|
PureBytes Links
Trading Reference Links
|
Gary is right. that's the major limitation in TS as a platform...
all because TS is still a low res. platform. price path inside the bar is not known...
however the truth is that they are just plain lazy, if they really wanted they could
implemented it at least partially, ( without resorting to data1/data2 setup)
for example in TS 6.0, 7.0 they could if they wanted use higher
resolution like 1 min or even tick to implement market/stop orders on current bar.
they have a setting called backtest resolution, which i could not figure out... but
still conditional orders must be placed on the previous bar... which sucks, but makes sense.
been discussed numerous times on this list.
for me it's number 2 limitation ( read ps about #1 ) , because orders like low[0] + stop are not allowed...
( the best thing you can do it do buy/sell order that will buy close of the bar, fastest buy but
if traded on 30 min bars with excess volat. forget about it... )
but in real trading that's often how you trade off current pivots.
it's confusing because backtesting is low res. but otherwise in real time TS does get all ticks
and builds bars.
what they should have done in 6.0 version is allow traders to accumulate tick data in their cash
as much as they need at least on freq. traded tickers, then allow access to that data from cash
and not from their server to backtest with tick res. on lower res. minute bars...
or cash and server, both... bottom line, there are solutions.
- data1/data2 setup will work but for backtesting you still have to use the setup... it's ok
if you trade 1 symbol, otherwise not.
- can't mix ticks and minutes... already been mentioned.
ideally all they had to do is to enable tick-by-tick resolution testing for currentbar stop/limit orders,
change EL functions to allow conditional orders on current bar for that to enable the feature,
but then their servers will bog down since everybody'd be lined up for days of tick data to backtest...
and they ain't got that much data...
again solution is to accumulate tick data in cash, but that would be like running the old bmi box and
building up your tick file...
bottom line, TS ain't high res platform... need a wide bandwidth tick by tick platform, that's when you
get accuracy.
too bad the X platform that had that feature as a given is now a vapor ware...
bilo.
ps. other major limitation that i am encountering now is overnight gaps which present discontinuities
in the price, volume flow, especially in the markets with overnight sessions. just about every f...king ticker now has
overnight sessions ( say thanks to that a-hole who proposed 24 hour on-line casino, as if there is not enough time to trade during
normal hours, like they
supposed to do in da civilized f world )
this is number 1 limitation because gaps if not factored properly will f... k up calculations of major variables and throw off the
system...
currently there are no solutions, even theoretically there are no good solutions. Olsen Ass. a well known high freq
swiss firm recognized the problem long while ago and proposed so called business cycle for 24h curr. trading...( time compression
method )
however to do such a thing in TS and do it right would be ions away... custom sessions in 7.0 won't help either, because
of one major problem: statistical footprint of overnight and day session data is most often totally different,
regime switching models can do that, but that's far beyond TS discussion...
so i am scratching my head on this one, trying to figure out the best solution... anybody, on how to factor overnight gaps???
( intraday trading only, on daily charts gaps tend to be smaller and thus the effect is averaged away )
----- Original Message -----
From: Gary Fritz
To: omega-list@xxxxxxxxxx
Sent: Monday, April 14, 2003 4:53 PM
Subject: Re: Faking a Limit Order on Current Bar
> Situation in TS: Limit orders are good for the next bar only, and
> market orders work only on the next bar or the close of the current
> bar. I can't place orders at the price I want on the current bar.
Exactly right. You can't do that.
TS systems run at the CLOSE of the bar. There is no way to get a
system to run before the close of the bar. There are only a few
things you can do at the close: buy/sell at the close, or place
orders for the next bar. Period. You can't do things "within"
that bar, because that bar has already closed.
If you want to act "inside" the bar, you must use shorter bars.
So e.g. if you're currently running daily bars and want to be
able to place orders intraday based on intraday price action,
then you need to move down to 60min or 10min or ... bars. Then
when you see the desired price action on a 10min bar, you can
place your order for the next 10min bar.
Gary
|