Getting Started with AutoTrading: Difference between revisions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

# Determine the symbol to plot on a chart.  In QuoteManager, verify that that the '''Price Scale''', '''Min Movement''', and '''Big Point Value''' settings for the symbol are correct.  MultiCharts will have the correct settings for most of the symbols, but it is not possible to cover every symbol.  If these settings are not correct, then the chart will not plot properly and orders may be rejected by the execution gateway.  To learn more, see [[<span style="color: red;">'''LINK'''</span> /101-01_SettingIndProp.html name="";  |Setting Properties]].

# Create a chart of the necessary symbol.  To learn more, see [[<span style="color: red;">'''LINK'''</span> /22-0100_CreatingChart.html name="";  |Creating Charts]].

# Add the necessary signals to the chart.  To learn more, see [[<span style="color: red;">'''LINK'''</span> /0270_Indicators/22-7000_Studies.html name="";  |Using Studies]].

# Set signal and strategy properties.  To learn more, see [[<span style="color: red;">'''LINK'''</span> /0270_Indicators/22-7006_SignalSettings.html name="";  |Signal Settings]] and [[<span style="color: red;">'''LINK'''</span> /0280_Backtesting/22-8003_StrategyProp.html name="";  |Strategy Properties]].

# Select '''Replace to Market Partially Filled Orders''' check box to automatically convert the remaining portion of a partially filled limit order into a market order.  For example, there is a sell limit order above the market price for 10 contracts.  The trading price touches the sell limit price, but pulls back.  Six of the contracts are filled and the remaining four contracts are unfilled.  MultiCharts will convert the sell limit order for the remaining contracts to a sell market order at the close of the bar.  (e.g., If the chart is plotting 5 minute bars, then the remaining portion of the limit order will be converted to a market order at the close of the 5 minute bar.)<br><br><div style="background-color: #E3FBE5;">Note: As long as there is a partially filled order, MultiCharts will always convert the order as described in this step regardless of any settings that are in '''Unfilled Strategy Order Replacement'''.  If the order was not partially filled and '''Unfilled Strategy Order Replacement''' was turned on, then MultiCharts will convert the order according to the settings in '''Unfilled Strategy Order Replacement'''.</div><br>

# Select the '''Show order execution status''' check box to have a status message displayed every time an order is sent, canceled, filled, or rejected, or any other informational message is received from the gateway application.  

## Select '''Play Once''' or '''Repeat''' for the alerts to be played once or repeatedly, respectively.

# In the '''Mode Selection''' section, there are two options: synchronous and asynchronous [[<span style="color: red;">'''LINK'''</span> /0295_AutoTrading/02-9501_AT_Understanding.html name="";  |mode]].

## Select '''Entries/Exits are based on the execution confirmation by the broker (Sync) ''' option for synchronous auto trading mode (SA).

## Select '''Entries/Exits are independent of the execution confirmation by the broker (Async)''' option in the '''Mode Selection''' section for Asynchronous auto trading mode (AA). If AA is selected, two group boxes become available.<br><br>

#: '''''Unfilled Strategy Order Replacement'''''

#: This feature gives the strategy the ability to automatically convert limit orders or stop orders into market orders after a certain period of time.

#:* Select '''Convert unexecuted limit or stop entry orders to market orders''' check box to convert unexecuted limit or stop entry orders to market after a specified number of seconds.  Enter the number of seconds in the list box.

#:* Select '''Convert unexecuted limit or stop exit orders to market orders''' check box to convert unexecuted limit or stop exit orders to market after a specified number of seconds. Enter the number of seconds in the list box.<br><div style="background-color: #E3FBE5;">Note: The waiting period for converting unfilled limit or stop orders to market orders must be less than the duration of a single bar.</div><br><div style="background-color: #E3FBE5;">Note: As long as the order is completely unfilled, MultiCharts will always convert the order as described in this step regardless of any settings under '''Replace to Market Partially Filled Orders'''.  If there is a partially filled order and '''Replace to Market Partially Filled Orders''' was turned on, then MultiCharts will convert the order according to the settings in '''Replace to Market Partially Filled Orders'''.</div><br><br>

#:'''''Assign the Initial Market Position at the Broker Settings'''''

#:To learn more, see [[<span style="color: red;">'''LINK'''</span> /0295_AutoTrading/02-9503_AT_Working.html name="10";  |Synchronization of Market Position in Auto Trading Mode]].

#:* Select '''Show the Assign the Initial Market Position at the Broker''' radio button to display a dialog box to input the initial position and average entry price.  This dialog box will appear when auto trading is turned on in the chart (see last step).

#:* Select '''Do not show the Assign the Initial Market Position at the Broker''' radio button to set the initial position here instead of in the dialog box.<br>There are two choices:

#::* Select '''Assume the initial market position at the broker FLAT''' to set the initial position to 0.

#::* Select '''Assume the initial market position at the broker the SAME AS on the CHART''' to set the initial position to the position that's on the chart.<br>

#::<div style="background-color: #E3FBE5;">Note: Synchronization of the Market Position in the Auto Trading Mode may not work correctly if pyramiding was used in the strategy.  It may also not work correctly if more than one active entry was generated on a chart when auto trading is launched. The reason for this limitation is that dialog window is set up to define only one active entry.</div>

# Choose the broker/gateway from the list box in the '''Select Broker Plug-in''' section.

#* '''Broker Plug-In Settings for FXCM'''<br><br>

#** '''''Account Settings Tab:'''''<br>Please get the Login, Password, and Account information from the broker. In the '''Connection''' setting, select Demo to connect to the demo account or Real to the real trading account.<br><div style="background-color: #E3FBE5;">Note: Due to FXCM's restrictions, MultiCharts will not send limit or stop orders to FXCM.  All limit or stop orders will be sent as market orders.</div><br><br>

#* '''Broker Plug-In Settings for Interactive Brokers TWS'''<br><br>

#** '''''General:'''''<br>By default, MultiCharts disables auto trading immediately if connection with the execution gateway is lost.  However, in some cases, short interruptions can be acceptable because it doesn’t affect the strategy.  The disconnection may also be a scheduled disconnection by the execution gateway, and the intention is to have auto trading on when the connection is reestablished.  The '''Connection''' setting keeps auto trading on unless the disconnection lasts longer than the time period specified.<br>When TWS loses its connection with MultiCharts while auto trading is on, MultiCharts will try to reconnect with TWS every 10 seconds until the connection is established or auto trading is turned off.<br><div style="background-color: #E3FBE5;">Note: If TWS is closed, MultiCharts cannot start TWS and automatically log into TWS for the user.</div><br>MultiCharts will not reconnect with TWS in the following scenarios:

#** '''''IB Settings Tab:'''''<br>The '''Server''', '''Port''', and '''ClientID''' settings under the IB Settings tab are detected automatically. The settings need to be changed only if Trader Workstation and MultiCharts are running on different computers. For the correct settings consult the system administrator.<br>The '''Order Settings''' section is for specifying Time in Force, Settling Firm, Clearing Account, and All or None Execution settings for the orders.  Time in Force determines the life span of the order before the order is cancelled.  The Settling Firm and Clearing Account fields are institutional settings.  Institutional account holders should contact the broker for the correct settings.  All or None Execution determines whether partial fills in entry and exit orders are permitted.<br><br>

#** '''''Symbol Dictionary Tab:'''''<br>If the data source is different from the execution gateway, it is possible that they do not use the same symbol for the same contract.  In this situation, the chart, because it is plotted from the data source, will send an order using the data source’s symbol.  The execution gateway will not understand the data source’s symbol and will reject the signal.  Symbol Dictionary solves this problem by matching the symbol from the data source to the symbol from the execution gateway.<br><br>To map a symbol:

#*# Click '''Add''' to add a symbol.  A new row will be created.  The name of the symbol from the data source will populate the '''Chart''' column.

#*# Enter the root of the symbol that the execution gateway uses in the '''Underlying''' column.

#*# Enter the expiration date in the format that the execution gateway uses in the '''Expiry''' column.  (This field is only required for Futures and Options).

#*# Enter the currency in the format that the execution gateway uses in the '''Currency''' column.

#*:: '''Example:'''<br>

#*:: <tt>Symbol:  '''ES #F'''<br>

#*:The above Symbol Dictionary example maps the eSignal ES #F (S&P E-mini Future Continuous Contract) symbol to the ES June 2008 contract from Interactive Brokers TWS.<br><br><div style="background-color: #F8F6CD;">Important: Make sure that the format is YYYYMMDD.  The format YYYYMM will not work for all symbols.</div><div style="background-color: #F8F6CD;">Important: To find the expiration date, right click on the symbol in TWS and select Contract Info.</div><br>

#* '''Broker Plug-In Settings for Patsystems'''<br>

<br>The Application ID is '''MultiCharts'''. The application version is automatically detected by MultiCharts.

<br><br>By default, MultiCharts disables auto trading immediately if connection with the execution gateway is lost.  However, in some cases, short interruptions can be acceptable because it doesn’t affect the strategy.  The disconnection may also be a scheduled disconnection by the execution gateway, and the intention is to have auto trading on when the connection is reestablished. The '''Reconnection Settings''' keeps auto trading on unless the disconnection lasts longer than the time period specified.<br>

<br>If the data source is different from the execution gateway, it is possible that they do not use the same symbol for the same contract.  In this situation, the chart, because it is plotted from the data source, will send an order using the data source’s symbol.  The execution gateway will not understand the data source’s symbol and will reject the signal.  Symbol Mapping solves this problem by matching the symbol from the data source to the symbol from the execution gateway.

In the '''Chart''' field, input the symbol from the data source.  Under '''Patsystems Symbol''' settings, input the '''Exchange''', '''Contract Name''', and '''Contract Date''' in the format acceptable by Patsystems.  Click the '''Lookup''' button to find the correct information.<br>

<br>Select the '''Time in Force'''. Time in Force determines the life span of the order before the order is cancelled.<br><br>

#**# Select the [[<span style="color: red;">'''LINK'''</span> /0295_AutoTrading/02-9503_AT_Working.html name="11";  |Auto Trading Status Switch]] and select '''Automate Order Execution'''.

#**# Read the disclaimer and click '''Yes'''.

#**# The button will turn green which means auto trading is on.

#** AA Mode

#**# Select the [[<span style="color: red;">'''LINK'''</span> /0295_AutoTrading/02-9503_AT_Working.html name="11";  |Auto Trading Status Switch]] and select '''Automate Order Execution'''.

#**# Read the disclaimer and click '''Yes'''.

#**# If '''Show the Assign the Initial Market Position at the Broker dialogue''' was selected earlier, then a dialog box will appear.<br>Enter the initial market position and average entry price. Then select '''Yes'''.

#**# The button will turn green which means auto trading is on.

#* Turning on auto trading from main menu

#** SA Mode

#**# Select '''Format''' from the main menu.

#**# Select '''Automate Order Execution'''.

#**# Click on the switch and select '''Automate Order Execution'''.

#**# Read the disclaimer and click '''Yes'''.

#**# The button will turn green which means auto trading is on.

#** AA Mode

#**# Select '''Format''' from the main menu.

#**# Select '''Automate Order Execution'''.

#**# Click on the switch and select '''Automate Order Execution'''.

#**# Read the disclaimer and click '''Yes'''.

#**# If '''Show the Assign the Initial Market Position at the Broker dialog''' was selected earlier, then the dialog box will appear.  Input the initial market position and average entry price.  Then select '''Yes'''.

#**# The button will turn green which means auto trading is on.

# Turn off auto trading. There are two ways to do this.

#* Turning off auto trading from the chart

#*# Select the [[<span style="color: red;">'''LINK'''</span> /0295_AutoTrading/02-9503_AT_Working.html name="11";  |Auto Trading Status Switch]] and deselect '''Automate Order Execution'''.

#* Turning off auto trading from the main menu