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Help With Offline-Use for Forex (MultiCharts)
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Help With Offline-Use for Forex (MultiCharts)

  #1 (permalink)
Trading Apprentice
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Platform: MultiCharts, MetaTrader, Custom
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Help With Offline-Use for Forex (MultiCharts)

Hello everyone,

I have just started playing around with MultiCharts 8.

My main intention for MultiCharts is backtesting and optimisation offline with my own tick data for the Forex market. I use my own software to trade as I do not use any of the brokers offered from MultiCharts as they do not meet my needs.

Right now I am still a little unclear about setting everything up properly to implement accurate tests. I would appreciate any help from experienced MultiCharts users.

Basically, I am a little confused about the Symbol Settings (Price Scale, Daily Limit, Min. Movement and Big Point Value) and how to properly set that up for each Symbol. I assume that the Yen pairs have different settings than the other instruments.

From what I've read, the "Daily Limit" is currently of no use and can simply be ignored. The Price Scale is usually set to "1/10000" for most symbols with the exception of Yen pairs, which is set to 1/1000. Minimum movement is always just 1. And Big Point Value is 100000 except Yen pairs which is set to 1000? Am I correct with these settings?

For "Exchange and ECN", I set up an Exchange with UTC+2 as the time zone. The session hours are Sunday to Friday 00:00 to 23:59. Again, I'm not sure if I am doing this correctly.

I am currently importing 3-5 years of tick data (bid and ask) from text files (> 2.8B lines >_<) so I've got lots of time on my hands and have been looking for as much information as I can about the platform, more specifically its backtesting and optimisation features.

As I understand MultiCharts cannot set Swap/Rollover rates for Forex instruments?

Another question is regarding leverage. Leverage plays a large role in any trader's portfolio and I do not see anywhere that I can adjust leverage. Where do I go to set leverage in MultiCharts so I can get an accurate figures by replicating my trading account's settings?

I would greatly appreciate some help, and apologize for any questions that are "nooby".

Clark

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  #2 (permalink)
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Hi,

Time of the exchange: put the time of the data.
If the data are UTC+2, put UTC+2.

Sessions: put the time sessions of the data. In case of doubt, you can choose 0000-2359 every day.
Note: session times of the exchange can be overridden in the instruments parameters within QuoteManager.
Take care: if you make a mistake and choose "narrow" time sessions (for instance: 0900-1000 every day), only data within these sessions will be considered.

Price Scale, Daily Limit, Min. Movement and Big Point Value
I also think that Daily Limit is not used.
For the others, once more, put the numbers corresponding to the data.
Price Scale and Min.Movement allow defining the tick (in the meaning of smallest increment, and not as in "tick data").
What is smallest increment of the data?
0.0001 --> you can choose Price Scale 1/10,000 and Min.Movement = 1
0.00005 --> you can choose Price Scale 1/100,000 and Min.Movement = 5 (or = 1)
0.00001 --> you can choose Price Scale 1/100,000 and Min.Movement = 1

Take care: if you choose Price Scale 1/10,000 whereas data smallest increment is 0.00001 (that is to say: 10 times lower), then data will be rounded, which is not what you want, I guess.

Within the strategy, these parameters can be obtained by keywords PriceScale and MinMove.
Take care: within the strategy, PriceScale is the inverse of the Price Scale of QuoteManager.
So you can define the tick size within the strategy by MinMove/PriceScale

Rollover. "As I understand MultiCharts cannot set Swap/Rollover rates for Forex instruments?"
I do not understand. Could you phrase it differently or give more details?

Leverage. I also do not understand. For me, leverage is fixed by the broker. For instance: 1:40 or 1:100 for FOREX. Are you talking about this or something else?

Nicolas


Last edited by Nicolas11; July 3rd, 2012 at 04:36 AM.
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  #3 (permalink)
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Thanks for the reply!


Regarding the Price Scale, 1 pip for most Forex pairs is 0.0001, but brokers typically have the pipette as well which is 0.00001. So 10 pipettes = 1 pip. In this case, would I set it to 1/10000 or 1/100000?

EDIT: I think 10 ticks would be equal to 1 pip movement. So for most pairs I would set it to 1/100,000 and "XXX/JPY" pairs I would set it to 1/1000. Thanks!

In terms of Rollover Rate, Investopedia has a concise explanation:
"The net interest return on a currency position held by a trader. The rollover rate converts net currency interest rates, which are given as a percentage, into a cash return for the position. Since a trader is long one currency and short another, the net effect of both interest rates has to be calculated.

In forex, a rollover means that a position is extended at the end of the trading day without settling.

For example, an investor has a long 100,000 EUR/USD at a rate of 1.3000. The EUR interest rate is 2%, or a daily rate of 0.0054%, and the USD is 3% or a daily rate of 0.0081%.

The interest on the EUR is (100,000 * 0.0054%) 5.40 EUR; the USD costs (130,000 * 0.0081%) 10.53 USD. Converting the EUR to USD, 5.40 * 1.3000 = USD 7.02. The net USD amount is 7.02 - 10.53 = - 3.51, which is divided by the 100,000 position. On a long EUR/USD position, the rollover costs 0.00003562, or 0.3562 pips.
"

In terms of leverage, we are talking about the same thing. But since I am using MultiCharts offline and do not have an actual data feed, do I have to set the leverage manually during my backtests? If so, how do I do that?

Thanks very much for the help!

Clark

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  #4 (permalink)
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PriceScale

"Regarding the Price Scale, 1 pip for most Forex pairs is 0.0001, but brokers typically have the pipette as well which is 0.00001. So 10 pipettes = 1 pip. In this case, would I set it to 1/10000 or 1/100000?"

I agree with what you wrote about pip et pipettes.
You should set according to the data.
I mean: open the data file with any software (Notepad, Excel, Wordpad, etc.)
What is the last digit of the numbers?
Are they like 0.1234? --> in this case, choose PriceScale = 1/10,000 and MinMove = 1
Are they like 0.12345? (pipettes) --> in this case, choose PriceScale = 1/100,000 and MinMove = 1


I will answer to the other aspects (if I can!) in further messages.

Nicolas

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  #5 (permalink)
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Rollover Rate. I am not competent, sorry.

Leverage. If you need leverage within the strategy, just create a parameter, a variable or a constant with the right value (0.01, 0.025 or other). I would like to help you with this topic, but I do not understand the problem.
It would help if you show the line of your code which uses the leverage (after having removed the "secret" things, no problem).

Nicolas

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  #6 (permalink)
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Nicolas11 View Post
PriceScale

"Regarding the Price Scale, 1 pip for most Forex pairs is 0.0001, but brokers typically have the pipette as well which is 0.00001. So 10 pipettes = 1 pip. In this case, would I set it to 1/10000 or 1/100000?"

I agree with what you wrote about pip et pipettes.
You should set according to the data.
I mean: open the data file with any software (Notepad, Excel, Wordpad, etc.)
What is the last digit of the numbers?
Are they like 0.1234? --> in this case, choose PriceScale = 1/10,000 and MinMove = 1
Are they like 0.12345? (pipettes) --> in this case, choose PriceScale = 1/100,000 and MinMove = 1


I will answer to the other aspects (if I can!) in further messages.

Nicolas

Thank you! I really appreciate the help!

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  #7 (permalink)
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Thanks: 1 given, 1 received


Nicolas11 View Post
Rollover Rate. I am not competent, sorry.

Leverage. If you need leverage within the strategy, just create a parameter, a variable or a constant with the right value (0.01, 0.025 or other). I would like to help you with this topic, but I do not understand the problem.
It would help if you show the line of your code which uses the leverage (after having removed the "secret" things, no problem).

Nicolas

Thank you again Nicolas, I will see what I can do and ask if I require any more assistance. I appreciate it!

Clark

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  #8 (permalink)
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You're welcome.

If you have a doubt, you can always take PriceScale = 1/100,000 (pipettes) and MinMove = 1.
This way, you are sure that the data will not be rounded.
But, in this case, take care within the strategy if you use TickSize = MinMove/PriceScale. It would be equal to 0.00001 (pipette) whereas perhaps your data is with 0.0001 (pips). It is not really a problem, but you just have to be aware of it if you make calculation based on TickSize.

Nicolas


Last edited by Nicolas11; July 3rd, 2012 at 05:38 AM. Reason: clarification
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