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Direct MessagesDate/Time: Mon, 06 May 2024 08:18:22 +0000
New user with some questions
View Count: 1417
| [2014-02-09 07:33:43] |
| User15883 - Posts: 4 |
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Hello everyone, I have been using a number of different trading software packages over many years and thought I would explore SC, to see how it compares with the current one I am using. 1. I write my strategies, presently in C# 2. Trading frequency is quite high 3. Precision is critical, meaning if I program a strategy and apply it to historic data, if I could snap my finger, go back in time and trade it, I would expect to to appear in real trading the same way. Obviously, if I am waiting in line for a fill, there is latency issues etc. a particular trade may not happen in the real world as historically. At present the claims of other vendors to create a chart with limit or stop orders that accurately present what would have happened historically is either met with a programming issue, a false claim or a continuation of years of bugs. I do not mind helping improve the products new features, but I have felt like I paid handsomely to be involved in a never ending beta experiment, with new features causing problems with other components that once worked. So I am hoping this company and software is different and can accomplish what I want to now. Not after months of fixes that you have to go out of your way to prove are taking place. Being that I have reviewed, purchased, licensed everything I could find, if this doesn't get it done, I will have to consider an open source project and have my own created while I limp along. I appreciate any feedback to help guide my decisions. Presently I make use of bid and ask data using limit and stop orders and set profit targets based on market dynamics. I use tick, range and time bars, with slow charts for me being 1 to 5 minutes. I trade futures and Forex with trade automation and management. I do not see how in the case of a strategy it would be applied to SC the same way. I do not see the use of multiple data streams, be it bid and ask of the same time frame or being able to create and reference different data streams from different instruments. Is that possible? Handled differently than I have explained? I hope this will get the ball rolling, I am sure I will have more questions. Thank You!! DB Date Time Of Last Edit: 2014-02-09 13:52:32
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| [2014-02-09 08:59:46] |
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3. Precision is critical, meaning if I program a strategy and apply it to historic data, if I could snap my finger, go back in time and trade it, I would expect to to appear in real trading the same way. Obviously, if I am waiting in line for a fill, there is latency issues etc. a particular trade may not happen in the real world as historically.
Sierra Chart does not store historical bid and ask prices, and it uses simple straightforward logic to fill Limit and Stop orders when in Trade Simulation Mode. The logic is documented here: https://www.sierrachart.com/index.php?l=doc/doc_TradeSimulation.php#HowOrdersAreFilled Therefore, Sierra Chart is not going to meet this requirement. And we do not see how it is even possible to meet this requirement even if you develop something yourself. You will not be able to duplicate from historical data, what will happen or what has happened with live trading. Or, it would be incredibly difficult. I do not see the use of multiple data streams, be it bid and ask of the same time frame or being able to create and reference different data streams from different instruments. Is that possible? Yes, you can do this but still it is a bit vague what you are looking to do.
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: 2014-02-09 09:03:35
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| [2014-02-09 13:50:28] |
| User15883 - Posts: 4 |
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Thank you for the quick reply. When I read about replaying a chart, I thought I read that it is very precise. I would assume limited to the amount of historic tick data. Am I misunderstanding this feature? At present I use different data streams within my code. One example is I use bid and ask data for trading the S&P futures. It sells only on bids and buys only on ask. Another example would be using the last of the S&P cash index and Nasdaq 100 futures which I pull live values from. In some cases if my trading chart is 1 minute, these other charts could be 15 mins or 15 seconds. |
| [2014-02-09 14:07:53] |
| User15883 - Posts: 4 |
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Additionally, I don;t understand why it would be such a huge problem. I will use 2 examples. 1. I use 1 tick data and my code places an order to buy at 101.25 limit. Time is 10:01:15.55 At that moment, the ask is 102.00. at 10:01:16.00 the ask is 101.25 and my order is filled. No matter if that were live or not should I not get my signal at that point? Assuming the answer for reasons I do not know is no. It is my opinion, what would be the reason for doing a back test for something that would not have happened? Even being conservative can create a much worse event live than in a simulation that is not correct. |
| [2014-02-11 02:46:20] |
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We will respond. This is a very busy day. We just have not gotten back 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 |
| [2014-02-12 00:01:43] |
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When I read about replaying a chart, I thought I read that it is very precise. I would assume limited to the amount of historic tick data. Am I misunderstanding this feature?
It is precise if you have tick by tick data. We do not know what exactly what your automated trading system is doing. The trading system is not going to be called at every tick for efficiency reasons during the replay back test, and Sierra Chart does not save the actual bid and ask prices. We do plan to save the bid and ask data at some point in the future. At present I use different data streams within my code. One example is I use bid and ask data for trading the S&P futures. It sells only on bids and buys only on ask. Another example would be using the last of the S&P cash index and Nasdaq 100 futures which I pull live values from. In some cases if my trading chart is 1 minute, these other charts could be 15 mins or 15 seconds.
This is supported in Sierra Chart. But when running a back test, the result is not going to be the same as live trading. 1. I use 1 tick data and my code places an order to buy at 101.25 limit. Time is 10:01:15.55 At that moment, the ask is 102.00.
at 10:01:16.00 the ask is 101.25 and my order is filled. The problem is Sierra Chart does not save the actual bid and ask prices and they will not be known exactly during a back test. They have to be estimated. 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: 2014-02-12 00:18:46
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| [2014-02-12 06:17:17] |
| User15883 - Posts: 4 |
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I have as much tick data as I could want in ascii form. Can this be used by me to get a precise result? At present I trade a 1, 2 4 and 8 point range bar on the S&P futures automatically. At the appropriate time, a limit order is placed. Once placed an exit price is determined and a limit order to close the trade is placed. Is there any way for me to provide the actual bid and asks, from the tick data I already have? Thank you |
| [2014-02-14 21:07:26] |
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We cannot guarantee any precise results. You can import this data and the method is documented here: https://www.sierrachart.com/index.php?l=doc/doc_ImportExport.html At the present time Sierra Chart does not support the ability of getting Bid and Ask prices from historical Intraday data. We do plan to add that capability at some point though. 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 |
| [2018-05-03 05:59:37] |
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Historical bid and ask prices are now supported.
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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