End of Sessions and Renkos

Questions about MultiCharts and user contributed studies.
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MAtricks
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End of Sessions and Renkos

Postby MAtricks » 10 Feb 2015

Renko charts do not recognize trading sessions so resting orders are placed 1000s of times a minute when the market closes.

This is a bug.

When the session ends, trading should end as well.

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Henry MultiСharts
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Re: Bug - End of Sessions and Renkos

Postby Henry MultiСharts » 11 Feb 2015

Hello MAtricks,

Do you have "Break on Session" enabled in Format->Instrument->Settings tab?

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Re: Bug - End of Sessions and Renkos

Postby MAtricks » 11 Feb 2015

Live Trading shouldn't occur beyond a session/session template regardless of chart settings. This isn't about settings... orders are firing when there's no market. Our FCM and the CME has threatened us with fees because of this bug. We've had to take precautions which are taxing on the daily routine.

Break On Session would obliterate what I'm doing with this chart. If this is the only way to keep orders within the session, that'd be fairly silly..

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Re: Bug - End of Sessions and Renkos

Postby Henry MultiСharts » 12 Feb 2015

Live Trading shouldn't occur beyond a session/session template regardless of chart settings. This isn't about settings... orders are firing when there's no market. Our FCM and the CME has threatened us with fees because of this bug. We've had to take precautions which are taxing on the daily routine.

Break On Session would obliterate what I'm doing with this chart. If this is the only way to keep orders within the session, that'd be fairly silly..
Do you have IOG enabled for your trading signal?
Do you use RecalcLastBarAfter in this code?
Are the bars updating on the chart beyond a session/session template?

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Re: End of Sessions and Renkos

Postby MAtricks » 12 Feb 2015

No.
No.
No.

The issue is that the renko charts do not "end" so any resting orders will be sent thousands of times only halting when your FCM or the exchange shuts you down. These charts need to obey the session hours in regards to orders being placed.

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Henry MultiСharts
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Re: End of Sessions and Renkos

Postby Henry MultiСharts » 12 Feb 2015

No.
No.
No.

The issue is that the renko charts do not "end" so any resting orders will be sent thousands of times only halting when your FCM or the exchange shuts you down. These charts need to obey the session hours in regards to orders being placed.
Please send us (support@multicharts.com) the following information for further analysis:
- workspace you are using;
- in QuoteManager select the symbol you are using, make a right click on it->Export data->Export instrument (without data). Send me the Qmd export file for analysis;
- in PowerLanguage editor->File->Export->export with dependent functions the studies you are using in the workspaces you are providing. Send me the study export file;
- specify the version and build number of MultiCharts you are running (in MultiCharts go to Help tab-> About);
- attach a detailed problem description and highlight the problem on the screenshots specifying the wrong orders;
- instructions for replicating the error or video demonstrating it.

You can also come to our live chat Monday-Friday 6:30 am - 1 pm EST to demonstrate this behavior remotely. We will do our best to help you.

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Re: End of Sessions and Renkos

Postby MAtricks » 12 Feb 2015

1. Create a Renko chart:

Image

2. Apply your session hours to it.

3. Apply this strategy to the chart:

Code: Select all

//Enter a position before SA/AA for best effect
[intrabarordergeneration = false]
Buy next bar C-1000 Limit ;
Sellshort next bar C+1000 Limit ;
Buy next bar C+1000 Stop ;
Sellshort next bar C-1000 Stop ;
setprofittarget( 2000 ) ;
setstoploss( 2000 ) ;
4. Wait for the closing hours in the market of your choice and watch as the platform sends thousands of orders which is incredibly hard to stop because of how much processing power it consumes while doing so.
Attachments
Renko bug.jpg
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Henry MultiСharts
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Re: End of Sessions and Renkos

Postby Henry MultiСharts » 13 Feb 2015

Renko charts do not obey the session hours when "Break on session" is disabled. The bar will remain open (Barstatus=0) on session end, orders can be sent on bar open with IOG=Off. Having continuous series is the purpose of having the "Break on session" disabled. Please add time filtering to your code to limit generation of unnecessary orders.

We have identified an issue with a 1 tick Renko chart not closing the bar when "Break on session" is enabled. Only 1 tick Renko chart is affected. 2 ticks and above work ok. The fix of the issue is targeted to MultiCharts 9.1 Beta 1.

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Re: End of Sessions and Renkos

Postby MAtricks » 26 Feb 2015

Henry,

I wrapped my entire code with:

Code: Select all

INPUTS:
StartTime( 1700 ),
EndTime( 1615 ) ;

//TIME FILTER
if Time>=StartTime OR Time<=EndTime then begin
{code is here}
END ;
//TIME FILTER
Stop Loss and Profit Target orders are still being attempted by Multicharts at an incredible speed. Is there something else needed for my time filter?


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