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>Alex wrote:
>> I thought there was this "update every tick" feature in TS,
Gary wrote:
>There is. But it works for INDICATORS, not for systems.
Ah. OK.
.[regarding using tick charts and maintaining internal data for interval
bars]
>It's not that bad. It's a lot easier with the functions
>available in TS2k and later -- e.g. you don't have to do your own
>StdDev calculation. You can just store data points (1-minute
>closes or whatever) in an array and call the array-based SD
>functions. Averages are simple. You're an experienced
>programmer, so you'd have no problem with the arrays &etc.
Yes, I can do it. I just wanted to avoid it.
One other thing I can do, since one of the indicators I'm using for
a trade/no-trade filter is pretty smooth, is to predict what that
indicator will be on the next bar, and if the prediction has an
acceptable value, place a limit order. Any false entries will be
"nearly correct" because the indicator will be nearly what I predict
in all cases. There may still be some missed trades, but not as
many as before.
>Wait. You're saying that for e.g. minute 10:12, you're looking
>at the High and Low of the 10:12 bar to determine the limit
>orders in effect for that same 10:12 bar??
No. For the minute of 10:12, say I'm looking for a sell signal.
I'm waiting for the price to be above a certain level (it may
already be above this level before the bar opens, in which case a
limit order was placed previously and there's no problem). If,
within the bar, the price does exceed this level, then I place a
limit order to sell at a certain other level, which might be higher
or lower. If lower, then it's just a market order to sell at the
current price. If higher, then it's a limit order, which should be
good for the current minute and the next.
>That seems very unstable. The H/L of your "virtual" 1min bar can
>change continuously until the close of the bar. Do you expect
>your limit order prices to change continuously throughout the
>bar?
No. I'm not using the high or low of the bar, just whatever the
current price is during that minute.
The problem arises this way: I have calculations that identify
sequences of bars valid for a trade. I have an indicator that
invalidates an otherwise valid bar if the indicator is too small. I
have another indicator that determines the limit order price. Now,
if the FIRST valid trading bar in a sequence hits the limit price,
the order won't get filled until the next bar. It's not a problem
if subsequent valid bars hit the limit price, because limit orders
would have been placed previously.
>If so, then doing it on a 1tick chart is about the only way you
>COULD do it. You'd be recalculating your limit orders on every
>tick that made a new H or L within the bar. I'd be fairly
>surprised if something like that really worked and was robust,
>but I've been surprised before.
Like I said, I want to avoid it. I'll try it with projecting
indicator values into the future, first.
.[about resolution]
>Obviously that can slow things down. A lot, in some cases. E.g.
>if you run a system on daily bars, but tell it to execute stops
>at tick resolution, you're doing a LOT more work. Chances are TS
>didn't actually hang, but just hung up in a veerrry long
>operation.
Well, the Task Manager did say "program is not responding."
Thanks. Your reply, and me composing a reply back, helped me get my
thoughts in order.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
|