AutoTrading to IB

Questions about MultiCharts and user contributed studies.
alpha
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AutoTrading to IB

Postby alpha » 03 Mar 2007

TS, have you included the technology from OwnTrade in MC's autotrader, ie in the orders to IB can it cancel and replace, and modify orders? If autotrading was turned on and the system was already long 1 prior to it being turned on and the system reversed would the order be for a 1 lot or a 2 lot ?

Thanks.

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Andrew Kirillov
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Postby Andrew Kirillov » 04 Mar 2007

Dear alpha,

TS, have you included the technology from OwnTrade in MC's autotrader, ie in the orders to IB can it cancel and replace, and modify orders?

No we didn't. MC AutoTrading doesn't work OwnTrade/TS way.
Currently it can not cancel/replace/modify orders.
If you are intersted in particular features please vote in "Feature request" poll: http://forum.tssupport.com/viewtopic.php?t=938

If autotrading was turned on and the system was already long 1 prior to it being turned on and the system reversed would the order be for a 1 lot or a 2 lot ?

MC always checks your current market position before order is sent. MC follows TS logic when sending orders.
So if you are ALREADY "1 Long" (before turning the system on) and:
Your strategy generates "1 Short" - then a Sell order for 2 (two) contracts will be generated;
Your strategy generates "1 Long" - then no orders will be generated (that is in case the pyramiding is not enabled).

alpha
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Postby alpha » 05 Mar 2007

Can you please explain why IB enters a market order even if the order placed through EL in MC is a limit order? The slippage appears 1-2 points?

Thanks

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Stanley Miller
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Postby Stanley Miller » 05 Mar 2007

Dear Michael,

The logic of automatic order execution in MultiCharts is of such a kind that market orders are sent at the moment when a trade takes place (i.e. when an arrow appears on the chart). MultiCharts doesn’t send limit or stop orders but waits till they are executed and at that moment it sends the market order.

We chose such logic because this approach is much easier to implement and it doesn’t lead to a considerable complication of the execution logic and therefore doesn't have a number of potential problems and bugs. At the same time according to our tests IB executes market orders virtually instantly and there's no big difference in the final result.

alpha
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Postby alpha » 05 Mar 2007

Stanley, I understand the fill logic but it is far too basic. TradeBullet, TradeBolt, NT Trader, TS all give you many options of what types of order you wish to enter and what trigger methods. There is NO SIZE fits all. The one you have chosen needs to be developed rapidly to be useful. IB offer many order types so you should offer them out too. To give you an example, what you call almost instantaneous has cost 26 pips off 18 trades today in 4 hours of trading, now imagine that with a 20 lot. Your current order arrangements with IB are unethical and non transparent. A limit order is a limit order not a market order at a price dependant upon orderflow to IB and market prices at the time? If its not filled then its not done. The other issue is that you have not communicated any of this information on the limitations of the autotrade feature, even in your 10 line autotrade manual. Please, as a matter of priority allow MC to issue limit orders, modify orders, cancel orders and replace orders.

Thanks

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Postby jek » 05 Mar 2007

How about an API that we can call to route signals and orders as needed?

The ELKIT.dll method is useful.

gert

Postby gert » 05 Mar 2007

Your current order arrangements with IB are unethical and non transparent.


Unethical and non transparent? How did you come to that conclusion? TS Support said clearly that they do not support limit orders and that market orders are sent. How is that non transparent? How is that unethical?

It is clear that you want limit orders sent, but to accuse them of being unethical is quite a stretch. There is no reason to get rude and start with name calling when requesting a feature you would like to have. This display poor character.

Gert

alpha
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Postby alpha » 05 Mar 2007

Actually, Gert, TSSupport were not clear about it all. I had to ask for confirmation by email, on the forum and finally by LIVE SUPPORT. It is not in the 10 line manual for autotrading and it is not anywhere, I had to find out about it myself when my system issued limit orders and experienced slip each time. The least I would have expected is that orders were issued at the price on the chart, whether filled or not. I have requested that this information is DISCLOSED. Other autotrading software are EXPLICIT on these issues for LEGAL reasons. Go see for yourself Gert, download any of the other platforms and just TAKE A LOOK at the DISCLOSURES.

Now onto the issue of ethics. Plainly, because there WAS NO information about the way orders were treated there was no TRANSPARENCY. Not being transparent with customers over orders is UNETHICAL and goes back to the practices of the '80's. And even now that it has been explained how do the mechanics of a Limit order becoming a MARKET ORDER actually work in practise? Is the order submitted to IB as an MIT order? Is the order held on MultiCharts software until the price is hit or on IB servers?

So Gert when you have autotraded the same system concurrently to two different brokers at the same time we can compare our results. But until then and until such time as a) execution to other brokers is offered b) industry standard orders are made available and c) Upfront disclosures on the limitations of MultiCharts autotrading are featured then I will stand by my previous comments.

If you feel Gert that by raising these issues I am rude, display poor character then transparently you are a fool and deserve to be fleeced.

Guest

Postby Guest » 06 Mar 2007

Alpha, the way you raised these issues is very offensive.

Doing due dilligence is what we all do. TS provide good support to a work in progress and take users suggestions and requirements into account as the product is developed.

No one has been unethical but yopu certainly have been rude and foolish and it pains me and I am sure others to have to read stupid posts such as yours.

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Kate
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Postby Kate » 06 Mar 2007

I don't want to communicate with such customer as Alpha since he offended us at this forum and in a private conversation. So I address to all customers.

Such offensive and rude comments can result in our demotivation and negative attitude to loyal customers.

Regarding the limit and stop orders. We explicitly explain in the disclaimer that the complex system is not always predictable. That's why we recommend using the demo account to test how it suits you. We are not intended to write long and legally correct disclaimers instead of investing time in implementing new functionality.


I do not think that our users would approve of such attitude.
I would like to know the opinion of our community on this issue.

Guest

Postby Guest » 06 Mar 2007

I don't will comment the offensive way Alpha raised this issue. Kate give the right comment.

But there is a little truth in his writing. When I'm sending a limit order I want that Multicharts send a limit order instead of a market order. In some strategies limit orders play an important part.

alpha
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Postby alpha » 06 Mar 2007

To all you hard working chaps at TSSupport. My unreserved apologies for any rudeness you may feel I have shown you. Remember I purchased OwnTrade and after spending 12 hours with it realised it could not connect to either TWS API nor TS8. You kindly offered to rewrite the software so that it could. I was prompted to look at MultiCharts which on first examination for two days appeared to do everything it said on the packet - and more I was thrilled to have an alternative to TS. I looked high and low for information on the autotrade feature and realised that in fact there was only 10 lines of information and orders could be managed through IBTWS. So please excuse my moderate and conservative posts to your hallowed forum asking for information and for clarification on why MC interprets a Limit order as a Market order and why my account shows slippage of >$300. As I have said I believe that your current arrangements with a single market order do your company no service whatsoever -

Please stop the charade of management writing to each other on this thread because as the previous Guest/Management explained, Users want, deserve order options and as others have mentioned, DOCUMENTATION.

Victor

Postby Victor » 06 Mar 2007

I just want to say, that I am very happy that I purchased MC software a year ago(!). They develop the product very fast. You remember, that optimization was done just a few months ago and now we have autotrading with IB. I am ver happy.

About Market orders (instead of liimit). That also works even better for me:
- First of all, in this case we do not have to deal with partially executed orders, which are possible with limit orders. And with automated trading it would be a pain. If anyone knows how to deal with that, Please, explore.

- Second, How many studies have signals like
Sell ( "TargetN1" ) next bar at TargetPrice limit;
This order may be set 20 bars in a row followed by program logic if limit price was not hit. But you actually DO NOT WANT TO SEND 20 limit orders every time to exchange. So the way, that MC wait until limit price hits, is also not a bad idea.

Of cource, there should be a way for sending REAL limit orders. I also got little slip, but I am, so far, OK with that (just $200 for 2 days).

MC is very fast growing product, and believe me or not, I am not a manager from them, I am a customer. They are doing very well and I am sure very soon, MC will be great alternative to TS.

Guest

Postby Guest » 09 Mar 2007

I have to agree, being able to implement LMT orders is a very important element. Some trading strategies reliy on these types of orders (mine included) I;m extremely happy with your product. However, this is something I think would be worthwhile in implementing.

So is MC not even considering this in future relieses. Or are you considering it, but it's just not a priority? (big difference)

If you aren't considering it, then would you consider working with a product such as AutoTrader? www.autotradersoftware.com/

I've used the product in the past with Ensign. It is a very comprehensive product, and an inexpensive alternative.

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Andrew Kirillov
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Postby Andrew Kirillov » 10 Mar 2007

Dear Sirs,

LMT orders are on the priority list and will be implemented soon.

alpha
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Ideas - developing AutoTrade in MultiCharts

Postby alpha » 10 Mar 2007

Following up Victor’s post I have some suggestions about LIMIT ORDERS having looked at some of MultiCharts competition and being an existing user of TS8.2. Firstly, the BAD thing about products such as the basic TRADEBOLT was that if a limit order was not hit on the time resolution bar then it was cancelled and another order was submitted - that was a RIDICULOUS situation. Your system is firing orders all the time, when reissued you were going to the BACK OF THE QUEUE- So please don’t go down that route!

TS8 however operates differently and MUCH BETTER. The order remains open until such time as the system criteria for the order are no longer valid(ie the the market fills it, the system CANCELS it, MODIFIES it, or REPLACES it) - You need the autotrader to be aware of your market position which means BI-DIRECTIONAL communication, there is no reason why fills cant be also returned to MCharts from IB for intelligent POSITION MANAGEMENT for partial fills or no filled limit orders etc..which can be done through the EDITOR.

Another more basic example is if your system is long 1 and you are just turning on the autotrader(because you needed lunch) you want the autotrader to issue an order for just 1 lot when it reverses not 2 lots. ie the autotrader has to KNOW your market position for that system by GETTING the information from IB and comparing to your chart.

Perhaps an extra page showing order status in MCharts, like OWNTRADE where systems can be easily SWITCHED ON or OFF and or in DEMO mode where you can see the orders but they are not entered into the market.

One feature of TradeBullet needs to be incorporated too. The ability to take an order to either a) MARKET after x configuragle seconds, if not filled and b) To increase/decrease Limit price by x configurable ticks after the order is not filled in y configurable seconds .

One feature of HyperOrder to incorporate. The ability to only take either a) Entry orders or b) exit orders. You may ask why but some users may feel more comfortable having the autotrader perform one side of the task and doing the other themselves. Obviously autotrader needs to differentiate between entry and exit and whether the user actually has an open position (if it's an exit).

Lastly, a great feature of TS8 is the ability to SEE the order LEVEL flash up on the SPECIFIC chart which is issuing the order, when its filled a red or blue blob appears on the chart, when it cancels the order level mark DISAPPEARS. and same for modify. This feature adds EXCELLENT VISIBILITY to what your system is doing rather than just firing orders with sounds going off.

All the features above are available in other platforms already, not all in the same platforms admittedly. However, we know TSSupport have some GREAT Programmers! Achieving much of the above would be a fantastic coup!

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Postby momentum » 11 Mar 2007

I second the "new" alpha's thoughts in the above post on autotrading, particularly the fact that the trader can, for example, use autotrading for entry and stops but that the user exits and that the system is aware.

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Postby SUPER » 11 Mar 2007

Although not a user of MC but totally agree with apha's suggestions with regard to autotrade desired features and choice of different orders types.

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Andrew Kirillov
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Postby Andrew Kirillov » 11 Mar 2007

Dear Sirs,

Thank you for your input. We'll surely consider your ideas and try to implement them.


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