Is it possible to have my trading Algorithm run calculations on "Last" bars and still fill limit orders on Bid/Ask prices that happened in between (or on) Last prices?
I tried doing this via "Precise Backtesting" mode (as shown in this link http://www.multicharts.com/trading-soft ... acktesting ).
However, based on the link's documentation, it seems when in "Precise Backtesting" mode I can only have Bid data and Ask data on the chart, which would prevent my trading Algorithm from being able to run calculations on "Last" bars.
I look forward to your thoughts.
Thanks!
Last bars and "Precise Backtesting" mode
- JoshM
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Re: Last bars and "Precise Backtesting" mode
This is not my understanding of the 'Precise Backtesting' feature. The way I read the wiki:I tried doing this via "Precise Backtesting" mode (as shown in this link https://www.multicharts.com/trading-sof ... acktesting).
However, based on the link's documentation, it seems when in "Precise Backtesting" mode I can only have Bid data and Ask data on the chart, which would prevent my trading Algorithm from being able to run calculations on "Last" bars.
In other words, the 'Precise Backtesting' feature seems to be used for order filling only (and not for order generation). Your original data series on the chart will still be used for the order generation, and that data series can be set to trade prices to have your algorithm calculate on those prices.With Precise Back Testing, the user can load the historical bid data series and the historical ask data series into MultiCharts. MultiCharts will use the ask data series to fill buy market, buy stop and buy limit orders. Similarly, MultiCharts will use the bid data series to fill sell market, sell stop and sell limit orders.
Re: Last bars and "Precise Backtesting" mode
Thanks for the reply Josh,
Step 6 from the Wiki says
Perhaps I misunderstood the Wiki's instructions all together?
Is it saying to add all data series to one single chart (such as the chart shown in attached screenshot 1.jpg, whose Green lines show Ask ticks, Red lines show bid Ticks and Red bars show 1 minute bars)?
Or is is saying something totally different (such as adding the data series to 2 different charts instead of 1)?
Step 6 from the Wiki says
I figured this means the Algorithm can only be applied to the Bid data series or Ask data series (and therefore only be able to analyze Bid and/or Ask data, but not Last data)?6. Apply the strategy to the Ask data series, which is the first chart. It does not matter if the strategy is applied to the Ask data series or the Bid data series. It only matters that the strategy is applied to the first chart.
Perhaps I misunderstood the Wiki's instructions all together?
Is it saying to add all data series to one single chart (such as the chart shown in attached screenshot 1.jpg, whose Green lines show Ask ticks, Red lines show bid Ticks and Red bars show 1 minute bars)?
Or is is saying something totally different (such as adding the data series to 2 different charts instead of 1)?
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- 1.JPG
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- Henry MultiСharts
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Re: Last bars and "Precise Backtesting" mode
Hello M747,
JoshM's reply is correct:
JoshM's reply is correct:
You can have Trades on data1 for signal calculation, Asks and Bids on data2&3 for order execution in "Precise Backtesting" mode.In other words, the 'Precise Backtesting' feature seems to be used for order filling only (and not for order generation). Your original data series on the chart will still be used for the order generation, and that data series can be set to trade prices to have your algorithm calculate on those prices.
Re: Last bars and "Precise Backtesting" mode
Hi Henry,
I made a chart with Trades as Data1, Asks as Data2 and Bids as Data3.
However, as shown in attached screenshot 2.jpg, it only gives gives me the option to select the Data1 in "use for ask series data"
The same thing happens when I press the "use for bid series data" pulldown.
Any idea why this is?
thanks
I made a chart with Trades as Data1, Asks as Data2 and Bids as Data3.
However, as shown in attached screenshot 2.jpg, it only gives gives me the option to select the Data1 in "use for ask series data"
The same thing happens when I press the "use for bid series data" pulldown.
Any idea why this is?
thanks
- Attachments
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- 2.jpg
- (225.52 KiB) Downloaded 617 times
Re: Last bars and "Precise Backtesting" mode
Hi Henry, Any thoughts on post #5 of this thread?
Alex was able to solve #5 during a live chat via pressing "Terminate Playback, go to Realtime" however the problem has come back even when i press that button.
Perhaps there is something else causing the issue?
Thanks
Alex was able to solve #5 during a live chat via pressing "Terminate Playback, go to Realtime" however the problem has come back even when i press that button.
Perhaps there is something else causing the issue?
Thanks