Synchronization with other Time Frames in Tick Replay

[z11]

I recall I had read some discussion on it but I can't find the thread/messages.

Would you gurus out there please confirm that in tick replay mode off a tick file, no synchronization is available via EFS2 codes that access other time frames?

Thank you.

ziggy

BTW, I downloaded 1 day worth of tick data into a file, and then went Tick Replay/Replay Tick File and absolutely nothing happens. In the Adv. Chart I have 3 built-in studies loaded and my EFS. Any thoughts on what the problem might be>

[ACM]

ziggy
Synchronization across multiple intervals using efs2 functions is available in Tick Replay (see the enclosed animated gif which shows a 1 minute chart running in Tick Replay with a moving average based on 5 minute interval and a MACD based on 10 minute interval)
Daily (or higher) intervals are not available in Tick Replay so they cannot be referenced by efs2 functions
Alex

[zeller4]

Re: Synchronization with other Time Frames in Tick Replay

Originally posted by z11

BTW, I downloaded 1 day worth of tick data into a file, and then went Tick Replay/Replay Tick File and absolutely nothing happens. In the Adv. Chart I have 3 built-in studies loaded and my EFS. Any thoughts on what the problem might be>

If I want one day, I always load up at least two or three days worth of data to ensure the data gets a full amount of history needed to start displaying. I also run the same playback file with 2, 3 or 10 minute charts and that appears to work correctly. I only cannot figure out how to synchronize different time frames for "bar replay"

zeller

[ACM]

ziggy
With regards to daily (or higher) intervals see also this post which shows a workaround
Alex

[z11]

Thank you, zeller for sharing your experience. That makes great sense.

ziggy

[z11]

Thank you Alex, as always.

BTW, how many days of tick did you have to download to replay tics off a tick file, as in your example?

Am I confusing tick replay with Bar replay? Bar replay does not require download of any tick file but only replays on a bar-to-bar basis not on a tick basis? to achieve true "real time" like execution of an EFS, I'd have to download tick files, right?

ziggy

[ACM]

ziggy

Bar replay does not require download of any tick file but only replays on a bar-to-bar basis not on a tick basis?

That is correct.

to achieve true "real time" like execution of an EFS, I'd have to download tick files, right?

Also correct.

BTW, how many days of tick did you have to download to replay tics off a tick file, as in your example?

The file used in that example contains 10 days of data. What is plotted in the image corresponds to the first day of that data file.
The number of days contained in the data file should not be a problem (unless the studies are based on very long periods and/or intervals). In the enclosed animated gif you can see that I am running a Tick Replay chart based on a 1 day data file.
Alex

[z11]

Alex,
Thank you for your confirmation of my understanding.

Thank you for the clear sample to shred any doubts.

ziggy

[ACM]

ziggy
You are most welcome
Alex

[demarcog]

Alexis,

Would it be possible to see the EFS that plotted the multiple interval data? Thanks very much.

The reason I ask is that I am once again attempting to incorporate multiple time period logic into a few strategies.

My first attempt at this some time ago I ran into the issue of "forward looking" indicator plotting and the associated inflated profit results reported by the backtester.

My understanding as a work around for this issue is to in the case of using a 5, 15 and 60 minute indicator. By using:

if (getBarStateInterval("60") == BARSTATE_NEWBAR) {

   further processing...
} 

So when NEWBAR is raised, a 60 minute bar was just complete d(in this case becasue 5 and 15 are also multiples of 60, three "NEWBAR" conditions are actually raised in a sense).

Am I correct in stating that this technique should eliminate the backtesting "forward looking" issues?

My objective here is to a closely as possible check the most recent value for a single indicator as it would appear on a longer term chart. I think this a common technique as "confirmation" of signals based on shorter term charts.

I would like to access the most current values for backtesting, realtime, tick replay, and bar replay, would the techniques be the same for all four?



Thanks

[z11]

I have tried the following with regard to get Tick Replay to work - and so far it is Not working:

1) I downloaded 1 day worth of tick data
2) I downloaded 10 days worth of tick data
3) I left all studies on the Adv Chart
4) I removed all the studies on the Adv Chart

None of the combinations of the above worked ... after loading the tick file, nothing happened.

Any thoughts?

Thank you.

ziggy

[ACM]

demarcog
The efs I used in the example are the customMA.efs and customMACD.efs that are included in the EFS2 Custom folder of Formulas.
Checking for your conditions on completed bars only should ensure that the strategy is not forward looking.
Alex

[ACM]

ziggy
In order to try and determine what the problem could be you need to post a screenshot of the Tick Downloader window showing what the settings are when you create a request to download the tick data and one of the chart in which you are running the $PLAYBACK symbol. Make sure that the chart description is visible and not covered by the Daily Snapshot window
Alex

[z11]

While I could not figure out how to capture the Tick DownLoader screen, here are the settings I have:
- Symbol: IWM
- 10 Days
>left both Start and End time fields blank;
>(I tried both cases of Check and Uncheck the Save Trade Only filter)
> left the Price Base and Tick Factor boxes empty

See attached image for $PLAYBACK Adv Chart.

Thank you.

ziggy

[z11]

This is what came up after I:
Tools -> Tick Replay -> Replay Tick File

and then I pick the file I downloaded.

Anything wrong with the Dowloader setting I have?


hmmm...puzzled.