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MC v7 Cool things
Started:July 19th, 2011 (01:38 AM) by diverdan Views / Replies:2,802 / 24
Last Reply:July 23rd, 2011 (02:02 AM) Attachments:0

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MC v7 Cool things

Old July 20th, 2011, 02:31 AM   #11 (permalink)
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Wow - this seems like another topic, but...

I use stop orders for entries as I want to enter on break outs and ensure the trade is going my way.

Profit is a limit order, stop is a stop order.

I feel kinda stupid as I thought this was the way to do it and never considered other options, certainly not the depth of emotion RM99 has expressed about stop orders.

What are the advantages of Stop Limit orders and how should we program them?

I guess I also need to determine whether my brokers supports this type of order.


Cheers,

Dan

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Old July 20th, 2011, 05:15 AM   #12 (permalink)
Fortitudo et Honor
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diverdan View Post
Wow - this seems like another topic, but...

I use stop orders for entries as I want to enter on break outs and ensure the trade is going my way.

Profit is a limit order, stop is a stop order.

I feel kinda stupid as I thought this was the way to do it and never considered other options, certainly not the depth of emotion RM99 has expressed about stop orders.

What are the advantages of Stop Limit orders and how should we program them?

I guess I also need to determine whether my brokers supports this type of order.


Cheers,

Dan

Dan, sorry, no insult intended. Very presumptuous of me.

There's nothing "wrong" with using a stop order for entry, but stop order on TS right now implies "market if touched" where once the price reaches your order, it turns into a market order.

The advantage is that your order is guaranteed to fill. The disadvantage is that your order may or may not be filled at the price you specified, as market orders enter at the best possible price. During RTH on liquid instruments, with small positionsize, the slippage may be negligible. But as positionsize increases or liquidity decreases, the slippage may become noticeable or even painful.

The advantage of a limit order is that the price is fixed or "guaranteed" (if there is such a thing) but the disadvantage is that there's no assurance that your order will be filled.

Some of this is really semantics...but generally, in TS, a stop order means "market if touched." So in essence, it's no different than executing a market order entry once some price level or criteria have been met.

So let's say you're using a "trailing stop" what that really means is...if price moves against you (either for a loss or profit) once it touches your trail price, a market order is executed and you may see some negative slippage, but you'll exit.

The advantage of a true "trailing stop limit order" is that when the price moves against you, it's a true, static backstop. You'll only lose the amount you specified. If the price reaches you and you do not get filled, well, that's a good thing (for an exit), because that means that price has moved away from your limit order (and back toward your favor).

So for example....let's say you have a trailing stop of 10 ticks after a trade is entered. If the trade immediately moves against you, with a stop limit order, the most you stand to lose is 10 ticks. If for some strange reason, price moves down to -10ticks against you and your order is late in the que, it may even trade/transact at your limit price and not fill your order (if there are 100 orders in front of you and only 99 orders and then price moves back away).

In the example of a stop order (market) if the price moves against you 10 ticks, then once it reaches -10 ticks, a market order is generated/sent and you may exit the trade at that price, but it might be a little worse (i.e. if there's no counter order waiting at that price to take your order, it'll move to the next bid/ask tick).

Here's the thing.....with exits....particularly trailing stop limits....your exit order has been sitting there for some time (more than a sudden entry) and so the que'ing issue is less of a factor.

With Tradestation, I've crafted my own trailing stop (limit) orders, but they have to be executed using IOG. That means it violates the 15 second rule (executing an order at greater frequency than 15 seconds apart). So the order isn't natively maintained on the tradeserver, it's managed at your workstation. If for some reason, your workstation loses positive connection with the tradeserver, you're flying blind with no stop.

The only time I like to use market orders is if I'm exiting a trade at a point that I want to reverse my position. (like a pivot point). That way I know that I'm going to get an exit and I know for sure that I'm going to get a new entry.

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
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Old July 20th, 2011, 05:37 AM   #13 (permalink)
Fortitudo et Honor
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Ironically, I have a contrarian view with respect to limit and stop orders.

The generally accepted convention is "Limit for profits, stop for losses"

But that makes no sense to me. If I'm using a simple bracket order (order cancels order) and price approaches my profit target, I want to immediately take profit once my target is reached...I prefer a market order. I'll endure some slippage, because I know I've just won profit on my trade.

IF I were to use a limit order to take profit, there's a small chance that the price could move all the way to my order and not fill and then retrace.....and I would lose some or even all the profit I'd just realized.

Conversely, using a "stop" order to cut losses is equally puzzling to me. If price moves against me, I'd rather place a static backstop with a limit order. If my limit order (for loss) doesn't get filled, then that's great, I live to fight another day and price moves back in my direction.

For entries, the concept becomes a bit more complicated. You have to understand the concept of orders placed on the "leeward" or "windward" side of price movement.

Leeward side is placing an order ahead of where the market is moving/trending. Windward is placing an order behind where the market is already been.

I always recommend placing limit orders on the "leeward" side. That way, if your order isn't filled or is partially filled, that's a good thing. If you think price is going higher.....and you want to place a limit order and let the price run into your order, fill and continue moving higher.....if the order isn't filled, and moves the other direction...that's a good thing...you didn't enter a trade moving the wrong direction. IF your order is partially filled and price moves back the other direction....that's a good thing....instead of losing money on the full positionsize, you lose money on some fraction of the original order.

IF however, you place entry orders on the windward side...i.e. you think price is moving higher and you'd like the market to retrace slightly, fill your order and then continue moving higher, you run the risk of either not being filled (and missing out on the trade) or being partially filled (and only gaining profit on a fraction of the intended order).

The disadvantage to leeward side entries, is that you're cutting into your profit potential. If price is at 100.00, and you think it's going higher, you must place an order at 100.01 (or higher) in order to ensure your order isn't jumped or passed by. So essentially, you've traded slippage for a specified gap amount.

The other disadvantage of leeward side limit entries (and exits) is what I call momentum slippage.....when the market is moving so quickly, that by the time your limit order is filled, it may be a few ticks past your limit order.

To sum up the war and peace novels I've just written, stop limit orders are preferable to market if touched orders because they reduce slippage and fix prices for entry and particularly for trailing exits.

Market orders are fine, until you start trading a large enough positionsize where you're losing money just by entering the trade.

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
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Old July 20th, 2011, 09:30 AM   #14 (permalink)
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RM99 View Post
Dan, sorry, no insult intended. Very presumptuous of me.

None taken - I am learning and for that I am very appreciative of your comments.

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Old July 22nd, 2011, 01:43 AM   #15 (permalink)
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Another cool thing: TickID works across all instruments, and not just the individual instrument (which I mistakenly assumed). In other words: Instrument A..TickID1, TickID2, Instrument B..TickID3, Instrument A..TickID4. Great!


Quoting 
TickID Most Accurate Backtesting in all MultiCharts versions
events (ticks) are processed by MultiCharts upon their arrival are now sequence-stamped with a unique number, which allows MultiCharts to track ticks in the exact order they arrived. Data providers commonly provide one-second timestamps, while there may be 50 ticks in a second there is no way to tell which tick arrived first based on historical data. This issue only affected calculations based on two data series, and it happened because timestamp information for ticks provided by data feeds was not detailed enough. In a sense, TickID is like having millisecond or microsecond resolution, because it lets you know which tick comes first. However, a unique sequence ID is better than even the smallest timestamp, since its more accurate for event processing.


TickID stamps allows MultiCharts to perfectly align data series on the time scale, since all tick bars now have a unique sequence number. If you have two data series 4-tick and 8-tick, you will see one 8-tick bar for each two 4-ticks bars aligned perfectly above each other on historical data and in real-time. Intuitively, this appears like a simple thing to do, yet its difficult to accomplish in terms of complex event processing.


WARNING MultiCharts only sequence-stamps ticks received in real-time, which it then stores in the local database. Data providers give less detailed data, so if you reload your data, all of your sequence-stamped ticks will be erased and replaced less accurate information received from the data feed. After a reload, you will see less accurate event processing (as in previous versions of MultiCharts) until new ticks are collected and sequence-stamped.

Source: MULTICHARTS 7 RELEASE ? WHAT?S NEW MultiCharts Blog

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Old July 22nd, 2011, 01:56 AM   #16 (permalink)
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Jura View Post
Another cool thing: TickID works across all instruments, and not just the individual instrument (which I mistakenly assumed). In other words: Instrument A..TickID1, TickID2, Instrument B..TickID3, Instrument A..TickID4. Great!


Source: MULTICHARTS 7 RELEASE ? WHAT?S NEW MultiCharts Blog

My issue with this is based on the reload problem.

Every now and then, my internet connection drops for a few seconds because my local cable company sucks. In order to fill in the missing data, I ctrl-r reload -- erasing the tickid...

Mike

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Old July 22nd, 2011, 02:08 AM   #17 (permalink)
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Big Mike View Post
My issue with this is based on the reload problem.

Every now and then, my internet connection drops for a few seconds because my local cable company sucks. In order to fill in the missing data, I ctrl-r reload -- erasing the tickid...

Mike

Agreed. I don't know why TS (or MC for that matter) simply do not allow you to download the data and store it permanently (on your local drive) and then reference it at need...particularly now that MC is order stamping the data

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
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Old July 22nd, 2011, 02:14 AM   #18 (permalink)
Aspiring retail quant
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Big Mike View Post
Every now and then, my internet connection drops for a few seconds because my local cable company sucks. In order to fill in the missing data, I ctrl-r reload -- erasing the tickid...

That's something I didn't realize yet. Thanks for pointing it out.

I've updated an earlier feature request to take this into account, and perhaps this is a useful feature to vote for
MultiCharts Project Management - Issue MC-504 - Automatically reload the chart after a lost (internet) connection is restored

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Old July 22nd, 2011, 06:52 AM   #19 (permalink)
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Renko bars

Well - I have just written my first strategy using Renko bars and as it turns seems to be one of the best, something is gotta to be wrong.

Has anyone got any feedback on Renko bars and things to watch out for? I guess I will forward test for a while and see if I can spot any difficulties.

Cheers.

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Old July 22nd, 2011, 08:43 PM   #20 (permalink)
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Jura View Post
That's something I didn't realize yet. Thanks for pointing it out.

I've updated an earlier feature request to take this into account, and perhaps this is a useful feature to vote for
MultiCharts Project Management - Issue MC-504 - Automatically reload the chart after a lost (internet) connection is restored

I voted for it. The best would be an option (or automatic) to only reload the missing data and not all the data.

Mike

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