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Daily systems newbie problems


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Daily systems newbie problems

  #1 (permalink)
 Alvaro 
Madrid Spain
 
Experience: Advanced
Platform: Multicharts, NinjaTrader
Broker: Interactive Brokers
Trading: Futures
Posts: 2 since Apr 2015
Thanks Given: 2
Thanks Received: 0

I am designing a system with Multicharts to trade CFD's with the following characteristics:
- Data1 SPY 15min.
- Data2 SPY 1Day (Build from minutes).
- Data3 VIX 1Day (Build from minutes).
Data1 is only for the management of SL and PT.
Data2 and Data3 for input/output logic.
Data feeds come from InteractiveBrokers (IB).

I have the following doubts:

When I add SPY data, IB gives me options to add SPY as CFD or as STOCK:
- as CFD it is only possible to use SMART as Exchange
- As STOCK there are more than 30 Exchange possibilities, I have tried SMART, ARCA and CBOE.
When I add VIX data as INDEX, the only IB option is CBOE as Exchange.
I am only interested in the data of "regular trading hours" 9:30 a.m. to 4:00 p.m.
The different combinations produce different results for me in backtesting both in chart and portfolio trader.

Should I use SPY/CFD or SPY/STOCK data?
In case of choosing SPY/STOCK, which exchange should I use considering the problems of "Instrument from different zones cannot be mixed...", SMART, ARCA, CBOE or other?
Should I use LOCAL or EXCHANGE in portfolio trader? (backtesting results are different).

I'm pretty confused about it and I'm having a hard time finding the light. Could someone enlighten me?

P.S. which may be the reason why the orders in "chart" mode are triggered at 9:30 and yet with "portfolio trader" they are triggered at 10:30. What am I doing wrong?

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  #2 (permalink)
abev
seattle washington
 
Posts: 75 since Feb 2019
Thanks Given: 11
Thanks Received: 29

Hi Alvaro;

I've written and am writing code that is very similar in nature. I trade Options on the SPY (Data1) using TICKS (data2) as one of the inputs, and using MC's "Accuracy" global variables to trigger data on Options charts in different workspaces that are on the same desktop as the SPY and Ticks charts.

Just to be clear;
- what do you mean when you say "Data1 is only for the management of SL and PT." -- what is SL, what is PT?
- will you be entering orders from Multicharts?
- do you intend to allow the order entry to be automatic?

Possible answers to some of your questions:
- I don't believe that all of the charts need to use data from the same exchange -- my algo mixes exchanges without any issue.
- The only issue I can think of with exchanges is if you are getting the level of data you need -- i.e. minute or second or tick level.
- SMART Exchange is actually a software that searches many exchanges for the best possible fill of you orders. There will be small differences in the data from different exchanges for the same instrument.
- I've never run across the "Instrument from different zones cannot be mixed..." issue so I can't comment
- VIX is an index and not traded and is a product of CBOE so it makes sense that they are the only exchange.
- SPY/CFD vs SPY/STOCK data. I suspect that will be a personal choice and will, I expect, depend upon what you are attempting to do. I could make a good argument for either one.
- Trading hours for each instrument can be controlled in the settings for the instrument (see attached screen shot. Use the pulldown menu of the "Sessions" field)
- I believe that the LOCAL vs EXCHANGE setting you mention refers to which time zone you are using -- the local PC or the Exchange time.
- the time difference of when your orders are triggered is almost certainly due to the difference between LOCAL and EXCHANGE. Given that SPY is likely NY time and VIX is Chicago time, and you are in Span, I suggest you set all your instruments to use LOCAL for the time zone so that all events will show the same time. (see the same screen shot as above and use the "Time Zone" field)

Hope that helps.

Al.

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  #3 (permalink)
 Alvaro 
Madrid Spain
 
Experience: Advanced
Platform: Multicharts, NinjaTrader
Broker: Interactive Brokers
Trading: Futures
Posts: 2 since Apr 2015
Thanks Given: 2
Thanks Received: 0


Hi Al,

Sorry by the delay.

Just to be clear;
- what do you mean when you say "Data1 is only for the management of SL and PT." -- what is SL, what is PT?
- will you be entering orders from Multicharts?
- do you intend to allow the order entry to be automatic?


- SL means Stop Loss, PT means Profit Target.
- Yes, orders are entering from Multicharts (Portfolio trader).
- Yes I intend to allow the order entry to be automatic... (proofs are been problematics).

I trade SPY/QQQ/DIA/IWM, data2 VIX/VXN/VXD/RVX are only for strategy calculations, not trade.
My problem was that VIX/VXN/VXD/RVX data are from CBOE timezone (UTC -6) while ARCA data are (UTC -5).
The problem was solved changing in Multicharts "Exchanges and ECN's" the CBOE's timezone and creating a new "Session Template" with one minus hour.
I would have liked a more "elegant" solution but it seems that there is not.

Thank you very much for your help and your time.
Kind regards.

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Last Updated on October 3, 2022


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