NexusFi: Find Your Edge


Home Menu

 





Automated CL Spread Trading in Multicharts


Discussion in EasyLanguage Programming

Updated
      Top Posters
    1. looks_one treydog999 with 3 posts (2 thanks)
    2. looks_two ABCTG with 2 posts (1 thanks)
    3. looks_3 Quick Summary with 1 posts (0 thanks)
    4. looks_4 JHall65 with 1 posts (0 thanks)
    1. trending_up 5,057 views
    2. thumb_up 3 thanks given
    3. group 7 followers
    1. forum 9 posts
    2. attach_file 0 attachments




 
Search this Thread

Automated CL Spread Trading in Multicharts

  #1 (permalink)
 JHall65 
Denver Colorado
 
Experience: Intermediate
Platform: Multicharts
Trading: Forex
Posts: 23 since Apr 2013
Thanks Given: 3
Thanks Received: 2

How would you go about programming in automated spread trading in Multicharts? I have quite a few fully automated systems, but I don't have any that trade two instruments. My first thought was to create the rules and apply the signal to a chart with the front month CL contract, and reverse the rules for a chart with the second month CL contract. I have seen a little on the forums about global variables, but am unfamiliar. I'd greatly appreciate any input on how you might implement spread trading in Multicharts.

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Trade idea based off three indicators.
Traders Hideout
Better Renko Gaps
The Elite Circle
ZombieSqueeze
Platforms and Indicators
MC PL editor upgrade
MultiCharts
REcommedations for programming help
Sierra Chart
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Spoo-nalysis ES e-mini futures S&P 500
48 thanks
Just another trading journal: PA, Wyckoff & Trends
33 thanks
Tao te Trade: way of the WLD
24 thanks
Bigger Wins or Fewer Losses?
24 thanks
GFIs1 1 DAX trade per day journal
22 thanks
  #3 (permalink)
 ABCTG   is a Vendor
 
Posts: 2,435 since Apr 2013
Thanks Given: 482
Thanks Received: 1,628


JHall65,

you can do that much easier now than before with the Portfolio Trader (available in MC9 beta). Take a look at the examples, they even provide a spread trading strategy.

Regards,
ABCTG

Follow me on Twitter Reply With Quote
  #4 (permalink)
 
treydog999's Avatar
 treydog999 
seoul, Korea
 
Experience: Intermediate
Platform: Multicharts
Broker: CQG, DTN IQfeed
Trading: YM 6E
Posts: 897 since Jul 2012
Thanks Given: 291
Thanks Received: 1,039

I have actually been developing a spread strategy with the new beta portfolio trader. It is totally possible, and seems to work. However the trading and debugging can be unclear because all you see is the performance report as a result. Its much harder to detect what exactly is going on.

Reply With Quote
Thanked by:
  #5 (permalink)
 ABCTG   is a Vendor
 
Posts: 2,435 since Apr 2013
Thanks Given: 482
Thanks Received: 1,628

That's true as you don't have the chart for "debugging" visually. Adding print statements to the strategies and money management strategy seems like the only way to do it. You might also be able to show a little bit of more information with the pmm_set_my_status and pmms_strategy_set_status reserved words within the portfolio trader.

Regards,
ABCTG


treydog999 View Post
I have actually been developing a spread strategy with the new beta portfolio trader. It is totally possible, and seems to work. However the trading and debugging can be unclear because all you see is the performance report as a result. Its much harder to detect what exactly is going on.


Follow me on Twitter Reply With Quote
Thanked by:
  #6 (permalink)
 
treydog999's Avatar
 treydog999 
seoul, Korea
 
Experience: Intermediate
Platform: Multicharts
Broker: CQG, DTN IQfeed
Trading: YM 6E
Posts: 897 since Jul 2012
Thanks Given: 291
Thanks Received: 1,039


ABCTG View Post
That's true as you don't have the chart for "debugging" visually. Adding print statements to the strategies and money management strategy seems like the only way to do it. You might also be able to show a little bit of more information with the pmm_set_my_status and pmms_strategy_set_status reserved words within the portfolio trader.

Regards,
ABCTG

Yes print statements are pretty damn critical here. I have even had to format and export them because the output window is just not good enough.

Something I have also done is isolating specific trading rules that can be put onto a chart. Like a single side of the spread, then cross checking that with my output of the file and performance report. Extremely annoying but possible. There are a lot of little things that can shift what you see on the chart and what the performance report from the portfolio trader tells you.

Lets just say I was getting different entries, and multiple 2nd instrument hedges for no reason. But was finally able to get the isolated rule to match the trading report from portfolio.

Reply With Quote
Thanked by:
  #7 (permalink)
PropArb
Chicago Illinois
 
Posts: 26 since Mar 2014
Thanks Given: 0
Thanks Received: 9

IMHO, you'll get picked off far too frequently. If I can get picked off doing it in an office within the CME building with a co-located server using TT AutoSpreader - my suspicion is that your results might be similar. Not worth it.

Reply With Quote
  #8 (permalink)
shanemcdonald28
new york
 
Posts: 355 since Mar 2012
Thanks Given: 665
Thanks Received: 582

Isn't TT spreader one of the best for spread trading ?

Reply With Quote
  #9 (permalink)
 
treydog999's Avatar
 treydog999 
seoul, Korea
 
Experience: Intermediate
Platform: Multicharts
Broker: CQG, DTN IQfeed
Trading: YM 6E
Posts: 897 since Jul 2012
Thanks Given: 291
Thanks Received: 1,039


shanemcdonald28 View Post
Isn't TT spreader one of the best for spread trading ?

Yes but thats only for execution, it does not provide any analytic tools that i am aware of.

Reply With Quote
  #10 (permalink)
 
baywolf's Avatar
 baywolf 
San Diego, CA
 
Experience: Intermediate
Platform: TT Pro
Broker: Advantage
Trading: Gasoil, heatoil, crude
Posts: 55 since Sep 2009
Thanks Given: 26
Thanks Received: 33



JHall65 View Post
How would you go about programming in automated spread trading in Multicharts? I have quite a few fully automated systems, but I don't have any that trade two instruments. My first thought was to create the rules and apply the signal to a chart with the front month CL contract, and reverse the rules for a chart with the second month CL contract. I have seen a little on the forums about global variables, but am unfamiliar. I'd greatly appreciate any input on how you might implement spread trading in Multicharts.

Yes, that is how I did pairs trading with stocks back in 2008 with Multicharts. So for example I had CVX data1 and COP data2 on one chart and on another chart I had COP data1 CVX data2. Its been a while since I've used that program but I recall having to have intrabar execution enabled on both strategies. You also need to ensure that your strategy is absolutely symmetrical so that the signal is the same value even if you flip the symbols. I had to modify the strategy specifically to get it to be symmetrical in Multicharts, but it certainly is possible.

I had it running with ~50 pair trade strategies running across multiple co-integrated stock pairs. Good luck.

Reply With Quote




Last Updated on September 2, 2014


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts