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MultiCharts lag time?
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MultiCharts lag time?

  #31 (permalink)
Elite Member
Riverdale, Idaho, USA
 
Futures Experience: Intermediate
Platform: Optimus Futures + MultiCharts + TradeStation
Broker/Data: Optimus Futures, Rithmic Data, TradeStation
Favorite Futures: CL, ES
 
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Posts: 106 since Aug 2010
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sysot1t, I'm foregoing CL completely. It's much too volatile and there is too little volume. I've been experimenting around with ES today and it's showing nice profit since midnight, with plenty of volume and much smoother moves (dollar wise). I appreciate your advice, but I'm not going to post any reports (yet). And if I had kept up this trading with CL, I know I could have got my broker (Optimus) to be well below $4.00/R.T. They're good to work with it seems like. I had never used them before, though. I picked them mainly for their Rithmic data feed.

I'll let you guys know what I come up with on ES. It won't show + 20,000 per day, though, that's for sure !!

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  #32 (permalink)
Elite Member
Riverdale, Idaho, USA
 
Futures Experience: Intermediate
Platform: Optimus Futures + MultiCharts + TradeStation
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sysot1t View Post
there is not enough information on yours posts to determine if the -$1200 was because of the strategy produced bad signals, beacuse of slippage (and how many ticks), if because of the platform and execution network(TS is slow regardless of how close you get), or if because of transactional costs... hard to tell without clear data that we can look at to direct you better... you would need to provide trade statistics.

sysot1t, here is a portion of one of my trades, and the sequence of events (from Rithmic) that it went through before it was finally filled. It was a LIMIT order to Sell Short Next Bar at the current bar's Close -.02 . So I should have Sold it Short at 98.94 or better. It evidently gapped below that 98.94, for I didn't get it Shorted UNTIL MUCH LATER (The sequence is from the bottom, up):

"Filled","S","1","CLN1","M","98.79","4761072","2011-06-07 08:53:17","2011-6-07 08:53:17"

"Cancelled","S","1","CLN1","L","98.88","4761070","2011-06-07 08:53:08","2011-06-07 08:53:08"

"Cancelled","S","1","CLN1","L","98.90","4761069","2011-06-07 08:53:08","2011-06-07 08:53:07"

"Cancelled","S","1","CLN1","L","98.91","4761068","2011-06-07 08:53:07","2011-06-07 08:53:05"

"Cancelled","S","1","CLN1","L","98.93","4761067","2011-06-07 08:53:04","2011-06-07 08:53:04"

So you can see that MC (or Rithmic?) had the order in, but cancelled it when it wasn't filled. It looks like it was then re-entered for the next 2-cent bar and cancelled again (and again, and again, etc.). It finally got Shorted at a price 17 cents worse than my original order, if I'm interpreting this correctly. And it was at least 5 bars and 13 seconds later after my original order was placed.

How can that be?? Doesn't 'Sell Short' Next Bar at xxxx Limit mean that the order is only good for the very next bar and ONLY that bar ??? Maybe I've programmed the thing wrong, thinking the above sentence to be true, when in Real Life it isn't.

If anyone knows the answer to this, please post. Thanks.

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  #33 (permalink)
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I think it might have been the logic, it should have not opened and closed the orders over and over like that... I am not an EL expert by any means.. you might want to go to TS and post the question or inquire with TSS...

now, another question... if you are doing basically a limit and then shaving .02 off it to ensure a fill, why not just go at the bid if shorting on the next bar?


bobbakerr View Post
sysot1t, here is a portion of one of my trades, and the sequence of events (from Rithmic) that it went through before it was finally filled. It was a LIMIT order to Sell Short Next Bar at the current bar's Close -.02 . So I should have Sold it Short at 98.94 or better. It evidently gapped below that 98.94, for I didn't get it Shorted UNTIL MUCH LATER (The sequence is from the bottom, up):

"Filled","S","1","CLN1","M","98.79","4761072","2011-06-07 08:53:17","2011-6-07 08:53:17"

"Cancelled","S","1","CLN1","L","98.88","4761070","2011-06-07 08:53:08","2011-06-07 08:53:08"

"Cancelled","S","1","CLN1","L","98.90","4761069","2011-06-07 08:53:08","2011-06-07 08:53:07"

"Cancelled","S","1","CLN1","L","98.91","4761068","2011-06-07 08:53:07","2011-06-07 08:53:05"

"Cancelled","S","1","CLN1","L","98.93","4761067","2011-06-07 08:53:04","2011-06-07 08:53:04"

So you can see that MC (or Rithmic?) had the order in, but cancelled it when it wasn't filled. It looks like it was then re-entered for the next 2-cent bar and cancelled again (and again, and again, etc.). It finally got Shorted at a price 17 cents worse than my original order, if I'm interpreting this correctly. And it was at least 5 bars and 13 seconds later after my original order was placed.

How can that be?? Doesn't 'Sell Short' Next Bar at xxxx Limit mean that the order is only good for the very next bar and ONLY that bar ??? Maybe I've programmed the thing wrong, thinking the above sentence to be true, when in Real Life it isn't.

If anyone knows the answer to this, please post. Thanks.


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  #34 (permalink)
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Futures Experience: Intermediate
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bobbakerr View Post
a LIMIT order to Sell Short Next Bar at the current bar's Close -.02 .

I'm not sure about how Multicharts works since I haven't yet hooked mine up to a broker, but if it is like TradeStation, a limit order below the current price will get rejected by the strategy trade manager. In other words, there is NO support for a stop limit order. This would explain why all your orders are not being sent.

Paul

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  #35 (permalink)
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bobbakerr View Post
[...]
How can that be?? Doesn't 'Sell Short' Next Bar at xxxx Limit mean that the order is only good for the very next bar and ONLY that bar ??? Maybe I've programmed the thing wrong, thinking the above sentence to be true, when in Real Life it isn't.
[..]

MultiCharts cancels orders that are not filled in the same bar:

Quoting 
If the order is not filled within specified bar, it is canceled, unless exactly the same order (quantity and price) is sent on the next bar (then the order is not cancelled and stays active at broker).

If you want to prevent the order from being canceled you need to send exactly the same order on the next bar.

Source: MultiCharts: Trading Software for Automated Trading and Backtesting • View topic - Keeping Limit Orders Active After New Bar

If I understand your post correctly, you submit entry order with a limit of the close + 0.02. So for example:
 
Code
                            
if myEntryCondition true then
    buy
("LE")next bar at Close 0.02 limit
Because the close fluctuates with each bar, in effect you are telling MC to buy only at the Close + 0.02 price for that bar, and if that's not getting filled, try it the next bar, but with a different limit price (namely the new Close + 0.02).

Perhaps you could try something like:
 
Code
                            
if mySignal true then
    myEntryOrder 
Close 0.02;

if 
myEntryCondition true and MarketPosition <> 1 then
    buy
("LE")next bar at myEntryOrder limit
In this case the myEntryOrder variable is only updated once as the signal for your strategy is generated (in other words, when your setup is forming). After that, as long as your entry conditions remain true (i.e. the setup is not invalided according to your strategy logic), the enter limit order is submitted with the same limit price as long as there is not already a long position.

Anyway, this is how I understand it, which may be correct or not.

Regards,

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  #36 (permalink)
Elite Member
Riverdale, Idaho, USA
 
Futures Experience: Intermediate
Platform: Optimus Futures + MultiCharts + TradeStation
Broker/Data: Optimus Futures, Rithmic Data, TradeStation
Favorite Futures: CL, ES
 
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sysot1t View Post
I think it might have been the logic, it should have not opened and closed the orders over and over like that... I am not an EL expert by any means.. you might want to go to TS and post the question or inquire with TSS...

now, another question... if you are doing basically a limit and then shaving .02 off it to ensure a fill, why not just go at the bid if shorting on the next bar?


It HAS to be the logic/code. I'm no expert in programming and I think that's where the problems are.

I gave the Limit order a 2-cent cushion in case the Inside Bid/Ask is taken before I can get it. I figured another penny would help me to get filled if that happened.

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  #37 (permalink)
Elite Member
Riverdale, Idaho, USA
 
Futures Experience: Intermediate
Platform: Optimus Futures + MultiCharts + TradeStation
Broker/Data: Optimus Futures, Rithmic Data, TradeStation
Favorite Futures: CL, ES
 
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Posts: 106 since Aug 2010
Thanks: 211 given, 39 received


Jura View Post
MultiCharts cancels orders that are not filled in the same bar:
Source: MultiCharts: Trading Software for Automated Trading and Backtesting &bull; View topic - Keeping Limit Orders Active After New Bar

If I understand your post correctly, you submit entry order with a limit of the close + 0.02. So for example:
 
Code
                            
if myEntryCondition true then
    buy
("LE")next bar at Close 0.02 limit
Because the close fluctuates with each bar, in effect you are telling MC to buy only at the Close + 0.02 price for that bar, and if that's not getting filled, try it the next bar, but with a different limit price (namely the new Close + 0.02).

Perhaps you could try something like:
 
Code
                            
if mySignal true then
    myEntryOrder 
Close 0.02;

if 
myEntryCondition true and MarketPosition <> 1 then
    buy
("LE")next bar at myEntryOrder limit
In this case the myEntryOrder variable is only updated once as the signal for your strategy is generated (in other words, when your setup is forming). After that, as long as your entry conditions remain true (i.e. the setup is not invalided according to your strategy logic), the enter limit order is submitted with the same limit price as long as there is not already a long position.

Anyway, this is how I understand it, which may be correct or not.

Regards,


Jura, I think you hit the nail right on the head in each of your observations and comments. Thank you very much!

I'll change things to match your suggestions.

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  #38 (permalink)
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@ bobbakerr, a simple question: why did you use a real account when you tried your real-time testing ? Why not a real-time test, with your Rithmic datafeed and the VPS, but with a simulation account ?
The slippage is hard to simulate, so the results should not have been 100% accurate, but it could have give an idea of how good is the bot logic.

Success requires no deodorant! (Sun Tzu)
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  #39 (permalink)
Elite Member
Riverdale, Idaho, USA
 
Futures Experience: Intermediate
Platform: Optimus Futures + MultiCharts + TradeStation
Broker/Data: Optimus Futures, Rithmic Data, TradeStation
Favorite Futures: CL, ES
 
bobbakerr's Avatar
 
Posts: 106 since Aug 2010
Thanks: 211 given, 39 received

I did that, Sam. I referred to it as 'forward testing'. It did great, so I went ahead and did the thing in real life.

I'm working on correcting the code (for ES) right now. If I can get it to 'obey' correctly, I'll watch it for a couple of days, and if all goes well then HIT IT AGAIN.

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  #40 (permalink)
Trading Apprentice
Australia
 
Futures Experience: Beginner
Platform: Multicharts
Favorite Futures: forex
 
Posts: 32 since Dec 2010
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Hope I'm not hijacking Bobbarkers thread, but if I am let me know and I will start my own.

I've just put my first forex strategy live on both a demo and micro account and compared to my backtest results the price difference is 14 pips or 0.0014. I don't trade futures so I don't fully understand bobbarkers slippage issues but I too am trading with Multicharts and am using a VPS. My broker is MB Trading.

Firstly I just want confirm that to know what slippage you are actually getting do you compare the demo/live account to the backtest results on tick data? Which is what I've done.

Secondly is this reasonable slippage for forex?

If this is not reasonable slippage I guess I'm in the same position as bobbarker trying to work out where the problem is. VPS, Multicharts, broker or my system.

I've ran a ping test to mbtrading.com and am getting 80ms latency. Im waiting an email from mbt support for an ip address of one of the actual servers. I was actually expecting better latency than 80ms...

FYI as others have stated demo vs live account, in my limited testing, yield the same entry/exists, although this could change with large order sizes obviously.

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