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syswizard
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Posts posted by syswizard
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A broker profile establishes the connection parameters to the Interactive Broker's Trader's Workstation or Interactive Broker's Gateway. You can have several profiles. For example I have one for my paper-trading account and another one for my live account. You can trade both at once if you prefer.
The gateway is most commonly used with Multicharts because the trade orders emanate from there and nowhere else. On any chart that has a trade chart panel showing, you can select the account, and then place the order....limit, stop, market, etc. Multicharts will pass this order along to Interactive Brokers via their API. This order either rests on the Interactive Broker's servers or with the exchange servers. When executed, multicharts gets this confirmation from the source and then indicates on the chart the price at which the order was executed.
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I'm with Multicharts right now. Mine is a 3 component set-up:
1) MC software installed locally (not web-based)
2) DTN IQFeed for data
3) Interactive Brokers Profile - both live and testMulticharts is very stable and efficient. It's running on my old laptop which has a quad-core intel processor that's about 5 years old.
Rarely does the CPU spike above 50% with several Emini futures tick charts running.
IQFeed is very stable and efficient as well. There are never any gaps in the intraday bars....so no data is ever lost.Now, the bad news is the quirks and error messages emanating from MC are not good....in fact they are misleading. Their Symbol Mapping feature needs a lot of work. Mapping is required when you have a broker profile and third party data feed. You must re-map ever time the front month of the futures changes....quite a pain. With some work on their part, they could do this automatically.
Tech support is superb...as they will take control of your machine when required to debug a problem.
The automated feature is OK. Their code editor is weak because it cannot handle a large library of source code very well....there is no search feature.
However, the code editor is excellent when importing Easy Language code....it flawlessly compiled over 10k lines of EL for me....with no error. Now that being said, MC's code editor does NOT support the newer object-oriented syntax of Easy Language.All in all, it's a good platform....that could be even better with some enhancements.
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I have a ton of script code in Multicharts via the PowerEditor.
I am looking for a way to export all of the code into a single, large text file so I search and cross-reference the function calls, etc.
The internal PLA format cannot be searched as far as I know.
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This was stupid....it breaks the compatibility with the much-more-superior platform known as Multicharts.
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- 21 Rich people who have stolen OPM (other peoples money)
- 21 Rich people who have stolen OPM (other peoples money) and practice law as attorneys
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.. it will be years before you are proficient enough to code something that would kick ass.Interesting. Another programmer said I should be able to pick it up fairly easily given the fact that I do this for a living right now.
I am also thinking about the possibility of selling some indicators or systems or specialized trading tools. MC knocked the licensing fee down to $1000, so I could just add that to the cost of my offerings as a bundled package. Finally, I might be even able to get some contract work to convert existing power language/easy language over to C# dot-net.
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Has anyone tried this new version of multicharts ?
I'm thinking about it, but as an EL programmer, now I must learn the entire .NET platform and C# !!
Is it worth the time and effort I wonder ?
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One of the best ways to learn is to get on the msdn/social forums and just browse the posts.
It's a treasure chest/trove of information.
For Excel alone, there are several specific forums.
Got a specific problem ? Just post a question !
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I believe that using AI and Neural Networks and Genetic Programming have all fallen to the wayside because of curve-fitting. I guess the issue is: how do you avoid it using these sophisticated techniques ?
IOW: How can you teach your neural net NOT to curve-fit ?
I don't think it can be done.
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Is it true that day trading used to be easier?Back in 2000, the intraday swings in the Nasdaq were tremendous...sometimes 200 points. More importantly, these swings were "smooth"....thus making it very easy to hold without worry. Traders could make 2-3k in one trade.
Today, it's much choppier thanks to HFT. It's very easy to get "rattled out" of your position only to see it go back to your original direction.
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I'm not really sure what you mean? If you create an indicator you can call it directly in a strategy and you can also create your own library of custom functions/methods to call(user defined methods in the indicator lib).I think the issue is that the indicator lib and the strategy lib are SEPARATE.
If I write a method/function for an indicator, it must be COPIED to the strategy lib if I need to use it in a strategy.
I've checked with tech support on this and they are aware of it.
Probably will be fixed in 7.0.
In the meantime, it's just an inconvenience.
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The Ninjatrader quest for world domination continues...
http://www.ninjatrader-support.com/vb/showthread.php?p=35427#post35427
This is pretty much now totally free MP if you have a compatible Ninja data feed. I'm sure it will get better as its hacked with too.
With release 6.5, they've done pretty well. However, ONE GLARING DEFECT:
no common functions/methods permitted between indicators and strategies....instead, one must maintain 2 COPIES. This is a HUGE software design "no-no".
I really don't understand it....how they "cloned" so much of Tradestation's concepts, yet they FAILED in this one important concept.
SOMEBODY HELP ME OUT HERE !
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I've been following a small hedge fund manager whose been posting his "systematic" trades on Elite Trader.com. Omigosh, he is just getting HAMMERED and whipsawed to death....he was up HUGE in short YM futures 5 weeks ago, and he held and got stopped out last week for a loss because that's what his system told him to do.
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You might want to register and check here:
There appear to be a lot of MQL4 experts there.
For you to pull this off, MQL4 must support one of these Windows communication interfaces:
DLL
DDE
ActiveX
My quick search of the above surfaced nothing, but that doesn't mean MQL4 cannot do these. You'll need to contact their tech support or the experts for a definitive answer to the above.
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Could someone advise me how I might create a feature that will close all open orders when a net profit target is hit. I would like to open a small basket of FX cross pairs with Interactive Broker' TSW platform and close all orders when the basket hits a net $ profit. thxVery difficult to do with the present version 9.3 because commissions are not available. So best you could do is the basis of GROSS profit. API Version 9.4 will support commissions....but no target date has been set.
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Systems are great because they take the emotion and "second guessing" out of the decision making. This greatly reduces the stress associated with trading. The downside is the meager performance and huge drawdowns that can occur. Just ask Ryan Jones ("The Trading Game") who embarassed himself in a trading contest a few years ago with his "pullback" system. Also, John Henry's performance past few years has been nothing short of embarassing as well.
Systems CAN work under certain circumstances like special "events" like break-outs, gaps, etc. where there are literally hundreds of trades to manage in a day. Where systems are really at a disadvantage: swing trading index futures for instance. Just one person's opinion.
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In reply to syswizard: "emotional and psychological aspects of market behavior" are presumably reflected in the charts and tape or how else would a discretionary trader see them? So if they're reflected in the charts and the tape then they could be automated. And yes it is possible to analyse and interpret news events. In fact it's extremely simple to code an Excel macro that enters an order on the basis of an economic data release (released real time by Bloomberg and Reuters). Reuters, Bloomberg and Dow Jones also use XML tags that enable automated systems to react instantaneously to news events. Why do you think the market reaction to news events is instantaneous? Because automated systems are reacting within milliseconds - much faster than any discretionary trader could react.Being FAST doesn't correlate to being CORRECT.
re: "...are presumably reflected in the charts and tape"...
sorry, I totally disagree.....the reflection doesn't appear till AFTER THE FACT.
Same situation is seen in professional poker....the instincts and intuition of the best players is simply amazing.....and not easily "programmed". They are acting upon the NEXT CARD, not what is currently "showing" ie the "charts".
re: "excel macro to enter orders"....oh yeah, any DUFUS can now easily enter automated orders thanks to IB's work in simplifying the ever-so-awful FIX interface. And with this, I've seen so many traders crash-and-burn especially when trading the financial index futures.
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I don't think there's any aspect of a good discretionary system that couldn't be automated.Hmmm...you sure about that ? You can program the emotional and psychological aspects of market behavior ? Also, your program can anticipate and interpret the "news" events ?
Omigosh, we are at least 10 years away from software being able to do this.
If we were "there" today, IBM's Big Blue program that crushed the best chess players would be applied to the markets. Guess what ? They tried it and it FAILED MISERABLY.
That was at least a 5 MAN-YEAR software effort...probably much more.
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How would one go about programming tape reading? Pretty impossible I'd say.Never say never.....the big brokers are into this stuff in a huge way (have you seen their earnings recently ?)
The smart kids at Penn/Wharton came-up with a pretty novel approach to reading the order book and this strategy (after modifications of course) eventually went live at Lehman Brothers.
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Thanks for that.....very interesting ActiveX implementation. Strangely, I was able to cobb together a pretty nifty quote tracker in Excel using the Yahoo Finance quote database. I'll post some pix of it when I clean it up.
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Thanks much. I sent them a note asking if they have an API available so I can integrate the scanner into Excel.
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Is anyone familiar enough with some of the features of the TWS API from Interactive Brokers ?
Here's what I'm trying to do:
1) From a list of 1100 stocks, at the OPEN at 9:30am EDT, determine which from this group have GAPPED (open > previous high).
It doesn't sound difficult, but it's tough to do with a DDE quote link....too many symbols....it would hang at the open !
2) What I need is a customized SCANNER that runs at 9:30 am and then merges the GAP list in the universe of stocks to those in the group of 1100.
IBI's current scanner does not permit custom scans...only their presets are supported.
I looked at Yahoo's scanner, but it's Java-based. I need the raw API so I can do this within Excel.
I know Tradestation's Radarscreen can do this, but we can't run that platform.
Sheesh....this sounds so SIMPLE....am I missing something ?
Any ideas greatly appreciated !
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Thanks,I would love to know what you mean by Market Profile being "dicey"? I haven't found that to be the case at all.
Chris
What I mean is that is suffers the same problems as other technical indicators....LOOKBACK. Go back too far, and the data becomes irrelevant. Use too small of a LOOKBACK period, and there is not enough data to use it effectively. Also, since Market Profile is just a statistical price distribution based on past price history, other than for determining support / resistance levels, I have yet to see anyone use it effectively for frequent trading.
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it sounds very similar to how the futures react on fed days. 1-2-3 move. One big move, a reaction, and then the correct move.Im not too familiar with stocks as I hardly ever traded them but for what reasons would a stock halt? Company fundamentals? Exchange issues? Thanks
It's usually "news pending"....buy out/merger announcement or more likely a government action in the works.
Multicharts---how do they stack up?
in Brokers and Data Feeds
Posted
The big problem with MC is the lack of ability to send automated signal trades thru to the broker's servers. It can be done, but you've got to use this DLL called TWSLINK and write all of the buy/sell logic yourself using PowerLanguage and calls to the TWS API. This is a big job.
Also, there is no way to specify an OCO order in it's programming language (PowerLanguage). So for automated trading, you've got to write the both the set-up and cancellation logic yourself....another big job. Their Chart Trading panel allows for OCO orders which do pass thru to the broker's servers (not all brokers are supported), but these can only be specified manually on the screen.
Still, MC is rock solid, never crashes and it's very easy to rapidly test new strategies and ideas with PowerLanguage. Also, their tech support is just superb....they will even take over your machine to debug a problem.