Timer-Based Calculation

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Bruce DeVault
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Timer-Based Calculation

Postby Bruce DeVault » 04 Mar 2010

It would helpful to be able to have a strategy/signal calculated on a timer interval basis (e.g. every 1/2 second, or any other interval as specified in milliseconds) in addition to every trade tick.

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Re: Timer-Based Calculation

Postby janus » 04 Mar 2010

It would helpful to be able to have a strategy/signal calculated on a timer interval basis (e.g. every 1/2 second, or any other interval as specified in milliseconds) in addition to every trade tick.


I agree. Don't some platforms operate that way? I actually prefer it. The study is triggered as now on a tick update but if there is none by a predetermined interval then the study runs anyway. The study needs to know which way it was triggered so the user can have different sections of the code executed, if necessary.

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Postby Bruce DeVault » 04 Mar 2010

That is correct. A typical use for this would be that perhaps you want to put a limit order out there, but if there is no fill, you want to cancel after 10 seconds, even if there is no trade tick in the next 10 seconds. APIs usually contain keywords/properties that you can reference to identify whether or not there was a trade tick, although in fairness, you could also tell by look at the volume or tick count, which would not have increased despite that it's the same bar and there is a new calculation happening.

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Postby janus » 04 Mar 2010

That is correct. A typical use for this would be that perhaps you want to put a limit order out there, but if there is no fill, you want to cancel after 10 seconds, even if there is no trade tick in the next 10 seconds. APIs usually contain keywords/properties that you can reference to identify whether or not there was a trade tick, although in fairness, you could also tell by look at the volume or tick count, which would not have increased despite that it's the same bar and there is a new calculation happening.

Not all symbols include volume. So, the better approach is as you and I initially stated is to have a keyword to detect the state.

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Postby Bruce DeVault » 04 Mar 2010

Perhaps it's because I'm used to there being a solid tick count. Even in spot forex, the tick count would increment as the volume remained zero, whenever there was a synthetic "tick" used for charting (such as often, a bid price update by convention). In EL, because there's an "either/or" setup condition for upticks/downticks to reflect volume or ticks, this can't be relied on and the keyword becomes more important.

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Postby janus » 04 Mar 2010

I was thinking about the case where a trader is basing a study on an index symbol that sometimes doesn't have volume (eg, DOW cash via IB) and uses a global variable to send a message to place an order via another study based on the underlying futures contract. That's how I used to trade. Now I base all my triggers on the futures contract so volume would not be an issue.

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Postby Bruce DeVault » 04 Mar 2010

Understood. In general, there would be a keyword or API property to say whether it's a timer-driven calculation underway.

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Postby janus » 04 Mar 2010

Understood. In general, there would be a keyword or API property to say whether it's a timer-driven calculation underway.


That's true. So when is this feature coming? :wink:

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Postby Bruce DeVault » 04 Mar 2010

TS Support will likely be more responsive to suggestions once the immediate pressing needs of getting 6.0 released are accomplished.

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Postby RobotMan » 04 Mar 2010

TS Support will likely be more responsive to suggestions once the immediate pressing needs of getting 6.0 released are accomplished.


Are you the official TSS spokesperson now?

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Postby Bruce DeVault » 04 Mar 2010

No, I am simply stating that they will be more active again shortly. It is pretty much obvious to anyone that they're busy getting the release of 6.0 ready, and everything I've discussed with them collectively substantiates this.

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Postby RobotMan » 04 Mar 2010

It is pretty much obvious to anyone that they're busy


No, it's not. Silence/neglect does not equate to busy.

It's nice that you are in contact with TSS and have conveyed this information to the forum. But for the most part, all I can tell is, there is a bunch of dedicated Beta testers that post and do not get any confirmations or feedback from TSS on the issues that have arisen. Some are unloading the software and going back to prior builds. Some are choosing to use the editor in TS over the PLE to develop code for MC. Some have stopped using the software all together. There are serious issues that are not being addressed or reassured by the managers of this software.

Todd has done considerable development work with MC and was quite a supporter (along with Bill Dennis) of the MC platform. They no longer use it at all. I respect Todd too much to blindly blow sunshine up his ass when he asks a serious question. I am glad that you have posted that you are in contact with the absent TSS and have reassured us of the situation. I find it disconcerting that the president of a company neglects the very base of ardent supporters and Beta testers that are trying to help him succeed.

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Postby Bruce DeVault » 04 Mar 2010

I don't think that a few hour or a few days without posting a response yet to a requested new feature in the forum, or to early feedback on a pre-release beta version, constitutes neglect per se and while I do sympathize, I think you're going just a bit overboard with this. After all, the thread you're posting on I just created a few hours ago to note a suggestion for future reference as they're considering features for the next builds. I am confident you will hear a lot more from them soon, and would urge you to hang in there a bit longer and not leap to these sorts of extremes. Give them a chance to finish what they're working on and I think you'll be impressed yet again - look back at the past few years and you'll see that they have a strong track record of rolling out new versions that are significant improvements and the product has made (and is still making) huge strides in a very short amount of time. It's a track record that's practically without equal in terms of rapid development and improvement of a trading platform application, and any speed bumps along the way I think are minor distractions at most from the huge strides they've made and are still making.

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Postby Bruce DeVault » 04 Mar 2010

Also, I don't think to respond to someone's question above "when is this feature coming" which was followed by a smiley face with a simple observation that we're in the final stages of a 6.0 release and they're likely slammed with work trying to tie up the last loose ends is inappropriate at all. Although I don't speak for anyone besides myself, I have to assume the smiley face in part implied an understanding that they're no doubt trying hard to wrap up this 6.0 release, but that if this could be worked in there (isn't this always the case with suggestions?), wouldn't that be great? I have confidence they will take the suggestion in the thread into serious consideration - I simply don't presume it will make it at this very late stage into the next beta or into the final 6.0 suddenly (although you never know, it might!).

It seems to me we all need to take a deep breath and see what the next build looks like. This isn't a ground-breaking or "oh my gosh it's all broken" technical issue (although even those types of issues are understood to be possible in any beta software), and the underlying concern re: thinly traded markets is the sort of broad question all platforms struggle with, and that we've responded to here by posting a very specific suggestion on how it could be addressed in the future, in order to try to be helpful.

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Postby bowlesj3 » 04 Mar 2010

I read the very first two posts and decided to find and mention this. I have not read all the outside discussion.
===================================================
Finally more people are asking for what I suggested in the thread below. The last two posts contain fairly detailed option ideas to consider and some reserve word ideas to consider. As always it goes without saying that TSS is quite capable of deciding importance and priority based on finances and other issues on the plate.

http://forum.tssupport.com/viewtopic.ph ... pdate+tick

I am surprised this is has not been there all along actually (and I mean all along in TS since maybe TS 4.0).

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Postby Bruce DeVault » 04 Mar 2010

Thanks for this link, and for the very reasonable suggestions. Hopefully they will implement something along these lines.

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Postby bowlesj3 » 04 Mar 2010

No problem. They did a very good job at the first replay release. I am sure they will eventually put something in for this area and do just as good a job the first time out.

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Postby janus » 04 Mar 2010

One thing I did try some time ago was to plot the price based on the bid or ask, to get a more responsive reaction during really slow markets. It worked well. The study still used the trade price for computations by using the data from another chart in the same workspace. However, a timer based solution would be better.

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Postby Bruce DeVault » 05 Mar 2010

Using bid/ask stream seems like a good idea as a temporary workaround until they add a timer basis.


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