MC for Interactive Brokers-fully automated portfolio trading

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quantum777
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MC for Interactive Brokers-fully automated portfolio trading

Postby quantum777 » 04 Jan 2015

MC for Interactive Brokers (fully automated trading of portfolio)?

I would like to fully autotrade a portfolio of 130 seasonal stocks using custom c++ algo's and purchased indicators.

Has anyone had experience positive or negative using MC?

Please help me. Quantum777

davewolfs
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Re: MC for Interactive Brokers-fully automated portfolio tra

Postby davewolfs » 05 Jan 2015

MC Portolio only allows you to add 10 data series for a single strategy (i don't know why they impose this limitation).

You would have to manually load your data series via DataLoader which is fairly straightforward but does require some "plumbing" work on your end.

As for C++ Indicators, no reason why you cannot call them using either P/Invoke or C++/CLI through an external DLL.

I can't comment on how robust or memory efficient the DataLoader would be on 130 data streams. I suggest you try it to see for yourself and let us know how things work out.

quantum777
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Re: MC for Interactive Brokers-fully automated portfolio tra

Postby quantum777 » 05 Jan 2015

I should have put in my comments that I would be only investing on End of Day Data and not intra-day trading. Does this change your kind answer to my post? Quantum777

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JoshM
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Re: MC for Interactive Brokers-fully automated portfolio tra

Postby JoshM » 06 Jan 2015

MC Portolio only allows you to add 10 data series for a single strategy (i don't know why they impose this limitation).

(...)

I can't comment on how robust or memory efficient the DataLoader would be on 130 data streams. I suggest you try it to see for yourself and let us know how things work out.
Portfolio Trader allows up to many more data series for a strategy, but each data series can have up to 9 additional data series. (So a single strategy can have more than 10 data series)

If each stock needs to have access to the price history of all 130 other stocks, then 130 DataLoader data streams would be needed. But for general portfolio trading, where each stock references its index, this isn't needed.

davewolfs
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Re: MC for Interactive Brokers-fully automated portfolio tra

Postby davewolfs » 06 Jan 2015

I should have put in my comments that I would be only investing on End of Day Data and not intra-day trading. Does this change your kind answer to my post? Quantum777
That is fine. Just keep in mind that it might require some additional work (with dataloader) if you are using daily bars and require to trigger your orders before the close.

quantum777
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Re: MC for Interactive Brokers-fully automated portfolio tra

Postby quantum777 » 06 Jan 2015

Each of the end of day data 130 seasonal stocks would have only one master strategy running.
The master strategy consists of 6 algo conditions being met.
Some stocks would be long and some would be short and RARELY ALL of them in play at one time.
quantum777

quantum777
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Re: MC for Interactive Brokers-fully automated portfolio tra

Postby quantum777 » 08 Jan 2015

does this sound it will work?

-Each of the end of day data 130 seasonal stocks would have only one master strategy running.

-The list and algo's would run after IB maintenance and would place the bets on the green velvet table at open for long positions and near close of day for close positions.

-The master strategy consists of 6 algo conditions being met.

-Some stocks would be long and some would be short and RARELY ALL of them in play at one time.

quantum777

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Henry MultiСharts
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Re: MC for Interactive Brokers-fully automated portfolio tra

Postby Henry MultiСharts » 08 Jan 2015

Hello Quantum777,

MultiCharts for TWS does not have Portfolio Trader. In order to use Portfolio Trader - you need to be running the full version of MultiCharts.
Portfolio Trader does not support IOG and BarMagnifier for signals. IOG is supported for the money management signal only.
It means on realtime data with Intra-Bar Order Generation (IOG) disabled - the script is calculated on the bar close. An order is placed on this bar close/next bar open. An order is then filled on any tick price within the next bar.

quantum777
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Re: MC for Interactive Brokers-fully automated portfolio tra

Postby quantum777 » 09 Jan 2015

How about this idea--

-Each of the end of day data 130 seasonal stocks would have only one master strategty running.
-The master strategy consists of 6 algo's conditions being met.
-The list of stocks (and algo's) would run after IB's am. maintenance and would place the bets on the green velvet table at open for long positions and for closing close positions on first grab of opening data.
-Some stocks would be long and some would be closed so RARELY ALL of them in play at one time.
Thank Henry for helping me!
quantum777

PS: what is IOG and bar magnifier for signals



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