Trades Don't Match on Refresh?

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SUPER
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Trades Don't Match on Refresh?

Postby SUPER » 01 Apr 2008

I am little concerned about trades being different on refresh of chart. I had a long trade this morning and on refresh the chart shows a short trade, now how do you handle this situation on realtime trading. I have used IB as my data feed with multichart.

I am attaching images before and after refresh along with TS Chart for same strategy to demonstrate this perticular problem.
Attachments
mC-3.JPG
before refresh
mC-3.JPG (86.79 KiB) Viewed 529 times
mc-4.JPG
after refresh
mc-4.JPG (89.33 KiB) Viewed 530 times
MC-5.JPG
TS Chart
MC-5.JPG (95.84 KiB) Viewed 530 times

drwar
Posts: 218
Joined: 31 Jul 2005

Postby drwar » 01 Apr 2008

Super
It looks like before refresh matchs TS. Is the TS data refreshed ?
Here are several possibilities
1) Your ISP and/or the connection to your ISP is poor.
2) Your computer is too slow and/or not enough memory for the number of symbols you are charting.

J~

SUPER
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Postby SUPER » 01 Apr 2008

Super
It looks like before refresh matchs TS. Is the TS data refreshed ?
Here are several possibilities
1) Your ISP and/or the connection to your ISP is poor.
2) Your computer is too slow and/or not enough memory for the number of symbols you are charting.

J~


Thanks for your suggestions, I have thought off all possbilities you have pointed out.

I have refereshed TS and it has similar results. Multichart and TS are running on different machines and there is only one symbol and one charts ploted with 5 minute interval on Multichart computer.

I am attaching a very simple system and may be you can run it on your side and please let me know if you find similar problems at your end.

I have test following code on DAX 2 minute interval chart and it too has similar problems.

Code: Select all


Input: Length(5),VarA(5),VarB(5),EndOfDayExit(true);

Var: LowBar(0),HighBar(0),BuyPrice(0),ShortPrice(0);

[intrabarordergeneration=true]

 

LowBar= Lowest(Low,Length)[1];

HIghBar= Highest(High,Length)[1];

BuyPrice= LowBar + Range[1] * VarA;

ShortPrice=HighBar - Range[1] * VarB;

If marketposition <> 1 then buy next bar at BuyPrice stop;

If marketposition <> -1 then sellshort next bar at ShortPrice stop;

if EndOfDayExit then setexitonclose;



Thanks & Regards
Super

drwar
Posts: 218
Joined: 31 Jul 2005

Postby drwar » 01 Apr 2008

Super
Your looking at an indirect effect and trying to figure out what your problem is.
You need to be looking at the data bars to determine why they are different. Do TS and IB get the Dax data from the same source ? I don't know the answer to that. You have to compare apples and apples. I would be more concerned about figuring out why the data is different after a reload. Save the realtime data under a different symbol before reload and then compare it bar by bar with reloaded data to see what the difference are. Then you might be able to draw some comclusions as to what is happening. Looking at the system results is not going to tell you where the problem is.

FWIW

J~

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Marina Pashkova
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Postby Marina Pashkova » 01 Apr 2008

Hi Super,

We'll be waiting for you feedback after the tests on TS's data in MultiCharts. And also please use the code that you posted for the screenshots.

Thank you!

SUPER
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Postby SUPER » 02 Apr 2008

I spent some time with TS Support team and quiet rightly pointed out by "drwar" on this thread it seems the problem is with IB data feed.

I have been given to understand that when MultiCharts plots data from IB in real-time, local MultiCharts time is taken for timestamps. For history (the data you see after a reload) time stamps for bars are used the way they are sent from IB, this may result in discrepancies between the bars and thus to different orders on history as compared to real-time.

I ran same system on Multichart with TS data feed and on refresh found that real-time and historical orders were same.

From what I have experinced and given explanaiton it's dicey to use IB data feed.

Thanks drwar and TS support team for your guidance.

drwar
Posts: 218
Joined: 31 Jul 2005

Postby drwar » 04 Apr 2008

SUPER

Np, Glad I could help

J~


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