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Open Feature request MC-1336

Adding a third mode to mode-selection SA and AA for auto-trading with an exit based on "real" setprofittarget (and not from the chart)

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In live-trading there are nasty limitations which really costs money through slippage or bad fills or no fills. The reason is the familiarity to Trade Station which does not offer flexible live-trading-options.
AA-mode for automated-trading works better than SA-mode because limit-order can be converted to market-order after x seconds. The signals between Power Language system in the chart and automated trading are mostly identical, which is NOT the case in SA-mode due to some SA-restrictions. Nevertheless the AA-mode has some disadvantages I want to overcome with a new mode AEA (Asynchronous Entry Automode).

You always lose money using AA-mode because of slippage:

Behaviour of AA-mode: The entry-price is reached and a limit-order e.g. changes to market-order. You have e.g. 2 or 3 ticks slippage you cannot avoid.
And now comes my proposal:
You had slippage on your entry and usually use setprofittarget to close the position. With your entry you lost 2-3 ticks. Your limit-order is right placed at the broker according to setprofittarget, but in the chart setprofittarget is reached 2-3 ticks earlier than the exit-order placed at the broker. Now MC closes the position 2-3 ticks earlier and deletes the exit-order at the broker. There you can also have some slippage.
Therefore I want to add at properties -> automode -> mode selection a new mode, which does an entry as until now in AA-mode,but the exit will be taken from the value of the setprofittarget (and not when the chart generates the setprofittarget). Especially intraday this is very important.

Steps to reproduce this issue

Just do some automated trading and there is no way to avoid this.

Comments (7)
user-offline.png  MultiCharts Support (MultiCharts)
May 14, 2013 - 19:51

"AA-mode for automated-trading works better than SA-mode because limit-order can be converted to market-order after x seconds." - this is possible in [SA] mode as well.

user-offline.png  Maurer (Maurer)
May 14, 2013 - 21:15

To be honest, I wanted to use New Feature. Afterwards I saw it was set to bug and I did not know how to change it.
Regarding this issue or proposal: My main point is, we have an automated-entry (it doesn't matter if with or without slippage) and from this entry-level I want to exit at setprofittarget and not earlier. In AA-mode (where slippage happens at the entry) this is not ensured. It closes the position when the (different) chart-entry reaches setprofittarget.
I know well about problems in automated trading, but without this third mode you don't have a chance to use setprofittarget.
But thanks for your comment, Andrew.

user-offline.png  MultiCharts Support (MultiCharts)
May 15, 2013 - 17:22

If you use SetProfitTarget, then limit order type is used. There should be such thing as slippage for limit orders, since they are alwasy filled at a specified price or better, not worse.
In [SA] mode the entry price on chart is always = entry price at broker.
In [AA] mode the entyr price on chart differs from entry price at broker end in most cases.
Assume that in [SA] the entry price both at broker and on chart is 101; in [AA] mode the entry price at broker is 101, the entry price at chart is 100. Your profit target is supposed to exit the position when price is entry price + 50. In [SA] the strategy will exit both at broker end and on chart at 151 if this price is reached. In [AA] mode the strategy will exit at 151 at broker and at 150 on chart. If the price doesn't reach 151, in [AA] mode the exit will be still displayed on chart, though it has never happened.
Please explain what is the idea of your feature request following my example, since i am not sure i quite understand you.

user-offline.png  Maurer (Maurer)
May 15, 2013 - 20:00

Hi Andrew,
in that case the AA-mode has a bug when limit-exits are used.
What happens is (example):
- Chart-Limit-Entry is at 100
- In AA-mode let's assume the broker-entry is at 103
- setprofittarget is set to 50
- At the broker the limit-exit is at 153 (as it should be)
- The chart-exit is at 150
- When 150 is reached MC closes the position automatically and deletes the broker-order at 153.
The issue is in this example the position will be closed at 150 and NOT at 153. Therefore I wanted the third mode, but when it works as you described then it is a bug.
But I will double-check within the next few days to be waterproven sure. Is the problem understood?

user-offline.png  Maurer (Maurer)
May 15, 2013 - 20:24

Anrew, you wrote:
In [AA] mode the strategy will exit
at 151 at broker and at 150 on chart. If the price doesn't reach 151,
in [AA] mode the exit will be still displayed on chart, though it has
never happened.
You say "it has never happened". But in real trading (at least with Interactive) this is exactly what happens: The position will be closed at 150 and not at 151.

user-offline.png  Maurer (Maurer)
May 16, 2013 - 16:38

Or is it necessary to set the checkbox "Recalculate on Broker Events"?

user-offline.png  MultiCharts Support (MultiCharts)
May 16, 2013 - 17:43

Everything you described is expected for [AA] mode.
Recalculate on Broker Events allows you to recalculate script intrabar and update values, but will not allow to place/cancel orders intrabar if IOG is not used.

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