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Hi LetUSLearn,
I am having trouble matching back testing results with real time results and at a loss to determine what's going on.
Unfortunately in the thousands of pages of eSignal documentation there is next to nothing on real time trading. They publish the functions available in the EFS_AT EFS and a small word document that describes some of the functions. There is nothing else available which is most unfortunate for it's customer. A simple example template of how to code a real time automated strategy would be incredibly helpful but until they do my only alternative not being a developer is to seek help from the forum community.
I have strategies that use Stop and Limit Orders when back testing where the trade entry calculation is done after the bar is loaded closed which my understanding is this will be a close approximation (ignoring bid/ask spreads for the moment) to what will occur in real time trading..
In my strategy is use barindex -1 for indicators as using 0 in real time when the tick by tick calculation is done make for an obvious drifting indicator which results in the back testing results being completely inaccurate. Do you use -1 for all indicators in your real time strategies?
My strategies use indicators and then close(0) to determine where the price is relative to for example a moving average.
I noticed in the example above that you are using if (getBarState() != BARSTATE_CURRENTBAR). which I've not seen before what is the purpose of that? Is that the same as ALLBARS and NEWBAR, as it will get control when a newbar is created before the first tick?
In general do your trading strategies get control on each tick?
If so how do you avoid the drifting indicator issue to align back tested and real time results?
You mentioned in earlier posts that you do not use setComputeOnClose() which means unless you are also using BARSTATE_NEWBAR you will get control on each tick?
The logic for a real time strategy using STOP and LIMIT orders intermixed with the strategy logic is a bit over my pay grade. Checking real time for fills, cancelling and modifying orders etc. My approach was to use a "mental stop/limit" in the sense that I am trying to get control on each tick and when my stop/limit price is touched whether a stop, limit or both I simply close the trade. Does this approach makes sense?
Are there any suggestions you have on real time automated strategies that will come as close as possible to STOP/LIMIT orders in the back tester?
Thank you.
glen
I am having trouble matching back testing results with real time results and at a loss to determine what's going on.
Unfortunately in the thousands of pages of eSignal documentation there is next to nothing on real time trading. They publish the functions available in the EFS_AT EFS and a small word document that describes some of the functions. There is nothing else available which is most unfortunate for it's customer. A simple example template of how to code a real time automated strategy would be incredibly helpful but until they do my only alternative not being a developer is to seek help from the forum community.
I have strategies that use Stop and Limit Orders when back testing where the trade entry calculation is done after the bar is loaded closed which my understanding is this will be a close approximation (ignoring bid/ask spreads for the moment) to what will occur in real time trading..
In my strategy is use barindex -1 for indicators as using 0 in real time when the tick by tick calculation is done make for an obvious drifting indicator which results in the back testing results being completely inaccurate. Do you use -1 for all indicators in your real time strategies?
My strategies use indicators and then close(0) to determine where the price is relative to for example a moving average.
I noticed in the example above that you are using if (getBarState() != BARSTATE_CURRENTBAR). which I've not seen before what is the purpose of that? Is that the same as ALLBARS and NEWBAR, as it will get control when a newbar is created before the first tick?
In general do your trading strategies get control on each tick?
If so how do you avoid the drifting indicator issue to align back tested and real time results?
You mentioned in earlier posts that you do not use setComputeOnClose() which means unless you are also using BARSTATE_NEWBAR you will get control on each tick?
The logic for a real time strategy using STOP and LIMIT orders intermixed with the strategy logic is a bit over my pay grade. Checking real time for fills, cancelling and modifying orders etc. My approach was to use a "mental stop/limit" in the sense that I am trying to get control on each tick and when my stop/limit price is touched whether a stop, limit or both I simply close the trade. Does this approach makes sense?
Are there any suggestions you have on real time automated strategies that will come as close as possible to STOP/LIMIT orders in the back tester?
Thank you.
glen