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A problem arises when you start using "next bar ..." and tick data. If Intrabar order generation is enabled, then the order for "next bar ..." may only be valid for the next tick, so you have to keep issuing the order.
Brett, what a GREAT series of posts. Very informative and helpful. Thank you for all that time and effort.
I do have 'Intra-bar Order Generation' turned on for the code and I also have 'Use Bar Magnifier' checked with 1 Tick as the defining interval. I think Bar Magnifier in MultiCharts is equivalent to 'Intra-bar Order Persist' in TradeStation, but I'm not sure.
I need to re-read and re-read all that you've posted here so that I can completely understand all you've written.
Intrabar Order Generation means orders can be submitted intrabar instead of at close of bar. It is off by default, you have to explicitly enable it.
Intrabar Persist means a var: can be updated intrabar instead of only at the close of a bar. It is off by default.
Bar Magnifier takes non-tick data and fills in the missing ticks to give you more accurate results. For example if you submit orders on a 5 minute chart, and you have a 5 minute bar that is real big - wick/tail - and both the tail and wick include both your stop and target. Bar Magnifier allows MC to know the true order of the OHLC so it can determine if your stop or target was hit first, otherwise it does not know the order. By default MC assumes the worst when filling these orders without bar magnifier, unlike NT which assumes the best.
Hi Mike, I was under the impression that bar magnifier still requires the data of what ever you set it to. Ie if you have a 5min strategy and enable bar magnifier to '1 tick' then you require tick data and this just enables the use of the tick data while back testing. If you don't have the tick data then that is when MC does its assumptions for order filling and which happened first in the bar.
This is the way I understand it to work but please correct me if I'm wrong. How else would MC know what happened intrabar without tick data?
As far as I know, you're both right: the Bar Magnifier can use both ticks as well as minutes (see picture).
So, for example, if you backtest a strategy on a 10 minute time frame, but don't have tick data, you can use the Bar Magnifier with a one minute setting (since that's available, even though there is no tick data). And when backtesting on a 100 tick chart, the Bar Magnifier can be set to 1 tick or use the minutes. (Though I doubt this will give more accurate results when the Bar Magnifier is set to minutes while backtesting on ticks).
Yes for sure, it requires tick data if you tell it to use tick data resolution. Sorry if I suggested otherwise, it was not my intention. I'm pretty sure it will just throw an error message if you try to use it without tick data.
When I was a beginner traders I read a story about a trader in a bygone age who lived far away from the big city, and sent written orders to his brokers via postal mail. He made a lot of money.
Because he knew his limitations and traded within them.
I trade FX. PFGBest is my broker, and I use no-backfill PFGBest data fed into my MultiCharts. My latency is 300ms on average. Yet my fills are EXCELLENT.
Because I know my limitations and have learned to trade within them.
You are doing lots of things right; systematic trading is one of them. And although no one should tell you what style to trade, I think you particularly need to think through how frequently you trade.
I am new to systematic trading, but I did spend many, many hours doing my homework; lots of things I tried suggest to me when you test you test codes, not methods. The line between the two is ultra-fine, but results wise the differences are huge.