Bar construction in PT when using mid-point True RT bars from IB  [SOLVED]

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Zheka
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Bar construction in PT when using mid-point True RT bars from IB

Postby Zheka » 11 Oct 2017

I have been running PT with FX instruments set for using mid-point True RT bars from IB (i.e. Trades; Use 5-sec bars as Ticks).

Observing IB Gateway logs, I could see that indeed the 5-sec bars are coming to the api client.
However, live tick Bid and Ask are subscribed to by MC as well.

This makes me uncertain about how the bars are actually constructed in this case (from True 5-sec RT bars) - in PT.
I tested it MC - and am sure the bars are constructed and closed based on True RT bars.
Please confirm how is it in PT.
What is the reason/need for streaming live Bid and Ask ticks?
Handling of simulated stop/profit target orders intrabar?

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Anna MultiCharts
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Re: Bar construction in PT when using mid-point True RT bars from IB

Postby Anna MultiCharts » 20 Oct 2017

Hello, Zheka!

MultiCharts perceives midpoints as ticks, and RT bars are constructed from them. Midpoints are only used for Forex trades.
Additional Ask and Bid data streams can be used for extended backtesting which is not available in Portfolio.
To check where these streams are coming from, please check if there’re any undesired charts, scanners in the Window tab, if there’re any hidden data series on the existing charts or if QuoteManager is collecting real-time data for these fields.

Zheka
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Re: Bar construction in PT when using mid-point True RT bars from IB

Postby Zheka » 24 Oct 2017

Hi, Anna,

I observed this behavior when "live" paper trading in Portfolio Trader - with neither QM, nor core MC running.
Just IB Gateway and PT.

Please check this on your end.

I verified that core MC constructs RT bars from midpoints correctly. But I have no way to verify that this is similarly so in Portfolio Trader.
Please ask your programmers to check once again.

Thank you in advance.

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Anna MultiCharts
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Re: Bar construction in PT when using mid-point True RT bars from IB

Postby Anna MultiCharts » 01 Nov 2017

Zheka,

In Live trading MultiCharts or Portfolio will always subscribe to Ask and Bid data as these prices are necessary for trading itself and for calculation such values as Open P/L.

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Re: Bar construction in PT when using mid-point True RT bars from IB

Postby Zheka » 01 Nov 2017

Ok.
My question has been different though: please confirm that the bars in RT in Portfolio Trader get constructed from mid-point True RT bars (when I select Trade field for Fx), and not from Bid-Ask.

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Anna MultiCharts
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Re: Bar construction in PT when using mid-point True RT bars from IB  [SOLVED]

Postby Anna MultiCharts » 02 Nov 2017

Zheka,

Yes, we confirm that for FX instruments in Portfolio mid-point data is requested.


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