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Hi Everyboy,
I have questions about IB data backfill and automatic trading, and
some of more general ones:
IB backtest
1) I have been doing some experiments with the TWS IB provided c++
client, and I found out that IB actually allows retrieving historical
quotes for the last year
with any desired interval down to the second.
The is a 2000 bars limitation per retrieval for intraday (which IB c++
function express in terms of duration from the end date of the
backfill), but with multiple
data requests it would be possible to reconstruct the entire history
changing the end date appropriately for each retrieval and merging all
together.
Is there any way to do this now in Amibroker? (I am lazy to write the
c++ code ..)
2) Is there any detailed and comprehensive information about how to
use AB objects and interface with external c++ programs/functions? So
far I could only find
some example here and there but not any complete reference
documentation, such as let us say an "advanced developer guide".)The
ADK in the member zone is from 2002.
3)I have tried to use the IB automation interface and I would like to
know if it would be possible to submit TWS native conditional orders
based on technical indicators or
trailing orders with dynamic trail based on some indicator, or this
has to be programmed in AF(I can do it, but I would prefer to use TWS
order so they can be submitted together).
I ask it because orders already submitted to TWS are safer then order
triggered by IB, since there could be network or computer problems
which could prevent submission
to TWS from AB once the trade is already open.
Of course this could only be done for simple conditional order , but
at least it would reduce some of the risks of automated trading.
4) Why the maximum time resolution with IB real-time/back fill is 5
second While IB allows the second resolution (I tried with the c++ client)
General
1) Is there any way to export amibroker data into asci csv files to
import them into other software?
2) Any support of time series beyond linear regression?
3)Periodicity in backtesting is the only parameter which cannot be set
with setoption.
What is its effect exactly? If for example I run a back test on a 15
sec dataset, with periodicity 1 min, will the backrest use the
compressed 1 minute
version of the data? Will the indicator be evaluated on the 15 sec or
1 minute interval? I guess setting explicitly timeframe should avoid
ambiguities but
I would like to understand the exact definition of periodicity and how
it would be reproduced in a customized backtest.
I looked at customized backtests and could not find any mention of it,
so I guess is just the barsize.
I could probably answer this questions running some experiments but I
would prefer to have a definite answer.
Suggestion
4) It would be nice to have the option to backtest between bar n1 and
n2(right now is only between dates), and use the result of
optimization in the trading system.
For example optimize in the last 100 bars and use the optimized
parameters in the next 10 and so on.
I know this are too many questions, but I prefer to put all the stuff
I have in mind together rather than write 10 post,
Thanks
Ly
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