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Direct MessagesDate/Time: Fri, 19 Apr 2024 06:49:29 +0000
Calculate at Every Tick/Trade Replay Mode doesn't replay on every trade
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| [2018-05-07 14:38:48] |
| User287992 - Posts: 51 |
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We have noticed during our backtesting that Calculate at Every Tick/Trade Replay Mode is providing same (for us incorrect) results as Accurate Trading System Back Test Mode with high replay speed. Incorrect results are caused by skipped trades on same price. Which means that even though there is a rising volume at the same price (no tick up or down), our strategy is unable to react unless there is a price change. Part of said strategy‘s reaction is based on volume at price and we need to replay with every trade (or at least more often than once per price) which is not provided by any replay mode. Lower speed provides more accurate results but that is not always reliable way to do it Could it possibly be bug in Calculate at Every Tick/Trade replay mode? Or is there a way we can force the replay to calcluate at every trade? We can provide possible screenshots/logs and configuration we are running replays on. Basically the problem is our strategy can not react before there is a price change, which we think is because of sierra limitations. So even though there are data updates (simply measurable by say rising volume), strategy is not updated before there is a price change - which should not be a problem with Calculate at Every Tick/Trade Replay Mode. |
| [2018-05-07 23:09:40] |
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When using the Replay Mode of Calculate at Every Tick/Trade, there is definitively a difference as compared to Accurate Trading System Back Test Mode, as you can see from the log lines below. You need to be sure to fully stop the replay, change the Replay Mode and start the replay for that Replay Mode to go into effect. Replay 30720X: YMM18 1 Min #2 | Back test processing: NumberOfTimesCalculateCalled (Cumulative) = 35014 | 2018-05-07 18:56:06 (Accurate Trading System Back Test Mode) Replay 30720X: YMM18 1 Min #2 | Back test processing: NumberOfTimesCalculateCalled (Cumulative) = 135718 | 2018-05-07 19:03:05 (Calculate at Every Tick/Trade Replay Mode) Could it possibly be bug in Calculate at Every Tick/Trade replay mode? Or is there a way we can force the replay to calcluate at every trade? No, Yes.
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: 2018-05-08 05:02:34
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| [2018-05-10 10:51:46] |
| User287992 - Posts: 51 |
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Is it possible to enable the NumberOfTimesCalculateCalled log outpout in our SC or do we need to create study for that?
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| [2018-05-10 11:23:44] |
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We will add this to the next release.
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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