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Custom Instruments


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Updated by LS Chad
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Custom Instruments

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  #1 (permalink)
 
 
Posts: 1,176 since Nov 2009

@LS Chad,

today IRT/MD offers the ability to create custom instruments... the functionality has the ability to determine a calculation type (sum/diff/ratio, etc) and a multiplier for the custom instrument... what I want to know is: how can I use as a multiplier an indicator value rather than entering a constant value? ..

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  #2 (permalink)
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
Trading: ES
 
LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received

Few ways to go about this.

You could create a custom indicator that multiplied price by an indicator or a custom indicator, such as:

CL * RSI

or

CL * CI

But that will just give you one value per bar (not a full open, high, low, close bar with tick data). However, that may be sufficient for your needs.

If not, here is another way to get there with a custom instrument.

First, make a custom indicator that is the inverse of the indicator you want to multiply price by. Something like:

1/RSI

Add that custom indicator to a chart and setup the custom indicator to "record current value into V#1" or whatever user variable (V#) you choose.

Now, setup the custom instrument as a ratio, dividing by the chosen user variable as seen below.



Now this will only generate data live...cannot generate the historical data when created.

Hope that helps.

Chad

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  #3 (permalink)
 
 
Posts: 1,176 since Nov 2009


the inverse didnt quite work..

here is what I am after, I am giving up on trying to chart a dynamic spreads with IRT/MD... does not seem to be all that simple as it is with CQGIC and QFormulas... but what I really care about is calculating dynamically my spread ratios... I can manually adjust the ratios and chart them once I have the right values for the day...

I tried to do this with a quotepage, but it didnt quite worked since I could not bring in TR into a custom column and then multiply the value by the EURUSD last price to get me the range on USD to divide against the primary leg on my spread..

so lets assume I am spreading ES vs EX... on a quotepage I want to see the # of Contracts that I need to buy/sell assuming primary leg is on ES.. so ES is always 1 let say..

so ... assuming daily bar..

TR(3) for ES might be 10 x $50 = $500
TR(3) for EX might be 30 x $10 x EURUSD(1.45) = $435

ES/EX = 1.15

which basically means I will buy/sell or sell/buy .. 7ES/8EX or 20ES/23EX... depending how accurate I want to be with the spread to achieve my $$$ neutral position..

how can I create a custom column that will enable me to perform the calculations I require, which can then be shown on the QB on a chart for simplicity...

I want to shave some of the time I spend doing homework when I get up... I do have a custom column with the TR for the instruments in question, so TR(3) on a custom column is not the issue, the issue is getting the values to multiply by the last EURUSD with 3 digits only..

maybe I am being too lazy and trying to automate too much.. who knows.. if there is a way to accomplish what I am after, please let me know.. thanks!

on another note...

$Val_Tick column for EX# and BD# wont give a tick value... seems to be specific to those two instruments.. everything else under Eurex and CME gives the value properly. I tried recreating the instrument a few times.

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  #4 (permalink)
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
Trading: ES
 
LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received


sysot1t View Post
the inverse didnt quite work..

here is what I am after, I am giving up on trying to chart a dynamic spreads with IRT/MD... does not seem to be all that simple as it is with CQGIC and QFormulas... but what I really care about is calculating dynamically my spread ratios... I can manually adjust the ratios and chart them once I have the right values for the day...

I tried to do this with a quotepage, but it didnt quite worked since I could not bring in TR into a custom column and then multiply the value by the EURUSD last price to get me the range on USD to divide against the primary leg on my spread..

so lets assume I am spreading ES vs EX... on a quotepage I want to see the # of Contracts that I need to buy/sell assuming primary leg is on ES.. so ES is always 1 let say..

so ... assuming daily bar..

TR(3) for ES might be 10 x $50 = $500
TR(3) for EX might be 30 x $10 x EURUSD(1.45) = $435

ES/EX = 1.15

which basically means I will buy/sell or sell/buy .. 7ES/8EX or 20ES/23EX... depending how accurate I want to be with the spread to achieve my $$$ neutral position..

how can I create a custom column that will enable me to perform the calculations I require, which can then be shown on the QB on a chart for simplicity...

I want to shave some of the time I spend doing homework when I get up... I do have a custom column with the TR for the instruments in question, so TR(3) on a custom column is not the issue, the issue is getting the values to multiply by the last EURUSD with 3 digits only..

maybe I am being too lazy and trying to automate too much.. who knows.. if there is a way to accomplish what I am after, please let me know.. thanks!

on another note...

$Val_Tick column for EX# and BD# wont give a tick value... seems to be specific to those two instruments.. everything else under Eurex and CME gives the value properly. I tried recreating the instrument a few times.

I would create a custom indicator with this syntax:

(50 * MPD_ES) / (10 * MPD_EX * CL)

MPD_ES would be setup to mix ticker: ES and Data Source: Indicator: True Range (click Ind Prefs button and setup TR with period of 3) and check "1 bars back" so it's never include the current partial session. Do similar for MPD_EX just mixing the different symbol. Use this custom indicator in a custom column setup to use daily data....and use it in a quotepage that contains EURUSD.

I'm not sure what $Val_Tick is referring to exactly. Can you elaborate on that?

I'd also like to hear more on the problems you're having in creating spreads. Here is a video on creating pairs that you may have already viewed: Creating Pairs - LinnSoftware's library

Chad

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  #5 (permalink)
 
 
Posts: 1,176 since Nov 2009

I will give that a try... last time I tried MPD I failed miserably, will play around with the concept... I have looked at the video, I will review it again to refresh my memory in case I missed something ... keep in mind I want a dynamic spread, it works just fine if I know my ratios ahead of time ...

as to $Val_tick, it is one of the built-in quotepage columns, I was trying to use it for my calculations...


LS Chad View Post
I would create a custom indicator with this syntax:

(50 * MPD_ES) / (10 * MPD_EX * CL)

MPD_ES would be setup to mix ticker: ES and Data Source: Indicator: True Range (click Ind Prefs button and setup TR with period of 3) and check "1 bars back" so it's never include the current partial session. Do similar for MPD_EX just mixing the different symbol. Use this custom indicator in a custom column setup to use daily data....and use it in a quotepage that contains EURUSD.

I'm not sure what $Val_Tick is referring to exactly. Can you elaborate on that?

I'd also like to hear more on the problems you're having in creating spreads. Here is a video on creating pairs that you may have already viewed: Creating Pairs - LinnSoftware's library

Chad


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  #6 (permalink)
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
Trading: ES
 
LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received

Regarding $VAL_TICK, go to "Setup: Futures" from the main menu, and create future types for EX and BD. There you can specify the tick value. Then it will show up properly in quotepage column.

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