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Portfolio Trader Automate Order Execution Tutorial
To conclude, using either the IB as RT and Historical or the IQFeed RT and historical, the portfolio trader works fine. The tricky part is to use CSI as historical. So, it might be a deal breaker for me.
you can always add the history via ASCII as MC support suggested and use the IQ data real time and map to IB.
However depending on how often you have to do this for your symbols I can see this becoming an annoyance.
That's my concern, it will become an annoyance in the foreseeable future, as it is a manual process. Moreover, the futures roll in MC is also a manual process. I will need to run some tests. But I would like to avoid any critical manual procedure.
I'm trying to give MC a last chance. I'm using the IB or IQFeed as data1 (tradeable instrument) and CSI data as data2. I will calculate the signal, say the MAs in this simple example, from data2. However in this very simple example of MA cross-over the results doesn't match using only CSI data. I rechecked the code and didn't find any error. Given the CSI rolling algorithm, the data are not exactly the same in the past but it should be exactly the same, therefore I wonder if it could could work for live trading. Does anyone does like this?
in general it should be possible to get the same results under the condition that your settings are the same so that the computations start on the same bar. Besides that your code should handle the second data stream correctly in order for it to come up with the same result.
The easier approach to debug your code might be to do it within an indicator i.e. one chart of just CSI and your average and the second chart using the two data streams and your other indicator code. This way you can spot where the differences are coming from.
