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Multiple dataseries intrabarpersist ohlc


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Multiple dataseries intrabarpersist ohlc

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  #1 (permalink)
 
Big Mike's Avatar
 Big Mike 
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I am hitting a small problem and am not seeing what the issue is. The problem is that for data2 the values are not working intrabar even with intrabarpersist enabled. I am only getting values as of the close of data2.

Here is the code:

 
Code
[IntrabarOrderGeneration = true]

// data1 = entry 6 range
// data2 = 1 hour



vars:
	d1c	( 0 ),
	intrabarpersist d1l	( 0 ),
	intrabarpersist d1h	( 0 ),
	d2c	( 0 ),
	intrabarpersist d2l	( 0 ),
	intrabarpersist d2h	( 0 );
	
d1c = C of data1;
d1l = L of data1;
d1h = H of data1;
d2c = C of data2;
d2l = L of data2;
d2h = H of data2;

Text_new_s(date, time_s, d2c, "_");
Text_new_s(date, time_s, d2h, "+");
Text_new_s(date, time_s, d2l, "=");
data1 = 6 range
data2 = 1 hour

I've also let it draw in real time just to make sure this isn't a historical vs. realtime issue. It isn't - the drawing is the same.

Resulting screen shot attached.

Mike

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 Big Mike 
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@Jura to the rescue, maybe?

Mike

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 diverdan 
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Is the chart showing the problem or how it works when intra bar persist isn't enabled?

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 Big Mike 
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diverdan View Post
Is the chart showing the problem or how it works when intra bar persist isn't enabled?

The chart illustrates the problem - as data2 makes a new high or low, the + and - signs printed on the chart should be moving. Instead they are static, representing only the last completed data2 bar.

Mike

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 diverdan 
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Your code looks right and I can see no good reason why it shouldn't work. I will think on this as well...

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Big Mike View Post
The chart illustrates the problem - as data2 makes a new high or low, the + and - signs printed on the chart should be moving. Instead they are static, representing only the last completed data2 bar.

Hm, nice challenge. I don't see a solution (yet), but will try to work on it this weekend.

In the meantime, not to 'play down' this problem or oversimplify it, but why not use a Donchian channel (found in the download section here at futures.io (formerly BMT)), based on Data2 but plotted on Data1? That would also make this indicator less memory consuming with all those +,- and ='s. Or wouldn't that work?

(Off topic: how do you keep the scale of Data1 (6 Range) so nicely aligned (i.e. same space between bars) when adding a Data2 (1 hour)?)

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 Big Mike 
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The text output (+ and -) is just for debug purpose, will be deleted once it works.

Mike

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  #9 (permalink)
atsui
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Hi, I am new to your very helpful website and was searching for some workaround about some issues with MC regarding the bar magnifier feature of MC and i think your issue is the same as mind.

My understanding is that the bar magnfier can only be apllied to the trading instrument; therefore if you use multiple data series, calculations involving secondary data series are based on end of bar value. This would create a "look to the future" issue when backtesting if you use IOG in combination with intrabarpersist involving "non-tick" secondary data series because orders are generated within a bar but based on end of bar value of the secondary data series.

Just wondering if anyone has encountered similar issue and is there a workaround? I have made a feature request in MC forum and will see if there is any positive response.

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Big Mike's Avatar
 Big Mike 
Manta, Ecuador
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atsui View Post
Hi, I am new to your very helpful website and was searching for some workaround about some issues with MC regarding the bar magnifier feature of MC and i think your issue is the same as mind.

My understanding is that the bar magnfier can only be apllied to the trading instrument; therefore if you use multiple data series, calculations involving secondary data series are based on end of bar value. This would create a "look to the future" issue when backtesting if you use IOG in combination with intrabarpersist involving "non-tick" secondary data series because orders are generated within a bar but based on end of bar value of the secondary data series.

Just wondering if anyone has encountered similar issue and is there a workaround? I have made a feature request in MC forum and will see if there is any positive response.

I was not using bar magnifier. Just intrabarpersist.

Mike

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Last Updated on December 27, 2011


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