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Need an "expert" opinion about a general programming question
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Need an "expert" opinion about a general programming question

  #1 (permalink)
 R.I.P. 1969-2016 
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Need an "expert" opinion about a general programming question

I work on TWS and CQG. I won't use TWS anymore and I can't do want I want with CQG IC or Qtrader.

I work with none time based bars (CVB and Range Bar). They have of course different time stamps. I need to create an indicator that will give me a signal when specific signals appears on both the CVB and the RB within an X seconds delay between the 2.

Is it possible (I think yes)? And what platform do you recommend me to use to create this system (my programming skills are limited)?

Thanks,
Okina.

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  #3 (permalink)
Market Wizard
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Okina View Post
I work with none time based bars (CVB and Range Bar). They have of course different time stamps. I need to create an indicator that will give me a signal when specific signals appears on both the CVB and the RB within an X seconds delay between the 2.

Hi @Okina,

I don't have an answer, unfortunately, but I don't know what a "CVB" bar is.

Maybe you can clarify that, and it may help someone respond.

Bob.

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  #4 (permalink)
Market Wizard
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Okina View Post
I work on TWS and CQG. I won't use TWS anymore and I can't do want I want with CQG IC or Qtrader.

I work with none time based bars (CVB and Range Bar). They have of course different time stamps. I need to create an indicator that will give me a signal when specific signals appears on both the CVB and the RB within an X seconds delay between the 2.

Is it possible (I think yes)? And what platform do you recommend me to use to create this system (my programming skills are limited)?

Thanks,
Okina.

What's the minimum and maximum X seconds delay you're looking for?
Will you discard the signal if X falls outside of your parameters?

@bobwest : CVB=Constant Volume Bar.

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  #5 (permalink)
Market Wizard
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xplorer View Post

@bobwest : CVB=Constant Volume Bar.

Thanks. So it's just the same as volume bars? If so, almost every platform (but not, for example, TOS) ought to have it.

Bob.

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Market Wizard
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bobwest View Post
Thanks. So it's just the same as volume bars? If so, almost every platform (but not, for example, TOS) ought to have it.

Bob.

I'm guessing so, Bob, although I'm not 100% sure. I mostly have been using CQG and only recently adopted NT as well, so my knowledge is limited.

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  #7 (permalink)
Market Wizard
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I will give this a try, although my overall experience has its limits in terms of platforms I know anything about.

@Okina, I recall from your main thread that you have tried NinjaTrader but had issues due to the programming demands. So that takes out one that I know about and would have suggested.

Regardless of that, the two that came to mind as first choices were Ninja and Sierra Chart. I have experience with NT, but only know what I have read and gathered here about Sierra. The reason I thought of them are:

1. They have very full-featured. professional languages (NT: C#, SC: C++, both standard C-derived languages), which basically means they can do anything, although it may mean digging into Windows programming to do it. That may also be a good reason NOT to try them, because, after a certain point, they need more expertise. However, many people have been able to successfully master the art of indicator coding on NT, and it is clear they didn't have to become programming jocks to do it. A lot (probably most) of the NT indicators offered on FIO were not written by pros, but they work fine.

Also, you can get extensive free help for indicator coding in NT (and some others) here on FIO.

2. They have extensive built-in capabilities that you don't have to program, although for your system, programming will be needed.

But if a person doesn't want the fancy programming language but still needs to write the indicators, you might want to look into TradeStation, which I have used extensively and can talk about.

1. It has a perfectly sufficient language (EasyLanguage) that does not get down to the level of functionality of NT, which means simply that you can use a set of built-in capabilities, and do so fairly easily, but you can't do anything that they do not give you -- no access to any broader capabilities, some limitations on what you can do even within TradeStation, no dipping into Windows, etc. This is perfectly good for many people, and it was meant to be easy, hence the name. You might try it.

2. It has a very full range of basic charting, data and indicator functions. It is probably good enough for most needs.

2a. Unless you have a TradeStation account and trade a certain (very small) number of trades a month, it will be very expensive. But not if you have an account with them. (They lease a stand-alone version with data but no trading for a set fee, which is what I used for a while.)

I understand that MuitlCharts also uses the EasyLanguage programming language, but have never used it. There may be differences with TradeStation's implementation of it.

I have also used TOS (thinkorswim), which, like TradeStation, is meant to be easy to write code for, but it has its limitations (no volume bars, and not many other types), plus there have been data issues (tick bars containing bundled data instead of all the trades -- very bad, TOS.) I don't know if they still do the data that way, however.

Since I don't know that many platforms, this may not have helped much, but I wanted to show where the divide is, in coding terms: some will have a language that is more suited to programming dorks (uh, professionals ) like me, some will have a simpler language that only allows you to access some of the built-in functionality of the platform, which will often be enough, within limits.

Maybe this is a start, anyway. I'm sure other people can add to it.

Bob.

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Ninjatrader has the ability to do what you're asking for, in theory at least, the devil will be in the details. Generating a signal from two non-standard bar types introduces timing issues with respect to the signals from the two independent time series, unfortunately it can get messy pretty quickly.

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trendwaves View Post
Ninjatrader has the ability to do what you're asking for, in theory at least, the devil will be in the details. Generating a signal from two non-standard bar types introduces timing issues with respect to the signals from the two independent time series, unfortunately it can get messy pretty quickly.

Thinking more clearly about the issue in terms of this requirement, I have no confidence that it would be simple, and little confidence in TradeStation or a similar platform. You would need to compare two completely different data series, which can be done with NT. I would also prefer not to do it , for the reasons @trendwaves mentioned.

Completely separate indicators for the two bar series would be no problem; then the user would have to eyeball them to compare them. Doing the comparison in the code, well, anything is possible, but it certainly could get messy.

Bob.


Last edited by bobwest; February 28th, 2016 at 01:32 PM.
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bobwest View Post
Thinking more clearly about the issue in terms of this requirement, I have no confidence that it would be simple, and little confidence in TradeStation or a similar platform. You would need to compare two completely different data series, which can be done with NT. I would also prefer not to do it , for the reasons @trendwaves mentioned.

Completely separate indicators for the two bar series would be no problem; then the user would have to eyeball them to compare them. Doing the comparison in the code, well, anything is possible, but it certainly could get messy.

Bob.

I believe the question of comparing the two different data series is not the issue, at least not for CQG.

The question is to link the two in terms of a given time lag as per @Okina's requirement, but I think it may be possible.


I may be wrong on both

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