Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Wed, 24 Apr 2024 03:19:24 +0000
Time&Sales strategy exemples
View Count: 1254
| [2014-10-22 09:27:53] |
| FerroTrader - Posts: 70 |
|
hello, I need to backtest and "Chart Replay" my T&S strategy but I am new to Sierra ACSIL even if I have coded something for SC using MS Visual Studio Express. Is there some code or custom strategy about the T&S from which I can get inspirations ? My need is simple (really a simple one I know): send a long order above and a short order below the price at which an order bigger or equal than 250 has been executed. Once the Long order has been filled, send take profit and stop loss orders for the filled order and cancel the short order ! viceversa for the short trade ! Thank you very much ! Please help...I just need a kick to start ! Andrew |
| [2014-10-22 16:40:26] |
| |
|
Here is the documentation available for the function to get time and sales data: http://www.sierrachart.com/index.php?page=doc/doc_ACSIL_Members_Functions.html#scGetTimeAndSales We cannot provide an actual code example for a trading system using this data. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-10-22 16:41:46
|
| [2014-10-22 17:05:31] |
| FerroTrader - Posts: 70 |
|
OK. Which is the timestamp SC gives to trades ? Thank you very much. Andrew |
| [2014-10-23 01:49:13] |
| |
|
We will make sure the documentation explains this. The timestamp of time and sales records is UTC. We will confirm.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-10-23 01:49:54
|
| [2014-10-25 07:25:29] |
| FerroTrader - Posts: 70 |
|
hello, thank you for your answer. Does SC stores IQFeed millisec timestamp ? I just need to backtest the Time&Sales as if it was real time. Period. |
| [2014-11-11 20:42:00] |
| jesslinn - Posts: 108 |
|
So, what is the way to backtest a T&S strategy? One way would be record all the time and sales to a file and then intercept the call to GetTimeAndSales and load historic T&S from a file instead. This seems like a lot of overhead and duplication since SC is already saving the trades. Can SC engineering propose a better way to backtest or replay with bid, ask, and trade data? Why isn't there an option to record the bid and ask data in the scid file or similar? |
| [2014-11-12 04:10:17] |
| |
|
Does SC stores IQFeed millisec timestamp ? The historical Bid and Ask prices are now stored. Refer to this section here: https://www.sierrachart.com/index.php?page=doc/doc_TradeSimulation.php#TradeSimulationBidAskPrices Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
To post a message in this thread, you need to log in with your Sierra Chart account: