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Opinions on COBC set to false in strategies
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Opinions on COBC set to false in strategies

  #11 (permalink)
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BigDog View Post
trying working limit orders with COBC=false... you should get better results

Hey bigdog, do you mean adjusting limit orders on the entry side or the exit side? or maybe both.

I was thinking about a entry limit order approach that would escalate into a market order after a certain number of ticks/time elapsed based on price action, but haven't had time to do anything with it yet. Is that the sort of thing you're talking about?

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  #12 (permalink)
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jackyd View Post
Hey bigdog, do you mean adjusting limit orders on the entry side or the exit side? or maybe both.

I was thinking about a entry limit order approach that would escalate into a market order after a certain number of ticks/time elapsed based on price action, but haven't had time to do anything with it yet. Is that the sort of thing you're talking about?


I've had pretty good results with buying or selling say -1/+1 from the bid/ask

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  #13 (permalink)
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jackyd View Post
I like testing in sim mode, but I just wish there was a way to get the output into a log file instead of that stupid window. I'll start using market replay more once I have my second system built, but right it just isn't practical with my setup.

It's nice to hear how people like yourself that are having success approach things, and how you utilize the tools.

You can easily write to a custom log file from your strategy using the C# StreamWriter class, check the sample code here: How to read from and write to a text file by using Visual C#

Also you can run a second instance of NT inside a virtual machine without needing a second computer (assuming your main computer isn't really outdated). I do all my development and testing in VMs while my live strategies run on the host OS, it makes strategy development *much* more pleasant =)

You can download VM software from VirtualBox

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  #14 (permalink)
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sefstrat View Post
You can easily write to a custom log file from your strategy using the C# StreamWriter class, check the sample code here: How to read from and write to a text file by using Visual C#

Also you can run a second instance of NT inside a virtual machine without needing a second computer (assuming your main computer isn't really outdated). I do all my development and testing in VMs while my live strategies run on the host OS, it makes strategy development *much* more pleasant =)

You can download VM software from VirtualBox

Very cool sef, thank you. Looks like I have some homework to do

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  #15 (permalink)
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As far as testing out your strategy... I'd go with Live Sim first, and if not that then Market Replay...

You will see discrepancy with the two... with Live Sim obviously giving you a more realistic view...

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  #16 (permalink)
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The logic of COBC=true when using a Close[0] does my head in. Close[0] with COBC=true would be Close[1], right?

I'm playing with some last bar [1] && bar[0] COBC=false code now having seen my strat miss things I wanted it to trade. Probably the most frustrating thing I've been fighting is knowing why or why not my strat code takes a trade.

FWIW I backtest using market replay data 1x speed after hours and forward test on live sim data during the hours I trade. Slow and painful but more accurate.

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  #17 (permalink)
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MXASJ View Post
The logic of COBC=true when using a Close[0] does my head in. Close[0] with COBC=true would be Close[1], right?

I'm playing with some last bar [1] && bar[0] COBC=false code now having seen my strat miss things I wanted it to trade. Probably the most frustrating thing I've been fighting is knowing why or why not my strat code takes a trade.

FWIW I backtest using market replay data 1x speed after hours and forward test on live sim data during the hours I trade. Slow and painful but more accurate.

no. [0] means the last "bar" whether the bar is 1 tick in length (cobc false) or xx length (cobc true, based on chart size). for instance if cobc is false then [0] always represents the last tick unless you specifically state FirstTickOfBar.

turn TraceOrders = true in Initialize() and open output window if you want to see more debug info to figure out what is going on. throw in a few Print(Time[0] + "your message"); statements to see where things are firing in your script.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #18 (permalink)
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Adding TraceOrders=true now! Thanks. So far the change on COBC true to false seems to be helping. I'm on 5 min bars.

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