Strategy Errors

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invest88
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Strategy Errors

Postby invest88 » 20 Feb 2020

Hello all,

I've been testing some complex startegies that utilises global variables to indentify trading opportunities on futures. I have been testing these strategies using data of previous months, running them at a tick by tick speed month by month. They were working well and I was able to analyse the strategies via the strategy performance report and the output. However, I am running into problems as I test these strategies on a computer with faster processing power. I have searched online for help but am still unclear on some things, which is why I am turning to you all for help.

1. Historical Data Pacing Violation from IB - When I try to load charts of previous months at tick by tick, the error message would appear after I selected the first day of the month as I attempt to start the playback. The play button would be greyed out and the status message would say 'Waiting for detailed data'. From my search online about the error message my understanding so far is that I am requesting too much data and the solution is to either swtich a datafeed provider or pay IB for more data. However, I have noticed the error message would sometimes stop when I exit out of IB and the play would no longer be greyed out and thus making playback available. These messages would sometimes show up on my old computer but would eventually disappear and playback would be available. I am just concerned if this data is accurate. My strategy needs to run on a tick by tick basis in order to work. I have tried testing this with two IB accounts and the error still appears. What can I do to solve this?

2. Orders Entering and Exiting One Bar Late - Another error that I am running into is orders in my strategies are entering and exiting one bar late. This would happen either throughout the whole playback or only in the first half of the playback. Because of this, as expected the profit shown on the strategy report is different. Each buy/sell order is tied to a print message and I included a time stamp in the print messages. Output is showing that the conditions are met on the correct bar but they are entering late for some reason. Why is that? This never happened on my other computer and I am just very very confused. Each order is submitted through 'Next Bar at Market' with IOG on which is supposed to be the next tick on the bar to my understanding. Under what scenario would cause an order to be sent late? I have tried running playback at slower speeds but the results are the same. Are my strategies too complex? It doesn't make sense as this new computer that I am testing on is much faster than the computer I had originally tested that shown good results. Is this somehow related to my first problem? How can I fix this?

I would very much appreciate if you can help me solve these problems. I was about to test these strategies live after seeing good results in playback. But after running them on a new computer I am concerned about testing it live. What am I doing wrong and how can I fix this?

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TJ
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Re: Strategy Errors

Postby TJ » 21 Feb 2020

1. Make sure you have data in your computer.
When you open a chart, MC would first see if you have the quotes in your computer's database. If not, then it will request a download from your provider.

Every time you close down MC, MC would save the quotes to your computer. This might take a minute or two. IT IS IMPERATIVE that you wait until all the data are saved before you shut down your computer. Otherwise, the quotes will be lost, and MC will need to download them again next time you need them.

Before you shut down the computer , check for these MultiChart processes in your TaskManager to make sure they are nolonger in operation:
https://www.multicharts.com/trading-sof ... _Processes

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invest88
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Re: Strategy Errors

Postby invest88 » 24 Feb 2020

1. Make sure you have data in your computer.
When you open a chart, MC would first see if you have the quotes in your computer's database. If not, then it will request a download from your provider.

Every time you close down MC, MC would save the quotes to your computer. This might take a minute or two. IT IS IMPERATIVE that you wait until all the data are saved before you shut down your computer. Otherwise, the quotes will be lost, and MC will need to download them again next time you need them.

Before you shut down the computer , check for these MultiChart processes in your TaskManager to make sure they are nolonger in operation:
https://www.multicharts.com/trading-sof ... _Processes

Image
Hi TJ,

Thank you very much for your reply. I have tried what you suggested and the pacing violation errors are gone! Would you happen to know of solutions to the second error? I had just created a new strategy with less processes and playback is still entering and exiting a bar late.

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Anna MultiCharts
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Re: Strategy Errors

Postby Anna MultiCharts » 26 Feb 2020

Hello invest88,

As per your second question – unfortunately this is a known issue and it can be replicated on our end. We expect to introduce a fix for it in one of the first releases of MultiCharts 14.

invest88
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Re: Strategy Errors

Postby invest88 » 27 Feb 2020

Hi Anna,

Thank you for your reply. When will Multicharts 14 be released? And is there any temporary workaround for this issue?

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Anna MultiCharts
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Re: Strategy Errors

Postby Anna MultiCharts » 28 Feb 2020

invest88,

The workaround would be to not use a high speed of playback – it should not exceed 20 updates per second.


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