Pair Trading by using Global Variable

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ctu1121
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Pair Trading by using Global Variable

Postby ctu1121 » 15 Aug 2012

I use Global Variable to write pair trading strategy. I use US Stock XOM and CVX as my pair instruments. I assume the price of XOM and CVX will be diverged and converged sometimes during specific period. When the price diverged, I will buy and sellshort, when the price converged, I will sell and buytocover.

However, when trading via MultiChart64 with Interactiv Brokers, I met some problems. Sometimes, when the diverged condition is satisfied, the signal will trigger to buy ONLY, the signal didn't trigger the Sellshort position. Sometime, when the P/L combination of two position is satisfied, the pair should be sell and buycover. However, only sell position is triggered.

Here comes my questions:
1.Is there any setting I should change in Interactive Brokers?
2.Is there any setting I should change in MultiCharts 8 64bit?
3.Is there any attached program or function I should install into MultiCharts in order to use Global Variable?
4.http://www.multicharts.com/trading-software/index.php/Global_Variables mentions, it's important to determine "read-write action time", is there any example I could refer?

Thanks for your valuable advice and suggestion.

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Dave Masalov
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Re: Pair Trading by using Global Variable

Postby Dave Masalov » 17 Aug 2012

Hello ctu1121,

It is the question of implementing data exchange using Global Variables. It is quite hard to achieve synchronous diverged condition determination on two different charts.

Answer to questions 1-3 is no. As for the examples, unfortunately, the is no such sample code. It is not a trivial code and needs some time to be programmed. You should index the data that you transfer using GV, i.e. pass the bar number or synchronize it using the time. Please contact us directly if you are interested in custom programming services.

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Stan Bokov
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Re: Pair Trading by using Global Variable

Postby Stan Bokov » 17 Aug 2012

I would think that MultiCharts .NET would be better for this purpose of pair trading - you can send orders from one script to multiple brokers for multiple instruments. Check the MC .NET forum for more details.
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