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MC AutoTrade Lag Time
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MC AutoTrade Lag Time

  #1 (permalink)
Trading Apprentice
Rice Lake Wisconsin
 
Futures Experience: Intermediate
Platform: multicharts
Favorite Futures: stocks
 
Posts: 5 since Jun 2013
Thanks: 0 given, 0 received

MC AutoTrade Lag Time

I just started live trading with MultiCharts autotrade within the last week (Interactive brokers). I have had a few orders that bought/sold with no apparent problems.

My signals generated a single order today that did not execute. I'm wondering if someone can shed some light on the sequence of events so I can adjust my settings.

This strategy (5 second chart) generated a signal with the command:

Buy ( "UPRO LE " ) next bar at close + .01 point limit ; .

According to the MC Backtest Performance report the buy signal was generated at 10/28/2015 14:18:35 (eastern time) at $65.00.
I called IB and determined they received the order at 14:18:50:160 at a limit price of $65.03.

There are several things here I do not understand.

Why $65.03 limit at IB and not $65.01? ($65.00 +.01cents) .

And the bigger question is why the 15 second delay for IB to receive the order? The order didn't fill because according to IB time&sales by 14:18:50 the price had risen to $65.07. I am running a dual core HP with a DSL internet connection. I am set to synchronous mode if that makes a difference.

15 seconds is a really long time in the stock market. I know from prior experience placing manual orders that when I click TRANSMIT a stock order normally fills in a tiny fraction of a second.

Words of wisdom anyone?


Last edited by NWItrader; October 28th, 2015 at 08:02 PM. Reason: missing information
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  #2 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

NWItrader,

when was the order generated in MC realtime according to the Order and Position Tracker?
Keep in mind that MC is event driven software and an order is only send upon a tick arriving to your platform, when there were no ticks an order wouldn't be send for example.

Regards,
ABCTG

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  #3 (permalink)
Trading Apprentice
Rice Lake Wisconsin
 
Futures Experience: Intermediate
Platform: multicharts
Favorite Futures: stocks
 
Posts: 5 since Jun 2013
Thanks: 0 given, 0 received

Thanks for the direction


I confess I was using the backtest Trades screen instead of the Order and Position Tracker.

So now I am looking at the history on this specific signal in the tracker window. It shows this buy signal in question was generated about 4 seconds later than the backtester estimated. The Filled/Cancelled time is shown to be about 11 seconds later. IB support told me me the Filled/cancelled time was actually the time the order was RECEIVED. He had several more times further out before he showed the order to have been actually cancelled. I dont know how to interpret that.

This signal has generated a Buy order about a dozen times in the last week. Most show a a difference between Generated time and Filled/Cancelled (they were all filled) of less than 1/4 of a second. That wouldn't work for HFT, but plenty good for what I am doing.Three were about one second apart. This one is out there by itself with the large time discrepancy.

I don't know if this has anything to do with it, but I turned OFF the Real Time History Matching. I could switch from limit order to market, but that sounds spooky for a leveraged fund.

Thanks for the help.

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  #4 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

NWItrader,

depending on the activity of the symbol this could happen due to the event driven nature of the software. However I would suggest to contact the MC helpdesk, as they have the ability to check your log files and can see and explain exactly what happened.

Regards,
ABCTG

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