|
PureBytes Links
Trading Reference Links
|
Sure it is active.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "shakerlr" <ljr500@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, April 26, 2009 6:52 PM
Subject: [amibroker] Re: autotrading: multiple signals being generated on the previous bar
> Hi Keith...Just wondering, if this autotrading forum for Amibroker is alive? I've tried to get access for the past week, but no
> one replies to my emails or subscription requests...Anyone know who controls the board?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "shakerlr" <ljr500@xxx> wrote:
>>
>> Thanks Keith. I did not know about that other forum!
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, Keith McCombs <kmccombs@> wrote:
>> >
>> > eToke and shakerlr --
>> > Two very good posts.
>> > I notice that both of you are relatively new to this forum. You might
>> > not know that their is another yahoogroups forum, amibroker-at, that
>> > deals specifically with autotrading. Your posts may get a lot more
>> > attention there. In fact, I would suggest that you repost them there.
>> > -- Keith
>> >
>> > etoketrader wrote:
>> > >
>> > >
>> > > Hi,
>> > >
>> > > With realtime trading you need to think a little differently then if
>> > > you were backtesting: It is quite likely that your AFL code will be
>> > > run multiple times during the same bar. If you are running it from a
>> > > chart, then the code will be run every time this is refreshed - this
>> > > could be many times per second. Check your intraday settings in
>> > > preferences for this. I myself run my systems from the Analysis
>> > > window: The frequency is much less, but it may run several times for
>> > > the same bar nonetheless.
>> > >
>> > > It is important to understand that if a signal is true on the bar,
>> > > then it is true every time the AFL is run, so multiple signals are
>> > > only natural and need to be taken into consideration.
>> > >
>> > > Also you must be prepared for inaccuracies as you will never be able
>> > > to exactly match an event such as the open of a new bar in your real
>> > > time trading. The more liquid the instrument, the better it will be.
>> > >
>> > > A) You must address multiple buy/sell signals by checking whether you
>> > > already have an open position. Alternatively, use static variables so
>> > > that you do not repeat an order while on the same bar. You can then
>> > > reset the variable by detecting a change of bar.
>> > >
>> > > B) If you want to attempt to get as close as possible to the open of
>> > > the next bar, then what I suggest you do is to store your order
>> > > signals into static variables when they occur (anytime in the current
>> > > bar). Then, in your IB order logic, detect the change of bar to fire
>> > > the orders and reset these order static variables. I find this to be
>> > > virtually impossible to acheive using AA window for autotrading. I
>> > > personally resolve this problem by using the smallest timeframe
>> > > possible on the AA Window and let the trade happen at any point during
>> > > the bar where the signal occurs. For backtesting I take an average of
>> > > the bar as my price. I find this inaccuracy to be almost irrelevant
>> > > when compared to other forms of slippage.
>> > >
>> > > I suggest you refer to the Amibroker User Knowledge Base:
>> > > http://www.amibroker.org/userkb/ <http://www.amibroker.org/userkb/>
>> > > which has a lot of valuable information on the subject.
>> > >
>> > > As regards to detecting the change of bar, I did not have the time to
>> > > find this code for you but I have several instances of it on this
>> > > knowledgebase and/or in other posts.
>> > >
>> > > eToke
>> > >
>> > >
>> > > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>,
>> > > "shakerlr" <ljr500@> wrote:
>> > > >
>> > > > After posting this message:
>> > > > http://finance.groups.yahoo.com/group/amibroker/message/137490
>> > > <http://finance.groups.yahoo.com/group/amibroker/message/137490>
>> > > >
>> > > > Which brings up a point on signals on the current bar in real time.
>> > > Namely, they may occur many times until that bar is finally
>> > > written/printed. I tried my strategy with the bar replay tool and
>> > > found that I indeed was generating multiple signals to the (IB)
>> > > auto-trader.
>> > > >
>> > > > I tried users/Thomas' suggestion of using
>> > > > buy=ref(buy, -1), but I still get multiple signals.
>> > > >
>> > > > http://finance.groups.yahoo.com/group/amibroker/message/132762
>> > > <http://finance.groups.yahoo.com/group/amibroker/message/132762>
>> > > > http://finance.groups.yahoo.com/group/amibroker/message/132761
>> > > <http://finance.groups.yahoo.com/group/amibroker/message/132761>
>> > > >
>> > > > Is there something else that I am missing to make the buy on prev
>> > > bar work. All I REALLY want to do is have a signal generated on the
>> > > current bar, and then act (open a trade) on that signal on the NEXT
>> > > bar open. Basically simulating the settradedelay(1,1,1,1) function,
>> > > but with real trading.
>> > > >
>> > > > here is my code below...you will see multiple traces showing
>> > > multiple buy signals. Note that useIB is false so AT is turned off.
>> > > >
>> > > > useIB=0;
>> > > >
>> > > > starttime=TimeNum() >= 094500 AND TimeNum() <=154500;
>> > > > test=0;
>> > > > Minprice=5;
>> > > > PositionSize = -20; // use minuse for -xx% of equity
>> > > >
>> > > > if (useIB)
>> > > > {
>> > > > ibc = GetTradingInterface("IB");
>> > > > }
>> > > >
>> > > > //delay=Optimize("tradeDelay", 1, 1, 1, 1);
>> > > > //SetTradeDelays(delay, delay, delay, delay);
>> > > >
>> > > > Buy = Cross((Close),(EMA(Close,9)));
>> > > >
>> > > > // this should delay the signal for the next bar - right?
>> > > > Buy=Ref(Buy, -1);
>> > > >
>> > > > Buystop = Ref(EMA(Close,9),-1);
>> > > > BuyPrice = Max(Buystop,Low);
>> > > >
>> > > > // not worried about delaying the sell signal until I get the buy
>> > > signal working
>> > > > Sell = Cross(EMA(Close,9),(Close));
>> > > > Sellstop = Ref(EMA(Close,9),-1);
>> > > > SellPrice = Min(sellstop,High);
>> > > >
>> > > > Buy = ExRem(Buy,Sell);
>> > > > Sell = ExRem(Sell,Buy);
>> > > >
>> > > > if (LastValue(Buy))
>> > > > {
>> > > > _TRACE("BUYprice: " + BuyPrice + ", time=" + TimeNum());
>> > > >
>> > > > if (useIB)
>> > > > {
>> > > > ibc = GetTradingInterface("IB");
>> > > >
>> > > > // check if we are connected OK
>> > > > if( ibc.IsConnected() )
>> > > > {
>> > > > // check if we do not have already open position on this stock
>> > > > if( ibc.GetPositionSize( Name() ) == 0 )
>> > > > {
>> > > > // transmit order
>> > > > ibc.PlaceOrder( Name(), "Buy", 10, "MKT", 0, 0, "Day", True );
>> > > > }
>> > > > }
>> > > > }
>> > > > }
>> > > >
>> > > > if (LastValue(Sell))
>> > > > {
>> > > > _TRACE("Sellprice: " + SellPrice + ", time=" + TimeNum());
>> > > >
>> > > > if (useIB)
>> > > > {
>> > > > ibc = GetTradingInterface("IB");
>> > > >
>> > > > // check if we are connected OK
>> > > > if( ibc.IsConnected() )
>> > > > {
>> > > > // need to have open position
>> > > > if( ibc.GetPositionSize( Name() ) > 0 )
>> > > > {
>> > > > // transmit order
>> > > > ibc.PlaceOrder( Name(), "Sell", 10, "MKT", 0, 0, "Day", True );
>> > > >
>> > > > StaticVarSet(Name(), 0);
>> > > > }
>> > > > }
>> > > > }
>> > > > }
>> > > >
>> > > > shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
>> > > > PlotShapes( shape, IIf( Buy, colorBlue, colorRed ), 0, IIf( Buy,
>> > > Low, High ) );
>> > > > PlotShapes(IIf(Buy ==1, shapeUpArrow,shapeNone),colorBlue,0,0,10);
>> > > > PlotShapes(IIf(Sell ==1, shapeHollowUpArrow,shapeNone),colorRed,0,0,10);
>> > > >
>> > >
>> > >
>> >
>>
>
>
>
>
> ------------------------------------
>
> **** IMPORTANT PLEASE READ ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
>
> TO GET TECHNICAL SUPPORT send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> http://www.amibroker.com/feedback/
> (submissions sent via other channels won't be considered)
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> Yahoo! Groups Links
>
>
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|