Constant Range Charts with a range less than 1.

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Nick
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Constant Range Charts with a range less than 1.

Postby Nick » 09 Nov 2007

Hi,

Seems there is a minor bug. I'd like to have a constant range of 0.5 on the ES? Could this be changed? I imagine the range charts aren't much use to the currency guys as they are now - they are likely to want fractions exclusively.

Can you also tell me wht the difference between range and original point range is.

Cheers.

Nick
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Postby Nick » 09 Nov 2007

I figured I might have made an error in quote manager. Quote manager wont let me set the minimum price movement less that one either!! What gives? :D

Cheers,
Nick

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ABC
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Postby ABC » 09 Nov 2007

Nick,

in case you haven't overcome this already, you can use the following settings for ES:

Price Scale: 1/100
Daily Limit: 3000
Min. Movement: 25
Big Point Value: 50

This way a range bar setting of 100 will reflect one full point. 50 = 2 Ticks and 25 = 1 Tick.

Best regards,
ABC

Nick
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Postby Nick » 09 Nov 2007

Ahh thanks...let me give that a go.

Cheers,

Nick
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Postby Nick » 09 Nov 2007

Hmm thats odd I tried that and it didnt seem to update tick by tick price was a
also a couple of points off (outside the bars range). I was actually using dax with 5 point tick size (in quote manager). I set range bars to 5.

I thought I'd try range bar size 1 - this sent the PC into disc thrash mode no chart (despite data in the cache) I was only trying to display a day. I shut down MC (cleanly) and re-booted. My DAX disc cache was trashed :( Other symbols where OK fortunately.

I wonder if I am doing somethimg wrong...I dont think so.

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Marina Pashkova
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Postby Marina Pashkova » 09 Nov 2007

Dear Nick,

The thing is that working with range-based charts in MultiCharts is not exactly intuitive which might cause users' mistakes like the one you're describing above:
I thought I'd try range bar size 1 - this sent the PC into disc thrash mode no chart (despite data in the cache) I was only trying to display a day.


We are going to introduce changes that would prevent this and similar issues.

For now, the rule of thumb when plotting range bars is:
See what's the Min.Move for the symbol and multiply it by the number of points you want to see on the chart.

For example:

E-mini S&P has Min.Movement of 25. To plot a 2 point chart for E-mini S&P in MultiCharts multiply 25 by 2. 25X2=50. So to plot what is normally regarded as a 2 point chart you will need to type in 50 in the data compression field for the range-based charts.

In the example above, if you plot bars with the compression well below 50 MultiCharts will be producing thousands of bars which will overload the system.

If the above explanation is not clear enough please let me know.

We do understand that this implementation is far from being perfect. We are now working to change it

Regards.

Nick
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Postby Nick » 10 Nov 2007

Hi marina,

I'll try again Monday...thanks I appreciate it.

I realise that charts based on low tick resolutions take some resources to load (I have a days single tick data in another workspace). This was not the issue. When I set the range to 1 (which may be an invalid parameter from your description) MC thrashed for about 5 minutes before I shut down. A day of single ticks (which is far more bars) only takes a couple of seconds to load.

There is also the issue of loosing the disc cache for the instrument in question. Even if the error was caused by a bad parameter if it can be reproduced (I am not keen to do it!) It provides a great opportunity to perhaps find another more serious (even if uncommon) bug. Loading bars from the disc cache to a chart should only ever require disc reads so the cache should not have been trashed. Cleanly closing MC should never cause data loss either. As I say a golden opportunity to perhaps find something more serious lurking.

thanks again
Nick

2haerim
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My experience gives more concise rule

Postby 2haerim » 10 Nov 2007

When a symbol has a price scale 1/100 and you want to plot a 1 Point Chart (in terms of traditional 1 Point), simply enter 100 for the Compression value from the Format Symbol dialog. Entering 50 and 200 will give you 0.5 and 2 Point chart, respectively.

The general rule is:

The Compression value to plot N point chart for a symbol with price scale PS
= N / PS

Simple enough, isn't it?

For example, we have KOSPI Futures symbol (price scale is 1/100).
To plot 2 Points charts, I enter 2 / (1/100) = 200. This plots each bar exactly with 2 Points.

My formula does not need Min. Movement at all. Actually if I use Min Move as Marina said, I got wrong range bar chart. For KOSPI Futures, the min. move is 5. So, 5x2 only gives 10. If I enter 10 into Compression field, I got 0.1 Point chart, not 2 Points chart. According to my formula, I had to enter 200 to plot 2 Points chart.

When Nick entered 1 into the compression field, MC would have tried to plot 0.01 point chart and that caused MC to build enormous # of too small range bars and eventually eats up all the virtual memory.

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Marina Pashkova
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Postby Marina Pashkova » 14 Nov 2007

Dear HaeRim,

I am afraid your calculations are not quite correct.

You are right in implying that price scale is indeed vital for the symbol to be displayed correctly. However, the reasoning in your last post won't give correct results for the range bars.

Whenever a symbol is plotted one must make sure that the Minimal Movement and the price scale for a symbol are set right. Once the right values have been set, the formula I cited in my previous post should be used for plotting range bars.

In future MC versions, the implementation will be more straightforward. In other words to plot a 2 point chart you will simply have to enter 2 points into the data compression field.

Regards.

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Postby 2haerim » 14 Nov 2007

Hi Marina,

I still don't get the things clearly yet.

The KOSPI Futures symbol that I am plottiing has the following settings:

Price Scale(PS): 1/100
Point Value(PV): 500000
Daily Limit(DL): 10
Min. Movement(MM): 5

When I want to plot 2 Point chart, I only need to enter 200 which is 2 / (1/100) = 2 * 100 = 200. For 1.5 Point chart, 150 does the job.

The only thiing I need is the Price Scale. So my formula (N/PS) to plot N Point chart works perfectly so far.

However, if I follow your calculation (N*MM), I would have to enter 2*5=10 and this would plot 0.1 Point chart, not 2 Point chart.


@ES symbol has the following settings:

Price Scale: 1/100
Daily Limit: 3000
Min. Movement: 25
B ig Point Value: 50

I entered 50 and 200 into the Compression field for @ES symbol and each one plotted 0.5 Point and 2.0 Point chart, respectively. This also proved my formula is correct.

Please check your assertion again.

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Marina Pashkova
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Postby Marina Pashkova » 15 Nov 2007

@ES symbol has the following settings:

Price Scale: 1/100
Daily Limit: 3000
Min. Movement: 25
B ig Point Value: 50

I entered 50 and 200 into the Compression field for @ES symbol and each one plotted 0.5 Point and 2.0 Point chart, respectively. This also proved my formula is correct.


HaeRim,
According to MC logic, 50 points in the data compression field, given that the price scale is 1/100 will give you a 2-point chart, not 0.2.

Best regards.

2haerim
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50 into compression field plots H-L=0.5, not 2

Postby 2haerim » 15 Nov 2007

Please try toplot @ES symbol yourself and you will see it exactlyy as I say.

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Marina Pashkova
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Postby Marina Pashkova » 15 Nov 2007

Dear HaeRim,

When I gave the formula to plot range bars in MultiCharts I mentioned that the program uses logic that is different from the conventional logic for handling point bars. This is why the reasoning you are using cannot be applied to points in Multicharts. In the next MultiCharts version this will be corrected. In other words, in the new MultiCharts versions, when you want to plot 1 point bars you will type in 1 point.

However, at the moment the formula and the reasoning described in my previous posts have to be used.

Attached, please find the tables which might help you understand the currently implemented reasoning.
Attachments
point bars logic.doc
(30.5 KiB) Downloaded 97 times

Nick
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Postby Nick » 28 Nov 2007

I have a problem with DAX the min movement is 12.5 but range bars do not accept fractions (nore does QM).

Should I double everything up?

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Marina Pashkova
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Postby Marina Pashkova » 28 Nov 2007

Hi Nick,

What's the data provider? And the exchange?

Thank you.

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Postby Nick » 29 Nov 2007

Hi marina,

It is DAX and the exchange is DTB.

I am using IB.

Cheers.

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Marina Pashkova
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Postby Marina Pashkova » 29 Nov 2007

Hi Nick,

I might be looking at a differnt symbol, but according to IB's contract details Min Movement for DAX (DTB exchange) is 1 and not 12.5.
Do you have any source where you double-check details for contracts? I could double-check it as well.

Regards.

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Postby Nick » 02 Dec 2007

My bad

From

http://www.eurexchange.com/trading/prod ... html#table

DAX® Futures EUR 25 0.5 EUR 12.50

So it ticks in .5 of a point at 12.50 a tick.

Still cant enter fracftional values though?

I know I'm being dense :)

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Postby momentum » 03 Dec 2007

Nick

Check how you set up the symbol.

For DAX, I use a price scale of 1/10 and for a range bar of 5 points I input 50 for my compression setting when I charts. 12.5 is the Euro value of a tick.

HTH

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Postby Nick » 03 Dec 2007

Gottcha,

I was being dense, and lazy.

Thanks.


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