Multiple data series with different session time issues.

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alex522
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Multiple data series with different session time issues.

Postby alex522 » 17 Jan 2012

I have an intra-day strategy that use more that one data series from different markets and close all position before the end of the day. In simulation, everything works fine. But in real trade, it fails to close the position before the session ended because some of the market's data (e.g. data2) is "missing" as data2's market session is ended earlier. And the end result is that the position will not close today but tomorrow morning immediately after the first bit of data2 is received.

I have set the session time of data2, so the system supposed can understand it don't need to wait for data2. Is there any way I can tell the system don't need to wait for certain data series.

Thanks a lot for your help in advance.

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furytrader
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Re: Multiple data series with different session time issues.

Postby furytrader » 17 Jan 2012

I believe that the issue relates to "Realtime history matching" - essentially, the system will not generate a signal unless all data series are currently updating.

There is a way to turn this off for your strategy:

Go to "Format Strategy" and click on the tab that says "Properties"

Towards the middle of that dialog box, you will see a checkbox marked "Realtime-history matching". Click this "off" and the system will use whatever the last value was for data2 when it comes to firing signals on data1. The system will not need to wait for data2 to be begin updating again in order to generate signals.

Hope this helps!

alex522
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Re: Multiple data series with different session time issues.

Postby alex522 » 18 Jan 2012

Thanks a lot for furytrader's hint. That solves all the problems!


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