TWS autotrading problems

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danilo
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TWS autotrading problems

Postby danilo » 14 Apr 2008

I have installed the last beta, but the autotrading feature is not working. I'm using a strategy that use IOG and set the conversion of limit order to market order after 5 secs.

I have attached the MC logs and the strategy source.
(the strategy has been tested on ESM8 future, 5-min bar)
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MC_Logs.zip
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Postby SUPER » 14 Apr 2008

I have same problem to report and my log looks similar to one posted above. I have tried re-installation without much success, systems with intrabar-ordergeneration enabled seem to have this problem.

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Postby autotrade » 14 Apr 2008

as you can see from my posts i've had huge problems with intrabar autotrading also. Basically it's very erratic and from trade to trade it seems to act different.

I'm considering going back to ver 2 official release altogether. Nothing but paper trades for 3 1/2 weeks now.

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IOG dosn't work

Postby danilo » 15 Apr 2008

I have installed the FINAL release 3.0. but I have still problems, when MC is in IOG mode, the orders aren't sent to TWS !

I had to downgrade to beta2 (ver. 3.1180.4173), more in detail, the IOG mode is not working from beta3 (when was introduced the functionality to convert limit/stop order to market order) to FINAL (included).

I hope that will be released a Hot-Fix asap.

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Postby autotrade » 15 Apr 2008

you mean it's not working in the official release still?

Sergee, confirmed with me today it was fixed. geez.

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Postby SUPER » 16 Apr 2008

Orders generated with IOG enabled strategies are not sent to TWS.

Final release 3.0

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Postby autotrade » 16 Apr 2008

ok, I can confirm after a morning of reviewing trading.

Some entry and all exit orders I have generated using IOG are not taking in IB.

In other random instances, orders appear in IB and are not on chart.

This is using the same entry and exit code that I previously supplied support. However, trailing stop seems to work.

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Postby SUPER » 16 Apr 2008

TS Support through QuickHelp changed AT OrderController Dll and IOG mode orders are being received and executed by TWS-one problem solved.

However, if you select option "convert unexecuted limit/stop order to market order after xx seconds" it executes additional market orders after XX Seconds once Limit/Stop order have been executed. Looks like the internal program is not able to keep track of filled orders. More work needed to make it work.....I guess we are slowly getting there.

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Postby autotrade » 16 Apr 2008

Super:

Are you saying IOG is working now for scaling exits? Is there anything we need to do, ie. load a hotfix?

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Postby SUPER » 17 Apr 2008

autotrade,

As I said in my earlier message, through remode destop connection with TS Support a new ATOrdercontroller DLL was installed on my PC (hotfix) and it is able to send order to TWS and they are being executed by TWS. Problem with other options slected i.e, convert unexecuted limit/stop order to market order functionality does not work.

I have not tried out scaling and so really can't comment on it.

I suggest you contact TS Support staff for hotfix so that your can test your systems.

Regards
SUPER

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Postby Marina Pashkova » 17 Apr 2008

Hi guys,

Here's the hot-fix that should solve the problem both with IOG and limit/stop orders conversion into market orders (it's the same file we loaded on SUPER's computer earlier today)

SUPER, Regarding the conversion problem that persists even with the hot-fix. Please check the rule below. Maybe this is the case in the particular situation you're describing.

1. One of the Strategy fill logic options is enabled
2.The strategy fills a price order on the chart
3.The indicated period for limit/stop to market conversion times out
4.But the broker does not send a confirmation that this order has been filled

Under the conditions above the price-order is replaced by a market order. No additional message boxes requiring the confirmation of the new orders will appear.

If this is something you've experienced, that this is not a bug but a normal program behavior.
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Postby SUPER » 18 Apr 2008

Marina,

Sorry, I have to disagree with you on this one, it happens on almost all orders that are generated on my PC I have allowed for 30 seconds conversion time and I thing that should be good enough for normal trading situation.

I will do a live demo with your TSSupport this afternoon so that they can experince what I am taking about.

Regards
SUPER

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Postby Marina Pashkova » 18 Apr 2008

Ok SUPER,

We'll be waiting for you to contact us then

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Compatibility is good

Postby danilo » 18 Apr 2008

Under the conditions above the price-order is replaced by a market order. No additional message boxes requiring the confirmation of the new orders will appear.

If this is something you've experienced, that this is not a bug but a normal program behavior.


Marina,
If the timeout is zero, MC will send always 2 orders, it doesn’t make sense, when timeout=0, MC must send only 1 order at Market.

Regarding the NEW auto trading engine, I have understood that big efforts has been made to have a more intelligent execution engine, MC parse and analyze the strategy and try to anticipate the orders, it's really a quantum leap head!, but to be complete need a more intelligent order management to avoid to cancel and re-submit always the same orders and a new and intelligent back-testing engine with a clever look inside-bar to emulate the behaviour of the NEW auto trading engine. I know that "TS Support" is working hard on that and that for the end of this year the product will be complete and finally MC will be a true innovative product and not only a better TS8 clone.

But it's also important to understand that the NEW trading engine could be not compatible with all the (requested) execution brokers and that there are thousands of strategy developed for TS8/TS2k and tested on TS8/TS2k, and I strongly suggest to don't forget the COMPATIBILITY with TS8.

In Summary, I'm asking to give to MC users the options to use the old-style execution engine, to add to the signal properties a flag to set the TS8 compatibility mode (like WindowsXP does for Win95). So the users had all the required time to test and eventually rewrite the strategy to use the feature of the NEW engine.

Regards,
Danilo

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Postby SUPER » 24 Apr 2008

Ok SUPER,

We'll be waiting for you to contact us then


Marina,

Any news on the problem I demonstrated to you on 18th.

Regards
SUPER

fs

Postby fs » 25 Apr 2008

Hi guys,

Here's the hot-fix that should solve the problem both with IOG and limit/stop orders conversion into market orders (it's the same file we loaded on SUPER's computer earlier today)

SUPER, Regarding the conversion problem that persists even with the hot-fix. Please check the rule below. Maybe this is the case in the particular situation you're describing.

1. One of the Strategy fill logic options is enabled
2.The strategy fills a price order on the chart
3.The indicated period for limit/stop to market conversion times out
4.But the broker does not send a confirmation that this order has been filled

Under the conditions above the price-order is replaced by a market order. No additional message boxes requiring the confirmation of the new orders will appear.

If this is something you've experienced, that this is not a bug but a normal program behavior.


Marina

I have asked before that these hot-fixes are placed at a central place for easy finding. The current download page is probably the best place. You cannot expect people to accidentally stumble upon hot-fix in the forums.

This will make sense to place all relevant hot-fixes for a specific release together. This is is just not practical to have to look through the forum if there are maybe a hot-fix for a specific issue and then when one found it, you don't know if this is a valid fix for ones MC version.

Regards
- Fanus

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Marina Pashkova
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Postby Marina Pashkova » 25 Apr 2008

Hi Fanus,

Thank you for your suggestion. We are planning to release a service pack soon and we'll make sure that it will be easy for the users to find.

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Re: Compatibility is good

Postby Marina Pashkova » 30 Apr 2008

Marina,
If the timeout is zero, MC will send always 2 orders, it doesn’t make sense, when timeout=0, MC must send only 1 order at Market.


Hi Danilo,

This is a confirmed bug. Our engineers are working on it. The fix will be included into the service pack for MC 3.0

Regarding the NEW auto trading engine, I have understood that big efforts has been made to have a more intelligent execution engine, MC parse and analyze the strategy and try to anticipate the orders, it's really a quantum leap head!, but to be complete need a more intelligent order management to avoid to cancel and re-submit always the same orders and a new and intelligent back-testing engine with a clever look inside-bar to emulate the behaviour of the NEW auto trading engine. I know that "TS Support" is working hard on that and that for the end of this year the product will be complete and finally MC will be a true innovative product and not only a better TS8 clone.


We absolutely agree that a really intelligent back-testing should be able to 'look inside bar' and we are certainly planning to support this feature in future. However, the implementation will take some time and effort on our end.

In Summary, I'm asking to give to MC users the options to use the old-style execution engine, to add to the signal properties a flag to set the TS8 compatibility mode (like WindowsXP does for Win95). So the users had all the required time to test and eventually rewrite the strategy to use the feature of the NEW engine.


I think I mentioned somewhere before that we are not quite as big as Microsoft. While they can afford supporting several operational modes, we can't. But there is an easier way to have the strategies executed the way they used to: just use market orders in your signal codes instead of limit/stop orders.

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Postby danilo » 01 May 2008

But there is an easier way to have the strategies executed the way they used to: just use market orders in your signal codes instead of limit/stop orders.


Marina, I would stress the concept that is this way the strategy behaviour and performance will be different and usually worse respect to the results obtained executing the same strategy with limit/stop order in MC2/TS8. I didn't understand the big effort to have also working in MC3 the old engine that was working in MC2, since all necessary code has been already developed.

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Postby Marina Pashkova » 07 May 2008

Hi danilo,

Once we fix the bug (the fix will be available in the service pack due by the end of the next week), all you'll need to do to emulate the old-style market orders is set 0 seconds for the timeout for the conversion of limit/stop orders into market orders. No separate trading engine mode will be necessary.

Regards.

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Postby danilo » 14 May 2008

Dear Marina,

This is the best solution! It isn’t necessary to be as big as Microsoft to develop a great software like Multichart.

Kind Regards,
Danilo

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Postby Marina Pashkova » 15 May 2008

Thank you Danilo.

We are trying to fix all the autotrading bugs and glitches that are present in the current version of MC. So if you encounter more problems, please let us know.

Regards.

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Postby liang323 » 15 May 2008

hello Marina,

I'm using the latest version of MC 3.0 (3.0.1200.4785), and i think i will be using MC for automated trading in the near future. Just wondering regarding the hot fixes, I haven't installed them yet, do you recommend everybody to install the hot fixes? or they are only for certain computers.

and will these incremental fixes be included in the next release of MC? so we don't have to install the individual fixes one by one.

Thanks

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Postby Marina Pashkova » 15 May 2008

hello Marina,

I'm using the latest version of MC 3.0 (3.0.1200.4785), and i think i will be using MC for automated trading in the near future. Just wondering regarding the hot fixes, I haven't installed them yet, do you recommend everybody to install the hot fixes? or they are only for certain computers.

and will these incremental fixes be included in the next release of MC? so we don't have to install the individual fixes one by one.

Thanks


Hi liang323,

I would recommend installing the fixes. They are meant for all users.

All these fixes will be integrated in the next MultiCharts version.

Regards.


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