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Direct MessagesDate/Time: Wed, 24 Apr 2024 22:33:52 +0000
[User Discussion] - Forex Futures Pip change issue (CAD, JPY, ...)
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| [2018-01-22 18:15:18] |
| User287992 - Posts: 51 |
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Hi, we have a little problem with some futures eg. CAD, JPY. Let me explain this problem using CAD as an example. There was a pip change on July 11, 2016, which results in bars being filled with empty spaces prior this date. Please see attached screenshot to see what we mean. This situation results in messing with our strategy - take profit 50 becomes take profit 25 (prior July 11, 2016), volume at price is incorrect when calculating sum of more prices next to each other. (Since every other price is empty). We can obviously take care of this by adjusting the strategy - setting take profit 100 to really achieve 50 existing price ticks, etc. This method however messes up Trade Statistics. How? Well for instance, trade stats see a winning trade as a 100 ticks win, not 50 ticks win. Basically everything except number of trades and % winning trades is inacurate because of this. Can you implement some fix on your side in order to solve this issue completely? Or do we need to solve it somehow? Is there maybe some build-in function within SC, that we can turn on, which would adjust axis in accordance to existing prices? If not, could you give us advice on how to effectively fix this problem, in order to make Trade Statistics work correctly? |
 pip_change_issue.png / V - Attached On 2018-01-22 18:14:26 UTC - Size: 108.3 KB - 325 views |
| [2018-01-22 19:54:20] |
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We cannot help with this. But quickly thinking about it, if for example the tick size were to go from 1 to .5, why would this cause a problem with Profit/Loss calculations? Just for the purpose of the discussion, if the currency value per tick is .5, and the older prices, where the tick size is 1, move by twice this amount, then why would the profit/loss calculations be wrong? Every 1 point of movement would be 2 ticks and this would be twice the currency value per tick. Seems like the calculations should be correct. 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 |
| [2018-01-22 19:55:47] |
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Actually we misunderstood what you were saying. You are talking about the Attached Order offsets based on a number of ticks. No, we have no solution to this. 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 |
| [2018-01-24 12:47:00] |
| User287992 - Posts: 51 |
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The problem is in different Tick Size before and after certain date on several instruments. In case of CAD the effective tick size is following: - before 2016-07-11: 0.0001 - after 2016-07-11: 0.00005 We are replaying CAD data for ACSIL strategy and this difference causes problems with tick based offsets, and when compensated within strategy, it creates problem in trade activity log and trade statistics. |
| [2018-01-24 18:18:53] |
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We do not have a solution for this. You need to solve this from your side.
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 |
| [2018-01-29 12:21:32] |
| User287992 - Posts: 51 |
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Sorry, but as long time paying customers, we are very dissatisfied with such answer. Could you provide some hints on how to solve this issue raised by problem in data which you provide (or more precisely data which you process in a way that does not ignore empty prices) and we pay for? Is it possible to change sc.TickSize value dynamically in ASCIL strategy to mitigate this problem?
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| [2018-01-29 19:22:31] |
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We should not have to say this, but you the only reasonable choice is for you to use 2 charts. One chart is set to the old tick size and another chart is set to the new tick size: Chart Settings: Tick Size (Chart >> Chart Settings >> Symbol >> Symbol Settings menu) And set the date range in each chart separately, to correspond to the data that you want to load, which corresponds with the the tick size for that chart: https://www.sierrachart.com/index.php?page=doc/ChartSettings.html#UseDateRangeFromTo And when back testing use a different account for each chart so you do not mix the results: Basic Trading and the Trade Window: Main/C >> Trade Account (Selecting Trade Account for Chart / Trade DOM) Sorry, but as long time paying customers, we are very dissatisfied with such answer. No other user is going to agree with you in this regard.
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: 2018-01-29 19:25:30
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| [2018-01-29 19:25:42] |
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The prior post has been updated.
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 |
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