problem about GV functions for multi symbols trading

yoyo2000 · Postby **yoyo2000** » 20 Nov 2012

hi,i got a problem about GV functions these days,and couldn't deal with it,please help.

my object:

1. hedge trading on 3 symbols(with strategies S1,S2,S3),with GV function to synchronize.

2. when a new position opens on symbol 1(with strategy s1),a new hedge position opens on symbol 2(with strategy s2) at once. when positions open on symbol 1 and 2,a new position opens on symbol 3;

3. when position closes on symbol 1,the position on symbol 2 and 3 closes in order.

my problem:
1. position on symbol 2 not always open when a new position opens on symbo 1,that's,some trade would be ignored;

2. many trade signals are ignored on symbol 3.

3. when a position opens on symbol 2 or 3,it close immediately in one bar,not waiting for GV value change on symbol 1.

a snapshot of these problem is in attachment.

and the code for s1,s2,s3 are below.

yoyo2000 · Postby **yoyo2000** » 20 Nov 2012

here are the code:

s1:

Code: Select all

inputs: flag(1),

	 iSizeZS(10),                  //ZS's initial position info of first trade of a day

	 Direction(1),                 //new position's diretion is the same or adverse to the first position?

	 Multi(1);                     //the multiplies of new position to the original position size



var: mp(0),  //marketposition status

     SizeZS(0), SizeY(20), SizeM(15), //size of each position

     modtest(0);



mp = marketposition;

SizeZS = iSizeZS;

modtest = mod(barnumber, 10);



GVSetNamedDouble("GVSizeZS", iSizeZS); 



if time > 0900 and time < 1459 then begin  // in trading time

	if mp <> 0 then begin

		if mp[1] = 0 and mp > 0 then  //long position was established on last bar

			GVSetNamedDouble("GVRTSizeZS", 1*iSizeZS*multi);

			

		if mp[1] = 0 and mp < 0 then  // short position was established on last bar

			GVSetNamedDouble("GVRTSizeZS", -1*iSizeZS*multi);

					

		if modtest = 8 then begin

			if mp > 0 then sell ("Hedge LX") next bar at market

			else if mp < 0 then buytocover ("Hedge SX") next bar at market;

		end;

	end

	else if mp = 0 then begin

		if mp[1] <> 0 then GVSetNamedDouble("GVRTSizeZS", 0); //when cbot position was flatted,change global var's value  

		 

		if modtest = 3 then begin   //spread in's condition trigged

			if Direction = 1 then begin           //if the trading direction is the same as the first trade

				if flag > 0 then begin      

					buy ("D+1 LE") iSizeZS*multi contracts next bar at market;

				end	

				else if flag < 0 then begin 

					sellshort ("D+1 SE") iSizeZS*multi contracts next bar at market;

				end;

			end

			else if Direction = -1 then begin 

				if flag > 0 then begin      

					sellshort ("D-1 SE") iSizeZS*multi contracts next bar at market;

				end

				else if flag < 0 then begin 

					buy ("D-1 LE") iSizeZS*multi contracts next bar at market;

				end;

			end;

		end;	

	end;

end

else if time >= 1459 then begin

	sell ("EOD LX") next bar at market;

	buytocover ("EOD SX") next bar at market;

	

	GVSetNamedDouble("GVSizeZS", iSizeZS); 

	GVSetNamedDouble("GVRTSizeZS", 0 ); 

	GVSetNamedDouble("GVRTSizeY", 0);	

end;

yoyo2000 · Postby **yoyo2000** » 20 Nov 2012

here is s2:

Code: Select all

var: iSizeZS(0), SizeY(20), RTSizeZS(0), RTSizeY(0), mp(0);



mp = marketposition;

iSizeZS = GVGetNamedDouble("GVSizeZS", -9999);

RTSizeZS = GVGetNamedDouble("GVRTSizeZS", -9999);



//if ZS's position is flatted,

if (RTSizeZS[1]<>0 and RTSizeZS = 0) and mp <> 0 then begin

	if mp > 0 then 

		sell ("HedgeLX") next bar at market

	else if mp < 0 then

		buytocover ("HedgeSX") next bar at market;

	

	GVSetNamedDouble("GVRTSizeY", 0);

end;



//establish position

if (RTSizeZS[1]=0 and RTSizeZS<>0) and mp=0 then begin

	if RTSizeZS > 0 then begin

		sellshort ("HedgeSE") SizeY contracts next bar at market;

		GVSetNamedDouble("GVRTSizeY", -1*SizeY);

	end

	else if RTSizeZS < 0 then begin

		buy ("HedgeLE") SizeY contracts next bar at market;

		GVSetNamedDouble("GVRTSizeY", SizeY);

	end;

end;



//print("barnumber: ",BarNumber," time_S: ",time_s," RTSizeZS: ",RTSizeZS);

yoyo2000 · Postby **yoyo2000** » 20 Nov 2012

here is s3:

Code: Select all

var: iSizeZS(0), SizeM(15), RTSizeZS(0), RTSizeY(0), RTSizeM(0), mp(0);



mp = marketposition;

iSizeZS = GVGetNamedDouble("GVSizeZS", -9999);

RTSizeZS = GVGetNamedDouble("GVRTSizeZS", -9999);

RTSizeY = GVGetNamedDouble("GVRTSizeY", -9999);



//if ZS's position is flatted,

if (RTSizeZS[1]<>0 and RTSizeZS = 0) and (RTSizeY[1]<>0 and RTSizeY = 0) {and mp <> 0} then begin

	if mp > 0 then 

		sell ("HedgeLX") next bar at market

	else if mp < 0 then

		buytocover ("HedgeSX") next bar at market;

	

	GVSetNamedDouble("GVRTSizeM", 0);

end;



//establish position

if (RTSizeZS[1]=0 and RTSizeZS<>0) and (RTSizeY[1]=0 and RTSizeY<>0) {and mp=0} then begin

	if RTSizeZS > 0 then begin

		sellshort ("HedgeSE") SizeM contracts next bar at market;

		GVSetNamedDouble("GVRTSizeM", -1*SizeM);

	end

	else if RTSizeZS < 0 then begin

		buy ("HedgeLE") SizeM contracts next bar at market;

		GVSetNamedDouble("GVRTSizeM", SizeM);

	end;

end;

Henry MultiСharts · Postby **Henry MultiСharts** » 20 Nov 2012

Hello yoyo2000,

The studies on the charts are calculated asynchronously. Sometimes Get command can be calculated before Set command using Global Variables. Please use the Print statement to check the read-write sequence of your codes.

yoyo2000 · Postby **yoyo2000** » 20 Nov 2012

I use SleepEx function to make GV get funtion delay some time,but it doesn't work.

and i have no idea about the wrong of the 3th point of my problem,that's,

"3. when a position opens on symbol 2 or 3,it close immediately in one bar,not waiting for GV value change on symbol 1."

is something wrong with my exit logic ?

best regards.

TJ · Postby TJ » 20 Nov 2012

hi,i got a problem about GV functions these days,and couldn't deal with it,please help.
...and the code for s1,s2,s3 are below.

give this a try
GlobalVariables GV Latency Tester
viewtopic.php?f=5&t=10780&hilit=latency

yoyo2000 · Postby **yoyo2000** » 20 Nov 2012

TJ,i'v try your GV latency tester,the delay of my transmmission is between 4 and 11,is it a big latency?

if the latency is too big,s2 and s3 couldn't get GV's realtime change,maybe this is the reason of missing some signal,do you have any way to minimize the latency?

TJ · Postby TJ » 20 Nov 2012

TJ,i'v try your GV latency tester,the delay of my transmmission is between 4 and 11,is it a big latency?

if the latency is too big,s2 and s3 couldn't get GV's realtime change,maybe this is the reason of missing some signal,do you have any way to minimize the latency?

Your chart resolution is only 3 seconds, and yet your latency is 4 to 11 seconds.
Your signal is TWO to FOUR bars behind !!!
Can your strategy work with this delay?
You might have to rethink your method.

yoyo2000 · Postby **yoyo2000** » 20 Nov 2012

yes,maybe latency is a big problem,and I should try to avoid the cumulative latency in my method,and set the time frame longer than latency.

BTW,TJ,your GV lantecy Tester info is below when I print it,why set once, but receive twice,which rec'd time result is the right one?

1.00 Sent Time \n =111852
1.00 Rec'd Time \n =111852\n Latency \n = 7
1.00 Rec'd Time \n =111852\n Latency \n = 51

best regards.

TJ · Postby TJ » 20 Nov 2012

yes,maybe latency is a big problem,and I should try to avoid the cumulative latency in my method,and set the time frame longer than latency.

BTW,TJ,your GV lantecy Tester info is below when I print it,why set once, but receive twice,which rec'd time result is the right one?

1.00 Sent Time \n =111852
1.00 Rec'd Time \n =111852\n Latency \n = 7
1.00 Rec'd Time \n =111852\n Latency \n = 51

best regards.

what is your maxbarsback?

are all the sends received twice?

yoyo2000 · Postby **yoyo2000** » 20 Nov 2012

my maxbarsback = 50

and most received twice,
seldom three times,and rare once

1.00 Rec'd Time \n =112112\n Latency \n = 5
1.00 Rec'd Time \n =112112\n Latency \n = 10
1.00 Sent Time \n =112122
1.00 Rec'd Time \n =112122\n Latency \n = 5
1.00 Rec'd Time \n =112122\n Latency \n = 10
1.00 Sent Time \n =112132
1.00 Rec'd Time \n =112132\n Latency \n = 5
1.00 Sent Time \n =112142
1.00 Rec'd Time \n =112132\n Latency \n = 11
1.00 Rec'd Time \n =112142\n Latency \n = 5
1.00 Rec'd Time \n =112142\n Latency \n = 11
1.00 Sent Time \n =112152

yoyo2000 · Postby **yoyo2000** » 21 Nov 2012

could you please paste proper print info with command "print" of GV latency Tester?it's too wired.

TJ · Postby TJ » 21 Nov 2012

yes,maybe latency is a big problem,and I should try to avoid the cumulative latency in my method,and set the time frame longer than latency.

BTW,TJ,your GV lantecy Tester info is below when I print it,why set once, but receive twice,which rec'd time result is the right one?

1.00 Sent Time \n =111852
1.00 Rec'd Time \n =111852\n Latency \n = 7
1.00 Rec'd Time \n =111852\n Latency \n = 51

best regards.

This is not a One-to-One relationship.
The sender posts the value to GV, it is up to the receiver to retrieve the value.

When a tick comes in to the receiver chart, the indicator will go to GV and fetch the latest value on record, then compares it to the current time to arrive at the latency value.
The more ticks come in, the more print out you will see.

yoyo2000 · Postby **yoyo2000** » 21 Nov 2012

i see,if sending chart's time frame is 10 s,and receiving chart's time frame is 5 s,then there should be 1 sending info and 2 receiving info.

TJ,you said,i could try a faster computer,I'v tried on another computer which is better than mine,but the latency are the same.could you tell me,according to your experience,on what computer(CPU,memory,and others),latency could be controlled under 2?

TJ · Postby TJ » 21 Nov 2012

i see,if sending chart's time frame is 10 s,and receiving chart's time frame is 5 s,then there should be 1 sending info and 2 receiving info.

TJ,you said,i could try a faster computer,I'v tried on another computer which is better than mine,but the latency are the same.could you tell me,according to your experience,on what computer(CPU,memory,and others),latency could be controlled under 2?

A faster computer would help if and only if the cause of the latency is due to slow computer. You really have to look at the big picture -- the datafeed, the liquidity of the instruments, the resolution of the charts, the method of your analysis, etc. Developing a trading system is a thousand refinement refined one thousand times.

yoyo2000 · Postby **yoyo2000** » 22 Nov 2012

yes,it's a hard work

for the case of GV function,i found that most of time,GV set function runs early,GV get function runs laterly,but some time,GV get function runs earlier than set function,do you have any tip for controlling the order to make GV get function always later than set function?

best regards.

TJ · Postby TJ » 22 Nov 2012

yes,it's a hard work

for the case of GV function,i found that most of time,GV set function runs early,GV get function runs laterly,but some time,GV get function runs earlier than set function,do you have any tip for controlling the order to make GV get function always later than set function?

best regards.

GV, ADE and ELC, etc., are most useful on multiple charts of different resolutions.
ie a slow chart as a sender, and faster chart as a receiver.

You can try this method: add the "Sender-Symbol" in the receiver chart as data2, and on your sender chart, add the "Receiver-symbol" as data2. Then you can control the triggering sequence.

yoyo2000 · Postby **yoyo2000** » 23 Nov 2012

sorry,TJ,i can't catch your words.
for example,a 60s' bar chart as a sender,a 30s' bar chart as a receiver,intrabargeneration=false,so global variable update per min,and the value of this global variable is received twice per min,do you mean,trading only at first receiving?

and your case is spread trading on 2 symbols,how about trading on 3 symbols?
for example,buy symbol 1,and short symbol 2 and 3.

best regards.

TJ · Postby TJ » 23 Nov 2012

sorry,TJ,i can't catch your words.
for example,a 60s' bar chart as a sender,a 30s' bar chart as a receiver,intrabargeneration=false,so global variable update per min,and the value of this global variable is received twice per min,do you mean,trading only at first receiving?

You have to understand how the mechanics work, then decide on your strategy.
e.g. How many ticks are you getting from your sender chart? Do you know? Do you care? What is the ratio of ticks between the sender chart and the receiver chart? What are the timing differences? What happens when there is a no-data period (no trade) in the sender chart? Does the receiver chart keep on working?
I cannot answer your question, only you will know the answer after your careful study of the instruments and their behavior. You are on the right track... print statement is a useful tool, you should be able to find many critical information from your testing.

and your case is spread trading on 2 symbols,how about trading on 3 symbols?
for example,buy symbol 1,and short symbol 2 and 3.

best regards.

For inter-chart data transfer, the receiver chart should always the faster one.

problem about GV functions for multi symbols trading

problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading

Re: problem about GV functions for multi symbols trading