Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
How would you go about programming in automated spread trading in Multicharts? I have quite a few fully automated systems, but I don't have any that trade two instruments. My first thought was to create the rules and apply the signal to a chart with the front month CL contract, and reverse the rules for a chart with the second month CL contract. I have seen a little on the forums about global variables, but am unfamiliar. I'd greatly appreciate any input on how you might implement spread trading in Multicharts.
Can you help answer these questions from other members on NexusFi?
you can do that much easier now than before with the Portfolio Trader (available in MC9 beta). Take a look at the examples, they even provide a spread trading strategy.
I have actually been developing a spread strategy with the new beta portfolio trader. It is totally possible, and seems to work. However the trading and debugging can be unclear because all you see is the performance report as a result. Its much harder to detect what exactly is going on.
That's true as you don't have the chart for "debugging" visually. Adding print statements to the strategies and money management strategy seems like the only way to do it. You might also be able to show a little bit of more information with the pmm_set_my_status and pmms_strategy_set_status reserved words within the portfolio trader.
Yes print statements are pretty damn critical here. I have even had to format and export them because the output window is just not good enough.
Something I have also done is isolating specific trading rules that can be put onto a chart. Like a single side of the spread, then cross checking that with my output of the file and performance report. Extremely annoying but possible. There are a lot of little things that can shift what you see on the chart and what the performance report from the portfolio trader tells you.
Lets just say I was getting different entries, and multiple 2nd instrument hedges for no reason. But was finally able to get the isolated rule to match the trading report from portfolio.
IMHO, you'll get picked off far too frequently. If I can get picked off doing it in an office within the CME building with a co-located server using TT AutoSpreader - my suspicion is that your results might be similar. Not worth it.
Yes, that is how I did pairs trading with stocks back in 2008 with Multicharts. So for example I had CVX data1 and COP data2 on one chart and on another chart I had COP data1 CVX data2. Its been a while since I've used that program but I recall having to have intrabar execution enabled on both strategies. You also need to ensure that your strategy is absolutely symmetrical so that the signal is the same value even if you flip the symbols. I had to modify the strategy specifically to get it to be symmetrical in Multicharts, but it certainly is possible.
I had it running with ~50 pair trade strategies running across multiple co-integrated stock pairs. Good luck.
