on the close of the following bar instead. The same thing happens with the exits. Essentially, I'm always one bar late on both entries and exits. I've worked with the code and the signal properties a little, but no success yet. Have you seen this behavior?
Hi webcharacter, I don't remember but try playback by ticks, or enable bar magnifier and see if that will correct it.

bomberone1
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Re: Simulate Manual Trading in Data Playback mode

Postby bomberone1 » 20 Oct 2019

Is there the code to Simulate Manual Trading in Data Playback mode also in multicharts easylanguge?

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dataheck
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Re: Simulate Manual Trading in Data Playback mode

Postby dataheck » 22 Jul 2021

Thanks for sharing! This is almost perfect for me, unfortunately it seems like the Paper Trader requires a live connection to the data provider for this to work. I have a large database of historical data but no active data provider account. The orders stay "Submitted" but never get filled. The wiki page on Paper Trader indicates that it only works if your data provider provides bid and ask prices, maybe related. Frustrating to be blocked by what seems to be so small a problem; I don't need live data to simulate trading on old data. I'll happily accept daily close prices as fill prices, I'm not looking for a flawless simulation here.

I've tried to be clever by exporting my data to .CSV and importing it under the ASCII provider. I imported trade data into bid, ask, and trade fields, but trading on this new virtual symbol still doesn't get filled orders. Shame :(

I've upvoted the playback trading project management issue, would love to see this implemented.

e:

My issue seems to be that CalcBar doesn't get executed on playback steps, so the market position doesn't get updated. Maybe I could use a timer to execute this instead or something.


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