MultiCharts lag time? - MultiCharts | futures io social day trading
futures io futures trading


MultiCharts lag time?
Updated: Views / Replies:29,824 / 171
Created: by bobbakerr Attachments:2

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 2  
 
Thread Tools Search this Thread
 

MultiCharts lag time?

  #41 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,217 received

Why not use limit orders, especially with MB Trading. ?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #42 (permalink)
Trading Apprentice
Australia
 
Futures Experience: Beginner
Platform: Multicharts
Favorite Futures: forex
 
Posts: 32 since Dec 2010
Thanks: 7 given, 3 received


Big Mike View Post
Why not use limit orders, especially with MB Trading. ?

Mike

Am definitely going to do this and run this side by side the same system as the market orders and see how both perform.

Any thoughts on my other questions. Is 14pips/0.0014 an acceptable amount of slippage in the forex market?

and am I checking the slippage the right way by comparing my entry price versus back test results on tick data?

Reply With Quote
 
  #43 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,217 received



nismo View Post
Is 14pips/0.0014 an acceptable amount of slippage in the forex market?

No, 1 tick/pip is usually the spread, or less.


Quoting 
and am I checking the slippage the right way by comparing my entry price versus back test results on tick data?

No way to know. If you are using exotic chart types or if your strategy logic has an error, then no, backtests will never be accurate.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #44 (permalink)
 Vendor: tradingcode.net 
The Netherlands
 
Futures Experience: None
Platform: MultiCharts, TradingView
Favorite Futures: ...
 
Jura's Avatar
 
Posts: 774 since Apr 2010
Thanks: 2,347 given, 661 received


bobbakerr View Post
[..]
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.

How's it going Bob? Do you still experience lag and bad fills or is the real-time performance more in line with the backtested results?

Regards,

Reply With Quote
 
  #45 (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

Jura, I haven't traded it Real Life yet. I'm having basically the same problem with it as with CL (just not as magnified). I'll write the code (or make a small change in it), then check the backtesting results, and they're great. I'll then watch it run for awhile and the results are not so great. (In fact it loses.) I'll then change the code, re-check the backtesting results, and the results are great again, with many signals having been eliminated, seemingly keeping only the winners.

I don't know why MultiCharts (and TradeStation) does (do) this. It is 'cheating' in my opinion.

So I'm looking for a different strategy that goes for longer runs that will minimize the cheating that goes on in backtesting. I want to see something that does the same in real life and also works the same way in the past. That is difficult.

Perhaps I'll never find an automated strategy for this. But at my age (I'm 66 now), I don't want to go through the stress of manually trading anymore. I don't want to have to constantly be making the instantaneous decisions that are required for this game. So I'm looking, testing, looking, testing, ...

I'll let you guys know if/when I come up with something that truly works in real life. Everything works in the pretend world. But it's Real that counts!

Reply With Quote
 
  #46 (permalink)
 Vendor: tradingcode.net 
The Netherlands
 
Futures Experience: None
Platform: MultiCharts, TradingView
Favorite Futures: ...
 
Jura's Avatar
 
Posts: 774 since Apr 2010
Thanks: 2,347 given, 661 received

Thanks for your update Bob. It seems like a daunting task to trade automatic. I find it puzzling that MC misses trades in real-time that it would have taken when backtesting. I haven't auto traded myself with MC, but it seem I can anticipate some unpleasant surprises judging from your experiences.

Good luck with your strategy development!

Reply With Quote
 
  #47 (permalink)
Elite Member
London, England
 
Futures Experience: Intermediate
Platform: MC, TS, NT
Broker/Data: TradeStation
Favorite Futures: ES
 
Posts: 41 since Oct 2009
Thanks: 12 given, 18 received


bobbakerr View Post
I don't know why MultiCharts (and TradeStation) does (do) this. It is 'cheating' in my opinion.


I just wondered again if you have you considered my suggestion on page 3 of this thread? I feel sure that the trade management systems in both TradeStation and Multicharts will reject any limit orders which at the time of submission are effectively stop limit orders! The back test will probably not pick this up because they will be treated as market orders.

Reply With Quote
 
  #48 (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

SPTrading, I don't have any 'Stop Limit Orders' in my code.

I'll PM you the stupid code. If you can make it work properly in Real Life, then we'll both be rich.

Reply With Quote
 
  #49 (permalink)
Elite Member
Austin, TX
 
Futures Experience: Advanced
Platform: Tradestation
 
Posts: 16 since Sep 2010
Thanks: 5 given, 12 received

Backtest not match real life

Recently I have done a lot of work on why real time auto-trading doesn't match backtesting. It seems that it depends a lot on when the signals are generated and whether the calculations are intrabar or not. I was testing a well known universal system and it would constantly generate trades in real time that would not show up in back testing and I gave up when I could not get real time trades anywhere close to what back testing said. I have tried other systems that trades would show up in back testing, but would not show up in real time and ended up being the same unusable for real life.

So it depends heavily on what bars you are using - time bars? Tick bars? Some insight comes from TS:
https://www.tradestation.com/discussions/topic.aspx?topic_id=107938 and for those that can't access the forums, some selected cut/paste:


Quoting 
If your strategy requires determining on which tick a calculation achieved a certain value, such as RSI or position loss, then your strategy will need to run on each tick (trade). For back-testing historical data, to enable the strategy to run on each tick, you must set Look-inside-bar Back-testing (LIBB) to a 1-tick interval, and also enable Intrabar Order Generation (IOG) so your strategy runs on each LIBB bar interval. Keep in mind that for back-testing historical data only 6-months of 1-tick based data is available. For a strategy to run on each tick for live trading only IOG needs to be enabled. Note that when the strategy runs on ticks within the bar you made need to use IntrabarPersist variables to retain variable values across ticks. The use of LIBB and IOG are advanced topics. For more information see Strategies/Indicators running on each tick or Entries/Exits depending on the detailed price/volume path within a bar at Introduction – Developing and Implementing Strategies and Indicators.

If your state machine is to do certain calculations only on the closing tick of each bar, but your strategy is running on each tick, then you can use a conditional check on the bar status, like: if BarStatus(1) = 2 then …, which is true only on the closing tick of the bar. If your state machine determines that orders are to be issued, keep in mind that Limit or Stops orders ( Buy / Sell / SellShort / BuyToCover ) must be issued on every subsequent tick to remain active. For example, if your state machine determined that a Buy Limit order should be issued and kept active until the closing tick of the next bar, then a Buy Limit order would have to be issued each tick until the closing tick of the next bar.

If your strategy only runs on the closing tick of each bar (neither LIBB or IOG are enabled) then Limit or Stop orders issued at the closing tick of a bar remain in effect until the closing tick of the next bar, and you can fill Limit or Stop orders within bars. For more information see Strategy Limit and Stop Orders Are Executed Intrabar at the above link.

If you are using regular price bars (not Advanced Bar Types, like Momentum, Renko, Three-Line Break, etc), then use "at next bar at market" orders instead of "this bar at close" orders. It will result in your back-testing of historical trades more accurately matching actual live trading results.

If you want to be sure that your orders always rapidly fill, then use Market or Stop orders. Limit orders may not fill if the limit price is not penetrated, especially for high volume markets where your orders may be at the bottom or back of the book.

Stop orders execute when the price is touched. For example, Buy at next bar at 100 Stop ; means that when the price of 100 is hit (from below) a Market order is issued. Again, you cannot exactly control the price the order fills at. Rather, what you control is when the Market order is issued.

Limit orders control the price at which the order fills. For example, Buy at next bar 100 Limit ; will fill at a price of 100 or lower when the limit price of 100 is hit (from above). Limit orders have the disadvantage that even though the Limit price is touched, they may not fill at times, depending on where your order sits in the book or queue. For high volume symbols which trade very frequently, the order book can be very deep, meaning there are many orders (hundreds or thousands of orders) queued up at the same price. The first orders received in the book are the first orders processed. Your order will not be processed at a given Limit price until all other Limit orders at the same price which are ahead of your order are first filled. By the time they fill, the price may then move away from the Limit price, and your Limit order may never fill.

Stop Limit orders both control the price at which the order is triggered, and the price at which the order fills at. TradeStation does not support native Stop Limit orders, but there are ways to emulate Stop Limit orders.


Reply With Quote
The following 4 users say Thank You to bretter for this post:
 
  #50 (permalink)
Elite Member
Austin, TX
 
Futures Experience: Advanced
Platform: Tradestation
 
Posts: 16 since Sep 2010
Thanks: 5 given, 12 received

Strategy Orders Executed Intrabar


Some more on EL next bar behavior:
https://www.tradestation.com/wiki/display/EasyLanguage/2007/12/05/Strategy+Orders+Are+Executed+Intrabar


Quoting 
Here's a myth: "TradeStation cannot execute strategy orders until the end of a bar." A slightly newer version of this myth is: "TradeStation cannot execute strategy orders intrabar unless intrabar order generation, the feature that causes strategy code to run intrabar, is enabled." We are going to debunk both versions of this myth today.

First, let's cover a bit of terminology. By intrabar, we mean "instantaneously, at any time during the formation of a bar on a chart." The term intrabar is commonly contrasted with end-of-bar, by which we mean "once per bar, at the bar's closing price."

As you come to understand how EasyLanguage runs, and what the "next bar" order placement syntax does, you'll realize that it is easy to place orders that are executed intrabar, without the use of intrabar order generation (IOG).

EasyLanguage strategy code runs on each bar of a chart, beginning immediately after enough bars are available to perform all of the calculations that the strategy requires. The code then runs on every historical bar, proceeding from left to right, until it reaches the last bar on the chart, the most current bar on the chart. As code runs on a given bar, an order can be placed for execution on the "next bar." Such orders will be executed intrabar, during the next bar, prior to the next running of the strategy code, provided that the price criteria for the order is met. Intrabar order generation is not required to achieve intrabar order execution.

Let's look at an example. Imagine that you are using a 10-minute bar chart. Let's presume that, based on the logic implemented in your strategy, the following EasyLanguage statement is executed when the strategy code runs at the end of the 9:40 A.M. bar: Buy next bar High stop ;

What will happen when the next bar, the 9:50 bar, forms? During the 9:50 bar, if the stop price, the high of the 9:40 bar, is hit, an order will be immediately executed. The order will be placed immediately when the stop price is hit, intrabar. There is no need for IOG to be enabled, and no need to wait for the end of the 9:50 bar. "Next bar" limit orders are executed intrabar in the same manner.
All of this begs the question: When is IOG required? IOG must be enabled if you don't have all of the information you need in order to place an order, for current bar execution, at the close of the previous bar. Often, such strategies attempt to place orders instantaneously based on values that cannot be calculated ahead of time. For example, a strategy that buys immediately when two moving averages cross, intrabar, would require IOG. In the example above, on the other hand, the strategy decides, during the 9:40 bar, whether, and at what price, to place an order for execution during the 9:50 bar. For this reason, IOG is not required. Remember: Intrabar calculation is not necessarily required for intrabar execution. For more on IOG,
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).
.


Reply With Quote
The following 3 users say Thank You to bretter for this post:

Reply



futures io > > > > MultiCharts lag time?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
John Ehlers Zero Lag ebtrader ThinkOrSwim Programming 3 April 2nd, 2017 10:49 PM
how the macd zero lag indicator works DarrenH NinjaTrader 6 September 13th, 2013 04:31 PM
Queue a backtest in multicharts same symbol on multiple time frames? crbucks MultiCharts 4 June 23rd, 2011 11:33 AM
MBTrading Data Error-Lag Sad Planet Reviews of Brokers and Data Feeds 3 May 5th, 2011 06:05 AM
MACD_Zero Lag Indicator Explanation GilR NinjaTrader 4 February 25th, 2011 07:36 AM


All times are GMT -4. The time now is 05:07 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.54 seconds with 20 queries on phoenix via your IP 54.226.132.197