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MultiCharts, MultiCharts, MultiCharts...
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MultiCharts, MultiCharts, MultiCharts...

  #251 (permalink)
Elite Member
Toronto, Ontario
 
Futures Experience: Advanced
Platform: NinjaTrader, Multicharts
Broker/Data: IB, IQfeed
Favorite Futures: ES, CL
 
Snoop's Avatar
 
Posts: 203 since Oct 2009
Thanks: 135 given, 161 received

Hi Fat Tails, Sorry, I had taken a little break from the online world...

I compared against iqfeed's ES cont adjusted and not adjusted symbols, and you are in fact correct. Setting to 7 days provided the proper adjustment.

I Hadn't noticed any issues, but I put together a little test using iqfeed.
@ES#C is continuous ratio adj, @ES# is continuous unadjusted,


Fat Tails View Post
Hi Snoop,

only testing MC during the evening hours. Need your help again. So by chosing Globex for ES I get a backadjusted contract.

As there are known rollover dates for ES, I selected Rollover Condition Time, 8 days prior to expiration date. This is also the default. Now, if I count 8 days back from expiry date, which is a Friday, my rollover date becomes Thursday, which is the official rollover date. So I expect MC to roll after the Wednesday close. However, I checked and the rolling is already done on Tuesday after the session close.

Either MC developpers or me cannot count up to 8. Or there is a problem with conversion to local time. If I set the rollover condition to 7 days it works as expected with 8 days.

Can you confirm these findings?


 
  #252 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary

2 small bugs and 1 problem with instrument default settings

I know, I am sometimes a bit slow,

but these are the problems I encountered when building the ES continuous backadjusted contract:

(1) exchange symbol had to be changed from CME to Globex
(2) the #days prior to expiry had to be reduced by one
(3) I am getting error messages, see sceeenshot below. For a 300 day lookback period (-> chart going back to November 2009) Multicharts needs ES contracts for 2007 and 2008.

This is a genuine NinjaTrader feeling, LOL. Basically it works, but with my first backdjusted contract there are 2 bugs and 1 problem related to default settings(not a bug).

I will be contacting support now and see how they respond.

Attached Thumbnails
MultiCharts, MultiCharts, MultiCharts...-screenshot-multicharts.jpg  
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  #253 (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, 83,218 received



Fat Tails View Post
I will be contacting support now and see how they respond.

I have faith they will resolve any issues. MultiCharts team, don't let me down!

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.

 
  #254 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary


Big Mike View Post
I have faith they will resolve any issues. MultiCharts team, don't let me down!

Mike

There is a sentence which is attributed to Lenin: Доверяй, но проверяй – Dowerjai, no prowerjai. In German it is a well known proverbe: "Vertrauen ist gut, Kontrolle ist besser." If I translate this into English, it becomes something like: "Trust is good, control is better."

Trust in God, but never trust in any piece of software.

The feature I have tested, is a new feature of MC 6.0 and the bugs are really minor.

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  #255 (permalink)
 R.I.P. 1960-2010 
 
Futures Experience: Advanced
Platform: NinjaTrader7
Broker/Data: Mirus RCG/Zen-Fire
Favorite Futures: CL & 6e, looking at ES, ZB and AU again.
 
ZTR's Avatar
 
Posts: 2,099 since Nov 2009
Thanks: 1,104 given, 1,390 received


Fat Tails View Post
There is a sentence which is attributed to Lenin: Доверяй, но проверяй – Dowerjai, no prowerjai. In German it is a well known proverbe: "Vertrauen ist gut, Kontrolle ist besser." If I translate this into English, it becomes something like: "Trust is good, control is better."

Trust in God, but never trust in any piece of software.

The feature I have tested, is a new feature of MC 6.0 and the bugs are really minor.

In the USA this is called Trust, but Verify. Won the guy 2 presidential elections.

@Fat Tails, if you like what you have tested, post it and let us know. I suggest making a video. I can put it up for you if you wish. Always interested in what Else is out there.

R.I.P. Andy Zektzer (ZTR), 1960-2010.
Please visit this thread for more information.

Last edited by ZTR; September 26th, 2010 at 02:27 PM. Reason: Added stuff
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  #256 (permalink)
Elite Member
Toronto, Ontario
 
Futures Experience: Advanced
Platform: NinjaTrader, Multicharts
Broker/Data: IB, IQfeed
Favorite Futures: ES, CL
 
Snoop's Avatar
 
Posts: 203 since Oct 2009
Thanks: 135 given, 161 received

CL rollover

Fat Tails,

What rollover condition are you using for CL?
Based on volume, my custom CL using either iqfeed or IB data produces a different result than the canned iqfeed cont contract QCL#C.

 
  #257 (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, 83,218 received


Snoop View Post
Fat Tails,

What rollover condition are you using for CL?
Based on volume, my custom CL using either iqfeed or IB data produces a different result than the canned iqfeed cont contract QCL#C.

Not speaking for Fat Tails... but, the QL#C feed is rolled on expiration making it worthless. Better to roll yourself, I typically do it around the third friday of every month, as either that day, the day before, or the day after, the volume of the front month takes over the current month.

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.

The following user says Thank You to Big Mike for this post:
 
  #258 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary


Snoop View Post
Fat Tails,

What rollover condition are you using for CL?
Based on volume, my custom CL using either iqfeed or IB data produces a different result than the canned iqfeed cont contract QCL#C.


Absolutely agree with Mike, rolling at expiry is nonsense for two reasons: First you do not want to trade the front month until expiry, second the offset during the last days is heavily influenced by delivery constraints, which menas that it is unstable.

If you use a custom rollover contract, for NinjaTrader you will get a different result with DTN/IQFeed compared to IB, because NinjaTrader rolls on daily data and the datafeeds use a different close. DTN/IQFeed uses the settlement at 2:30 PM EST, whereas IB uses the close at 5:15 PM EST. The difference will not be large, if you roll early. For MultiCharts I am not sure, whether daily or intraday data is used to calculate the offset, but I think it might be intraday data.

With NinjaTrader I roll at the end of the session prior to volume crossover. This can only be done with hindsight. I change my settings after the new contract has attracted more volume.

With MultiCharts I just use volume crossover, and it should automatically roll at the session end of volume crossover day. So for convenience I roll one day later than with NT7. Rolling is not a science, but something that needs to be done.

Generally you want to roll early to avoid the potentially high volatility of the old contract prior to expiry. So you can also use an approach based on the calendar day of the month. If you use the 15th of the month to roll you are on the safe side. Pinnacle Data, a vendor of data for continuous futures contracts uses the 11th of the month.

The following 3 users say Thank You to Fat Tails for this post:
 
  #259 (permalink)
Elite Member
Toronto, Ontario
 
Futures Experience: Advanced
Platform: NinjaTrader, Multicharts
Broker/Data: IB, IQfeed
Favorite Futures: ES, CL
 
Snoop's Avatar
 
Posts: 203 since Oct 2009
Thanks: 135 given, 161 received


Big Mike View Post
Not speaking for Fat Tails... but, the QL#C feed is rolled on expiration making it worthless. Better to roll yourself, I typically do it around the third friday of every month, as either that day, the day before, or the day after, the volume of the front month takes over the current month.
Mike

Thx Mike. Confirms what I thought but it's a bit strange that ES#C seems to display rolled data correctly. Good to see the MC rollover function handles it correctly.


Fat Tails View Post
Absolutely agree with Mike, rolling at expiry is nonsense for two reasons: First you do not want to trade the front month until expiry, second the offset during the last days is heavily influenced by delivery constraints, which menas that it is unstable.

If you use a custom rollover contract, for NinjaTrader you will get a different result with DTN/IQFeed compared to IB, because NinjaTrader rolls on daily data and the datafeeds use a different close. DTN/IQFeed uses the settlement at 2:30 PM EST, whereas IB uses the close at 5:15 PM EST. The difference will not be large, if you roll early. For MultiCharts I am not sure, whether daily or intraday data is used to calculate the offset, but I think it might be intraday data.

With NinjaTrader I roll at the end of the session prior to volume crossover. This can only be done with hindsight. I change my settings after the new contract has attracted more volume.

With MultiCharts I just use volume crossover, and it should automatically roll at the session end of volume crossover day. So for convenience I roll one day later than with NT7. Rolling is not a science, but something that needs to be done.

Generally you want to roll early to avoid the potentially high volatility of the old contract prior to expiry. So you can also use an approach based on the calendar day of the month. If you use the 15th of the month to roll you are on the safe side. Pinnacle Data, a vendor of data for continuous futures contracts uses the 11th of the month.

Trading wise, I do rollover manually but I run into charting issues around rollover so I've been experimenting with continuous contracts. For example, I may have a line plotted where price has reacted at, to the tick and has led to successful trading for me. So I like move the party into the next month Whether to use continuous, front or even the recently expired is another case of art not science.

 
  #260 (permalink)
Elite Member
Düsseldorf, Germany
 
Futures Experience: None
Platform: NT, SC, Jig
Favorite Futures: ES, FDAX,FGBL
 
Posts: 25 since Aug 2009
Thanks: 121 given, 26 received


Inspired by this thread and the BM community I signed up for a Multicharts trail a few weeks ago.
Long story short, the trail ended last friday and yesterday I bought a lifetime license.

Used the Ninjatrader for a few years and was satisfied with the overall performance (yep, had a few software crashed here and there or some problems with multiple workspaces running at the same time), but I managed to work with it.

Now iam with Multicharts and couldn't be happier. The way I can organise and set-up my workspace with MC is awesome. Its runs fast and stable, even on older office hardware, and no software/freeze in the last weeks. What iam missing is a "chart trader" and DOM-Trader feature and keyboard short-cuts but MC support said they are working on it.

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