Is Beta 4 stable ?

Questions about MultiCharts and user contributed studies.
brodnicki steven
Posts: 407
Joined: 01 Jan 2008
Been thanked: 3 times

Is Beta 4 stable ?

Postby brodnicki steven » 05 Mar 2009

I know beta 3 caused many problems but I'm planning to try Beta4 tomorrow, after market hours and want to know if anyone is using Beta4 and if it's stable enough to trade with real-time. (hopefully with IB) or if they're having any major problems with it.

mojotrader
Posts: 87
Joined: 07 Dec 2006

Postby mojotrader » 05 Mar 2009

I have Beta 4 and it has some problems but nothing major. I traded all week on it.

Just a word of advice though, spoken through experience:

Don't upgrade MC on a Friday or you may be twiddling your thumbs all weekend. Should you have a licensing problem or other issue you'll have to wait till Monday for support.

brodnicki steven
Posts: 407
Joined: 01 Jan 2008
Been thanked: 3 times

Postby brodnicki steven » 05 Mar 2009

Thanks for the info ! Support claims that the licensing issue was solved in beta 4.
Maybe I'll do it tonight, when IB shuts down. I just didn't want to risk data problems before the end of the week.
Last edited by brodnicki steven on 06 Mar 2009, edited 1 time in total.

User avatar
geizer
Posts: 375
Joined: 16 Jun 2008
Has thanked: 40 times
Been thanked: 38 times

Postby geizer » 05 Mar 2009

I tried Beta 4 for a few hours.

Bug fixes noticed:

1. minor bug fixed (cyrillic text now handled correctly when text inserted into the chart).

New bugs noticed:

1. The time stamp of the last daily candle is 1:59 (bug found in beta 3 is still present in beta 4)

2. The last daily candle has Tomorrow's date (bug found in beta 3 is still present in beta 4)

3. Phantom clones of daily candles randomly observed in IQfeed and IB data feeds. (The issue observed rarely, I could not consistently reproduce it - I just reported screenshots to TSS and was promised a response. Still waiting...)

My guess is that all issues related to daily candles is a result of attempts to fix data holes created by incorrect shutdown of the application. So I don't judge on this one, just letting you know since you're were asking before install.

Old bugs noticed:

1. When two identical symbols plotted in subchart #1 and subchart #2 (with identical scaling settings and of the same data-feed) AND two identical Indicators applied (in my case it was Price channel). With both indicators based on the same price series (for example) subchart #1, then scaling of the indicator in subchart #2 is incorrect. The danger of the situation is that most of the time scaling would appear correct except at some certain position of the horizontal scroll bar. This bug can be noticed only if you test it on two identical symbols in both sub-charts.

If symbols in subchart #1 and subchart #2 are different, and you decide to base your indicator in sub-chart #2 based on price series in sub-chart #1 then you screwed. Really screwed, as it is impossible to see the problem. This a very serious issue. It's part of all v5 betas and exist in official v4 release as well. I've reported it over a month ago. I still don't know if this issue is actually acknowledged as a bug and whether TSS is willing to do anything about it or not. TSS was stubborn to accept the bug in the 1st place. If any of you have time please test it out, may be they will be more willing to listen when issue reported by more people.

I am done with beta-testing. Hopefully my info will help you guys to avoid some of the traps and save some time. I wiped out the latest v5 beta 4, primarily because of the DRM and because of the complete silence surrounding the DRM subject.
Cheers,
Pavel

brodnicki steven
Posts: 407
Joined: 01 Jan 2008
Been thanked: 3 times

Postby brodnicki steven » 05 Mar 2009

Thanks Pavel for taking the time to describe the problems that still exist.

mojotrader
Posts: 87
Joined: 07 Dec 2006

Postby mojotrader » 06 Mar 2009

brodnicki steven,

I have to apologize. I actually had Beta 3 when I told you it seemed to work fine. I downloaded Beta 4 last night and didn't have any problems till market opened this morning, then I had 4 crashes.

After spending some time with TS support, I ended up going back to the official release.

Again, I apologize for giving you the impression Beta 4 worked fine.

~mojo

brodnicki steven
Posts: 407
Joined: 01 Jan 2008
Been thanked: 3 times

Postby brodnicki steven » 06 Mar 2009

brodnicki steven,

I have to apologize. I actually had Beta 3 when I told you it seemed to work fine. I downloaded Beta 4 last night and didn't have any problems till market opened this morning, then I had 4 crashes.

After spending some time with TS support, I ended up going back to the official release.

Again, I apologize for giving you the impression Beta 4 worked fine.

~mojo
* Thanks Mojo, I was planning on installing it today. I guess I'll wait for beta5.
I have Beta4 running fine on my offline backup computer, I'll have to try and make it crash over the weekend. What were you doing that caused the crashes ?

brodnicki steven
Posts: 407
Joined: 01 Jan 2008
Been thanked: 3 times

Postby brodnicki steven » 07 Mar 2009

I installed beta4 this morning and have been throwing everything I could think of at it, to make it fail but it seems to be ok, offline anyway. I haven't found anything to stop me from using it for daytrading. I won't know for sure until RT data from IB starts coming in tomorrow.

brodnicki steven
Posts: 407
Joined: 01 Jan 2008
Been thanked: 3 times

Postby brodnicki steven » 09 Mar 2009

Just an update on beta 4 for those tempted to update MC. It's been working beautifully, no crashes, no connection problems with IB so far. We'll see how stable it will be this week. I run about 17 workspaces with multiple windows in each and multiple indicators in each window.

User avatar
TJ
Posts: 7740
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 1033 times
Been thanked: 2221 times

Postby TJ » 09 Mar 2009

thanks for your update, and vote of confidence.
I will install it tonight.

brodnicki steven
Posts: 407
Joined: 01 Jan 2008
Been thanked: 3 times

Postby brodnicki steven » 09 Mar 2009

TJ - good luck with the new build tonight.
Its only been 24 hours but so far so good, still no problems with beta 4.

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 10 Mar 2009



1. The time stamp of the last daily candle is 1:59 (bug found in beta 3 is still present in beta 4)
The time stamp of daily bar is defined by sessions in QM. So it is necessary to know what you had there.

2. The last daily candle has Tomorrow's date (bug found in beta 3 is still present in beta 4)
What exchange is used for the plotted symbol? I can imagine such a situation if you are located in Australia and try to plot CME symbol, but I assume it is not a case for you. So a screenshot and comments are appreciated.


3. Phantom clones of daily candles randomly observed in IQfeed and IB data feeds. (The issue observed rarely, I could not consistently reproduce it - I just reported screenshots to TSS and was promised a response. Still waiting...)
A confirmed issue. A Walk-around:- delete data in QM and plot again.

My guess is that all issues related to daily candles is a result of attempts to fix data holes created by incorrect shutdown of the application. So I don't judge on this one, just letting you know since you're were asking before install.
The assumption is incorrect.

1. When two identical symbols plotted in subchart #1 and subchart #2 (with identical scaling settings and of the same data-feed) AND two identical Indicators applied (in my case it was Price channel). With both indicators based on the same price series (for example) subchart #1, then scaling of the indicator in subchart #2 is incorrect. The danger of the situation is that most of the time scaling would appear correct except at some certain position of the horizontal scroll bar. This bug can be noticed only if you test it on two identical symbols in both sub-charts.
Confirmed issue.

If symbols in subchart #1 and subchart #2 are different, and you decide to base your indicator in sub-chart #2 based on price series in sub-chart #1 then you screwed. Really screwed, as it is impossible to see the problem. This a very serious issue. It's part of all v5 betas and exist in official v4 release as well. I've reported it over a month ago. I still don't know if this issue is actually acknowledged as a bug and whether TSS is willing to do anything about it or not. TSS was stubborn to accept the bug in the 1st place. If any of you have time please test it out, may be they will be more willing to listen when issue reported by more people.
"then you screwed" means nothing to me. Screenshot and comments are appreciated.

User avatar
TJ
Posts: 7740
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 1033 times
Been thanked: 2221 times

Postby TJ » 10 Mar 2009

this scaling is driving me crazy.

I have set the scale step of all symbols and all indicators to manual (0.25), but the scale step is showing strange decimals.

pls see attached screen shot.

p.s. this is an ES chart.
Attachments
2009-03-10-02.gif
(32.89 KiB) Downloaded 1743 times

User avatar
TJ
Posts: 7740
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 1033 times
Been thanked: 2221 times

Postby TJ » 10 Mar 2009

this scaling is driving me crazy...
no sooner then I made the above post... the scale step snapped in place.

Don't ask me how or why... it just works all of a sudden.
... and I am not complaining.

:-)

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 10 Mar 2009

It works the way it has been designed. If you plot labels with .25 step the program will maintain this step size until the labels will not overlap each other. After that the program will plot labels with a different step size which will be greater that 0.25. So if you simply increase/decrease bar spacing on the chart your step size will be different. This is what you could see a few minutes ago. Hopefully my explanation is clear.

User avatar
TJ
Posts: 7740
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 1033 times
Been thanked: 2221 times

Postby TJ » 10 Mar 2009

It works the way it has been designed. If you plot labels with .25 step the program will maintain this step size until the labels will not overlap each other. After that the program will plot labels with a different step size which will be greater that 0.25. So if you simply increase/decrease bar spacing on the chart your step size will be different. This is what you could see a few minutes ago. Hopefully my explanation is clear.
it would be nice if you can make that into multiples of the manual scale.

i.e. if I set the manual step to 0.25, and the scaling became overlapped...

then MC would automatically increment the step to the next multiple of 0.25 = 0.50.

And when that became overlapped as well... then jump to 0.75.

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 10 Mar 2009

It is always a trade-off. We had what you are proposing before and people keep complain that we remove some labels, but there is a space for it:)

User avatar
RobotMan
Posts: 375
Joined: 12 Jul 2006
Location: Los Altos, California, USA
Has thanked: 31 times
Been thanked: 13 times
Contact:

Postby RobotMan » 10 Mar 2009

Hi Andrew,

I actually like the way you had it before. It makes more sense to go to multiples of the minmove/pricescale (.25 for ES). Why would anyone want random numbers in the pricescale? (rhetorical). Right now, I just leave it alone because MC does a better job of adjusting the pricescale than doing it manually unless I want bigger jumps between values.

Just my 2¢.

User avatar
geizer
Posts: 375
Joined: 16 Jun 2008
Has thanked: 40 times
Been thanked: 38 times

Postby geizer » 11 Mar 2009

Andrew,
Thank you for concise answer.
Marina helped me to resolve the Date and Time stamps of the daily candles via remote login. She has all the details.
Regards,
Pavel

User avatar
geizer
Posts: 375
Joined: 16 Jun 2008
Has thanked: 40 times
Been thanked: 38 times

Postby geizer » 11 Mar 2009

Would like to give beta 4 one more try, but DRM remains a biggest concern:- for the reasons I previously mentioned.

I am looking for more clarity from TSS team regarding possibility to use my hardware setup without added risk of being disconnected by DRM:

The hardware setup: Multicharts runs on a single Mac laptop in one of the two ways:

1. Boot Windows natively from NTFS partition
or
2. Boot same copy of Windows as a virtual Machine under Mac OS X using VMware Fusion.

In both cases the same instance of Multicharts is launched - same workspaces, user settings, databases, logs, etc. The only differences are Performance and Hardware Profiles: Native hardware in the first case and "virtualized" hardware in the second. Btw, Microsoft Windows XP is aware of the technology and does not require Activation anytime the hardware profile changes

My concern is this: With DRM authorization implemented, the DRM server will see my license launched on what seems to be different computers, when in fact, a single copy installed on one computer, but launched on different hardware profiles on the same laptop at different times (never simultaneously). Moreover, If I decide to allocate more RAM to the virtual machine or change a number of CPU cores available to Virtual machine, my hardware profile will change again, and DRM server might see Multicharts launched on yet another new computer. I want to have the freedom to launch the Multicharts under any hardware profile without being disconnected by the DRM sever.

The question: Can I safely continue to use my hardware/software setup without a risk of being disconnected by DRM because my license would be launched periodically on what might appear to be different hardware/PCs?

I would really appreciate the clarification of this subject by TS support, as I have invested significant efforts to have the convenience and flexibility of running everything on a single computer.
Regards,
Pavel

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 11 Mar 2009

Andrew,
Thank you for concise answer.
Marina helped me to resolve the Date and Time stamps of the daily candles via remote login. She has all the details.
Regards,
Pavel
The problem with daily bars is that if you don’t have correct sessions for a symbol you don’t know when to complete a bar. I'm talking about last real-time bar. So if we simply set 00:00-23:59 sessions it will not work in all cases. For instance CME futures trading day ends at 15:15 and new daily bar should be created in a few minutes.
In this case MultiCharts like other Ta programs will include new day’s ticks in the previous bar since we set 00:00 -23:59 instead of 8:30-15:15
What we try to do is to get a sign that a daily bar is complete. Some data vendors provide trading day information other not. Maybe it is possible to see if Total volume < Prev Total volume than bar is complete, but it will not work for forex symbols.
So we are working on this task to eliminate any configuration on users’ side.

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 11 Mar 2009

Would like to give beta 4 one more try, but DRM remains a biggest concern:- for the reasons I previously mentioned.

I am looking for more clarity from TSS team regarding possibility to use my hardware setup without added risk of being disconnected by DRM:

The hardware setup: Multicharts runs on a single Mac laptop in one of the two ways:

1. Boot Windows natively from NTFS partition
or
2. Boot same copy of Windows as a virtual Machine under Mac OS X using VMware Fusion.

In both cases the same instance of Multicharts is launched - same workspaces, user settings, databases, logs, etc. The only differences are Performance and Hardware Profiles: Native hardware in the first case and "virtualized" hardware in the second. Btw, Microsoft Windows XP is aware of the technology and does not require Activation anytime the hardware profile changes

My concern is this: With DRM authorization implemented, the DRM server will see my license launched on what seems to be different computers, when in fact, a single copy installed on one computer, but launched on different hardware profiles on the same laptop at different times (never simultaneously). Moreover, If I decide to allocate more RAM to the virtual machine or change a number of CPU cores available to Virtual machine, my hardware profile will change again, and DRM server might see Multicharts launched on yet another new computer. I want to have the freedom to launch the Multicharts under any hardware profile without being disconnected by the DRM sever.

The question: Can I safely continue to use my hardware/software setup without a risk of being disconnected by DRM because my license would be launched periodically on what might appear to be different hardware/PCs?

I would really appreciate the clarification of this subject by TS support, as I have invested significant efforts to have the convenience and flexibility of running everything on a single computer.
Regards,
Pavel
Pavel,
Your assumptions are not valid. MC will work on both configurations and even if you change hardware it shouldn't affect it. However my statements are based on the software design premises. It is possible that real life tests will demonstrate issues. Please test and let us know.

flipflopper
Posts: 261
Joined: 28 Feb 2008
Has thanked: 2 times
Been thanked: 1 time

Postby flipflopper » 12 Mar 2009

On a positive note I have found this latest version to be the best upgrade I have experienced. The software now works better for me then I could have ever hoped. I am a discretionary futures day trader though.

And no I am not some paid shill or someone who is hoping for a free license as some one else had suggested. I give credit where credit is due.

Just the feature of attaching trendlines to charts has made me an extra few grand these past two weeks taking trades I may not have seen before without those trendlines sitting there patiently waiting.

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 12 Mar 2009

Hi Flipflopper,
Thank you. I think a new snap mode behavior will help you more. See more details here:
http://forum.tssupport.com/viewtopic.php?t=6144

User avatar
geizer
Posts: 375
Joined: 16 Jun 2008
Has thanked: 40 times
Been thanked: 38 times

Postby geizer » 12 Mar 2009

The problem with daily bars is that if you don’t have correct sessions for a symbol you don’t know when to complete a bar. I'm talking about last real-time bar. So if we simply set 00:00-23:59 sessions it will not work in all cases. For instance CME futures trading day ends at 15:15 and new daily bar should be created in a few minutes.
In this case MultiCharts like other Ta programs will include new day’s ticks in the previous bar since we set 00:00 -23:59 instead of 8:30-15:15
What we try to do is to get a sign that a daily bar is complete. Some data vendors provide trading day information other not. Maybe it is possible to see if Total volume < Prev Total volume than bar is complete, but it will not work for forex symbols.
So we are working on this task to eliminate any configuration on users’ side.
Hi Andrew,

Thank you for clarifying the situation. I am sure it's a matter of time before you come up with workable solution.

I've tried to set the correct trading session hours for US and CAD stocks, to 9:30 - 16:00, and had daily bars plotted correctly, but then I don't see any after-hours and pre-market trading. These periods are important as they provide some additional picture of the market.

If session hours set to include extended hrs 08:00 - 18:30, then I see bars plotted during extended hours, but Open/Close on the daily bars are Incorrect.

I tried to set Session Templates broken into three periods: pre-market (08:00-09:30), regular hrs (9:30-16:00), and after-hrs (16:00-18:30) into, but it does not work either.

I think the following workaround would solve the problem:

* Each Session Template would have regular trading hours (9:30 - 16:00 for North American stocks)
and
extended trading hours (8:00 - 9:30 and 16:00 - 18:30).


Then you just plot daily bars based on regular trading session hours O, C, H, L, and build any intraday bars based on extended trading hours.

* Not sure, how this affects the volume - something to think about.

This way you kill tho rabbits at once: show daily bars correctly, while allowing extended hours to be displayed on the intraday charts.

This set-up would heavily rely on the user properly configuring Session Templates, but anyway this needs to be done only once for all North American Stocks, so I don't see any problem here, on the user end.

I am a stock trader and extended hours provide important information for liquid stocks. Also, quite often, Stocks actively traded in large volumes in extended hours right after the Company announces Quarter earnings (this normally happens right after the exchange closes or just before it opens).


Also, please check the default trading hours for Canadian Stocks in Multicharts. The default templates that come with a new Multicharts install are incorrect. Trading hrs for all Canadian stocks are the same as for US stocks.
-
Pavel

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 13 Mar 2009

Hi Pavel,
Thank you for detailed explanations. Yes we realize now that we must build daily bars and intraday resolutions according to the different logic.
It is not a bid deal to get historical daily bars from data feed and plot them properly. The most important problem arises as soon as you run your charts 24/7(leave them open and don’t request data as history).
It is clear that daily bars are not closed at the end of the day(23:59:59), but at any time according to exchange rules. For instance 15:15 for CME indexes futures or 16:00 for North American stocks.
MultiCharts as well as any other program should be aware when to complete a current bar and open a next trading day. Otherwise the daily bar will be incorrect. It will reflect sessions, not a real situation.
There are two ways to solve the problem:
1. To set correct sessions by user.
2. to detect when to create a new daily bar automatically by MC.
The first option is not a good idea (this is how it works now), because
a) Majority of traders will not set correct sessions and will see wrong bars. Or they will just add symbols via command line (or scanner pasting) and the inherited UNDEF settings will work in a case of stocks only.
b) If you daily bar is developing before the wrong sessions start a trading day, it will not be visible. Sometimes people say that the bar is missing. It is the same problem.
c) As you correctly explained you can’t use the daily sessions for intraday (tip: you can use 24/7 in Format Symbol->Settings for intraday and regular(from QM) for daily bars)

So to solve these problems we want to find a better solution.
We want to detect that new daily bars is coming automatically. We must have to deal with many data feeds. Some of them don’t give us daily bars at all (transact). Others (IB) just send us OHCL and we don’t know if we need to open a new bar or still update the existing one.
eSignal gives Trading date field that makes us possible to see that the value changed and create a new bar in real-time.

I can see a universal solution, but I’m not sure if it is correct or cover all situations. So I want to hear you ideas here.
We want to detect the end of trading day by decrement in total volume. Since total volume is a field that is taken from exchange we can trust it.
As soon Total volume is less than on prev tick we can say that the new session has been started.
Please comment to find a downside of this solution.
Thank you.

User avatar
geizer
Posts: 375
Joined: 16 Jun 2008
Has thanked: 40 times
Been thanked: 38 times

Postby geizer » 13 Mar 2009

We want to detect the end of trading day by decrement in total volume. Since total volume is a field that is taken from exchange we can trust it.
As soon Total volume is less than on prev tick we can say that the new session has been started.
Andrew,
Take a look at the attached PDF. All these are Canadian symbols (symbol names are compatible with Free Quotes).
These were the least liquid stocks today, Friday 13th, 09. There are hundreds of such stocks on the Canadian Venture Exchange every day - extreme case, but some people like to trade them, because they are cheap.
Do you see implementing a robust algorithm, that will reliably determine a volume drop at the end of the trading session when only few trades happen?
On the flip side of the coin, if you also rely on the volume surge as your signal to begin the daily bar, you are going to get some false signals, when companies announce earnings 15 minutes after the exchange close and crowd reacts placing large number of trades after hours, exactly when you expect no volume to be.
Another thing: Will your method work when exchange have short trading session? I remember there were some days during the year when American exchanges had short trading session - closed around noon.

Frankly, I don't see a problem with manually configuring trading session templates. I think this method is the most reliable and simple. Exchange close at 16:00 - so does the daily candle. Anything that happens after hours does not belong to the daily candle. I'm not sure where after-hours volume belongs and whether it should be added to any candle or just ignored, I don't know. As Albert Einstein said: "Things should be made as simple as possible but not simpler".

Regarding the session templates - I would still need to do set them anyway for Canadian stocks, because default trading sessions for CAD stocks supplied with Multicharts are not correct anyway (need to be the same as US Stock exchanges). Speaking of Canadian exchanges, I've noticed some obsolete exchanges in the Quote Manager list, such as Vancouver stock exchange, Alberta Stock exchange - they merged decade ago to form a Canadian Venture Exchange (CDNX), which later became part of the TSX and now called TSX Venture. Montreal Exchange where derivatives trade is now called Canadian Derivatives Exchange and became part of the TSX group as well. Please don't quote me on this - the information I have is from free open internet sources.
-Pavel
Attachments
CDN_Venture_stocks_Fri_Mar_13_09.pdf
(121.52 KiB) Downloaded 110 times
Last edited by geizer on 14 Mar 2009, edited 2 times in total.

User avatar
geizer
Posts: 375
Joined: 16 Jun 2008
Has thanked: 40 times
Been thanked: 38 times

Postby geizer » 14 Mar 2009

tip: you can use 24/7 in Format Symbol->Settings for intraday and regular(from QM) for daily bars)
Andrew, I am getting totally lost on the subject. I think I need some guidance in setting the session templates. I will contact the Tech Support via chat on Monday.
-Pavel

P.S. There is an old thread about displaying extended hours on the charts.
http://forum.tssupport.com/viewtopic.php?p=24214

User avatar
TJ
Posts: 7740
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 1033 times
Been thanked: 2221 times

Postby TJ » 14 Mar 2009

Setting session template:

go to QuoteManager (QM)


1. To Create/Edit Custom Templates of trading times.

from QM, select Tools > Session Templates





2. To apply Session Template to that symbol

from QM, choose a symbol from the list,

right click, select Edit Symbol > Sessions



you can choose between:
a. Use Exchange & ECN's Sessions (ie. automatic)
b. Use Custom Sessions (ie. time based)
c. Use Custom Session Template (ie. do anything you like... )

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 16 Mar 2009


Do you see implementing a robust algorithm, that will reliably determine a volume drop at the end of the trading session when only few trades happen?
Yes, It seems it will not work in this case, but that exception doesn’t mean that it will not work in general. Majority of us stocks are large volume. I think we can make an option that will be set by default – “set end of session is total volume drops”. It will be enabled by default, but you can configure sessions the way you want.
On the flip side of the coin, if you also rely on the volume surge as your signal to begin the daily bar, you are going to get some false signals, when companies announce earnings 15 minutes after the exchange close and crowd reacts placing large number of trades after hours, exactly when you expect no volume to be.
I’m going to construct a new bar if I see that total volume is less than it was before.
Another thing: Will your method work when exchange have short trading session? I remember there were some days during the year when American exchanges had short trading session - closed around noon.
It should work in these circumstances.
Frankly, I don't see a problem with manually configuring trading session templates. I think this method is the most reliable and simple. Exchange close at 16:00 - so does the daily candle. Anything that happens after hours does not belong to the daily candle. I'm not sure where after-hours volume belongs and whether it should be added to any candle or just ignored, I don't know. As Albert Einstein said: "Things should be made as simple as possible but not simpler".
Things are more complicated. ES ends at 15:15 and start at 15:30.
Regarding the session templates - I would still need to do set them anyway for Canadian stocks, because default trading sessions for CAD stocks supplied with Multicharts are not correct anyway (need to be the same as US Stock exchanges). Speaking of Canadian exchanges, I've noticed some obsolete exchanges in the Quote Manager list, such as Vancouver stock exchange, Alberta Stock exchange - they merged decade ago to form a Canadian Venture Exchange (CDNX), which later became part of the TSX and now called TSX Venture. Montreal Exchange where derivatives trade is now called Canadian Derivatives Exchange and became part of the TSX group as well. Please don't quote me on this - the information I have is from free open internet sources.
Thank you for the information. I’m not sure when will have time to put it in good order.

User avatar
geizer
Posts: 375
Joined: 16 Jun 2008
Has thanked: 40 times
Been thanked: 38 times

Postby geizer » 16 Mar 2009

I’m going to construct a new bar if I see that total volume is less than it was before.
Andrew, I am sorry to tell you, but I will not trust such candles. As I mentioned earlier there are some stocks that are illiquid. When users see such candles created randomly, I mean the candle is closed all of a sudden in the middle of a trading session and a new one created minutes later, the software will be named "buggy" and the software developer will be blamed right away. This WILL happen, no matter what you do, and how good your software in every other aspect. How can user trust the software (eventhough it does everything else correctly), if it time stampes and closes the candles randomly based on trading activity? The problem will shift into different territory - a "business image", or credibility question, imho.

Good luck in your endevour reinventing the wheel. I just want you to know that you automatically ignoring half of the Canadian equities - that is approx 2000 micro cap companies - I am talking about TSX Venture exchange - companies may be illiquid at one time or another - and not only due to the fact that they are small - there may be just no news coming out for the company.

I still don't understand why not rely on trading session templates? Perhaps you want to use one simpe algorithm to buld candles for all and any data vendor. Better charge extra money for some exotic used datafeeds imho - to support the development. Just don't compromise the reliability of the most commonly used datafeeds, please. You are saying that it user's fault because session templates are not properly confiured. Here is one example: I reconfigured session templates for all symbols in my database over the weekend. Cleared all the cashes and deleted data. Then applied correct settings to thousands of symbols - all 9:30 -16:00 for US stocks.
The result? here you have it: After trading today and witnessing my daily candle succesfully forming during the trading session, it magically disappeared right after exchange closed. Where did it go? I've tried everything untill this point, I think. There is no session template problem anymore.
Should I delete the symbol's data every time at the end of the trading day and redownload it back?
Where's the catch?

Frankly, I believe that relying on the volume drop is bad idea. If candles can't be created reliably based on simple rock solid event such as Real Time Clock (+/-Time Zone Offset), what makes you think that relying on volume is going to work?
--
Regards,
Pavel

--
MC v5 beta 4 with DTN IQFeed


P.S. This thread went off-topic. Better move the discussion elsewhere so forum readers don't get confused, or just finish the discussion, since you probably not going to change your mind anyways.

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 17 Mar 2009

Pavel,
As I told before we consider this as option. It you may use sessions if prefer.
Why do we want to do it? Because you stated that our software makes incorrect daily bar timestamp. It was on our forum and new users tend to consider it as a bug. However when you came to our helpdesk and our guys demonstrated that you have to set correct sessions and delete data.
The problem forced us to think more about more intuitive way of creating daily bars without user’s intervention.
The result? here you have it: After trading today and witnessing my daily candle succesfully forming during the trading session, it magically disappeared right after exchange closed.
The candle disappeared from the existing chart or you create a new chart?
So two possible scenarios:
1. You haven’t closed/change the chart and the last bars simply disappeared.
2. You create a new chart.
If we are talking about the first case we have an issue what could lead to this problem.
Please confirm.

User avatar
geizer
Posts: 375
Joined: 16 Jun 2008
Has thanked: 40 times
Been thanked: 38 times

Postby geizer » 17 Mar 2009

The candle disappeared from the existing chart or you create a new chart?
Andrew,
The candle disappears from the existing chart. Many times Ctrl+R doesn't help. When I restart MC the latest daily candle is recovered by pressing Ctrl+R.

I am going back to previous version today. Beta 4 is still raw.
Today it quit plotting real-time. This reminds me of DRM - but no warning messages this time.
-Pavel

User avatar
Andrew Kirillov
Posts: 1589
Joined: 28 Jul 2005
Has thanked: 2 times
Been thanked: 31 times
Contact:

Postby Andrew Kirillov » 18 Mar 2009

Pavel,
So far we were unable to reproduce this severe issue.
Could you post a screenshot as soon as it happens. It will give us more information.
I assume your sessions are 9:30 -16:00 for US stocks as you indicated earlier.
Thank you for the cooperation.
Today it quit plotting real-time. This reminds me of DRM - but no warning messages this time.
If you could see authorize indicators, there is another reason why quotes didn't come. It is necessary to study the issue more, but it is virtually impossible to say something definite based on existing information.

miltonc4
Posts: 150
Joined: 14 Apr 2006
Has thanked: 1 time
Been thanked: 4 times

Postby miltonc4 » 18 Mar 2009

Hi Andrew
Please do not overlook the markets that have two trading sessions per day,for example Sydney futures trades
Day session 9:49 am to 4:30pm
Night session 5:10 pm to 7am
In this case the ideal daily bar should be made on basis of one bar for the day session and another bar for the night session
Not a bar that extends from midnight to midnight even though 24 hour data is collected
Converely,the Australian ASX for stocks trades
Day session only from 10 am to 4.:10 pm, so its daily bar covers a different time period to SFE
I have always had trouble plotting daily bars in real time,admittedely I should spend some more time on it,as earlier versions just didnt work so I gave up
Regards
Milton


Return to “MultiCharts”