Timestamp Precision of Fills when Using Bar Magnifier  [SOLVED]

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M747
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Timestamp Precision of Fills when Using Bar Magnifier

Postby M747 » 03 Mar 2016

Hello MC Users,

I ran a backtest on 1 minute bars using Bar Magnifier (set to 1 tick) and IOG. My "Stop Loss" exit fill happened within the 1 minute bar, however the timestamp (shown on the Chart and Performance Report) of the exit fill was the close of the 1 minute bar instead of the exact timestamp of the exit fill.

Is there a way to get the timestamp of the exit fill to show up as the exact timestamp the order was filled? (MC's customer support said this was not possible, but I'm wondering if any of you MC users have figured out a way to do this?)

In other words, after reviewing the millisecond resolution tick data I imported into MC for this backtest, I can tell that my exit fill happened at the time of 16:47:27.545, however MC's Performance Report (and chart) show this fill happened at 16:48:00 (even though MC shows the exit happened at a price that only existed at 16:47:27.545 and did not exist at 16:48:00).
I'm looking for a way to get MC to show in the Performance Report (and/or chart) that this exit happened at 16:47:27.545 instead of 16:48:00

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JoshM
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Re: Timestamp Precision of Fills when Using Bar Magnifier  [SOLVED]

Postby JoshM » 04 Mar 2016

Is there a way to get the timestamp of the exit fill to show up as the exact timestamp the order was filled? (MC's customer support said this was not possible, but I'm wondering if any of you MC users have figured out a way to do this?)

In other words, after reviewing the millisecond resolution tick data I imported into MC for this backtest, I can tell that my exit fill happened at the time of 16:47:27.545, however MC's Performance Report (and chart) show this fill happened at 16:48:00 (even though MC shows the exit happened at a price that only existed at 16:47:27.545 and did not exist at 16:48:00).
I'm looking for a way to get MC to show in the Performance Report (and/or chart) that this exit happened at 16:47:27.545 instead of 16:48:00
It depends:

- If you're looking to show the millisecond timestamp of orders in the Strategy Performance Report, then this isn't possible since that report is generated by MultiCharts itself and cannot be tweaked.

- If you're looking for a workaround to get the exact timestamp of an order, then this is possible by using the DateTime_Bar_Update keyword when the Bar Magnifier is enabled. That keyword will then return the time of the tick that's processed in the bar, and not the bar's closing time (as `Time` and `DateTime` return). That keyword's value can then be outputted, and you probably want to add some logic to only filter (or 'catch') the trades you're interested in. See the different PosTrade* keywords for that.


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