RightEdge Forums / General / Community Support

what's the difference between buy and open position in Action?

terryep — Thu, 11 Mar 2010 04:17:15 GMT

please tell me ,I am a newer.

BTW, why is there not cancel order in Action? how to cancel order in a trade system?

Thank you!

filling an order on the close of the current bar

autotrader — Wed, 20 Feb 2008 08:12:16 GMT

Is there a way to have an order filled on the close of the current bar. It would appear that in the NewSymbolBar event, if a new position is opened using OpenPosition and OrderType.Market, the order is filled on the open of the next bar

How many tick data can I store?

qichxi — Sun, 07 Mar 2010 19:01:16 GMT

Hi, I wanna the RE can store the tick data when I trading.

How many tick data can RE store? If the tick data store will delay the trading respone speed?

Should I store the data in different way to protect?

King Regards

Max Open Poistions in RE 2010

blousetrader — Wed, 03 Mar 2010 14:27:27 GMT

Just tried out RE 2010 for the 1st time and getting different results from ED1 - seems to be allowing more open positions than I've defined. i.e I've specified no more than 2 open
positions at a time but on one occasion it has allowed 3 to be opened

Max Open = 2
Max Open/Symbol = 2

Live Data: Last Volume and Live Price not available

tats — Tue, 23 Feb 2010 05:00:03 GMT

Hello,

Last Volume and Live Price not available for E-Minis: ES ang NQ,
but Bid and Ask is available (s. attachment)

I use RightEdge 2010 Release Candidate, Build 15
and TWS Last Version

Please Help

Using LowestValue

NNNKT — Thu, 04 Mar 2010 10:23:34 GMT

Hi,

I want to get the lowest Close value in the last 5 bars.

I think that BarUtils.LowestValue(XXX.Close,0,5) should be the right function to use. But, I'm struggling to figure out how to put in the "series of closes" into the function.

I'm guessing this is pretty simple, can anyone give me some code example?

Christian

Multiple Instances of RightEdge on same machine?

felixtjung — Sat, 30 Jan 2010 20:56:18 GMT

Hi,

I noticed, we can run multiple instances of RightEdge on the same machine. Hence, it seems possible to run multiple strategies on several different brokers at once. Is this supported?

Thanks.

Execute Trade at the Open

blousetrader — Fri, 26 Feb 2010 14:03:12 GMT

Is it possible to execute a trade at the open in RE Edition 1. What I'm trying to do is issue a trailing stop if the system
has an open position at market open and it has gapped in a favourable direction.

positionmanager.SetTrailingStop(pos.ID,2,targetPriceType.Price)

I'm running on 5m bars and it seems to implement the trailing stop on the closing price of the 1st 5m bar. It'd be ok live
as I could check the previous bar but I don't have that bar data for backtesting purposes. Any other options?

Also - I'd love to get started using multiple frequencies in RE 2 but don't know how to start - can you point me at any
examples and/or documentation.

Cheers

ProfitTarget Executing on Incorrect Data

gregoryj — Sat, 13 Feb 2010 11:28:14 GMT

I have a strategy sets a profit target Ratio

settings.ProfitTarget = 0.05;
settings.ProfitTargetType = TargetPriceType.RelativeRatio;

The issue is, I am buying at a price and exiting on the same day with the profit target % and the stock never gets back to the profit target price.
Example : Stock opens the day at 4.95, It drops to 4.63 and my system buys. However, in my backtest, I am profit targeting out of the postion at
4.86, I suspect because the high of the day is 4.95 which is also the open price.
How do I prevent this from happening.
I believe what would fix it, would be to only allow the profit target to take place same day if the High > Open.

Please Advise

Tick data storage not supported for old data storage interface

terryep — Thu, 25 Feb 2010 04:21:47 GMT

An exception of type System.NotSupportedException was thrown.
Tick data storage not supported for old data storage interface (IBarDataStorage)
在 RightEdge.Common.OldDataStoreWrapper.GetTickStorage(Symbol symbol)
在 RightEdge.xfb471916970b0c9e.x5e5969a9722ffac4(NewLiveSymbolInfo x1beeafe0108e6b2f)

I complied the SQL Server DataStore Sample in VS2008,but it has some error. what happen? Thank you.

DatabaseDataStore sample occur error

terryep — Thu, 25 Feb 2010 03:39:44 GMT

I have complied the sample project in vs 2008,the RE version is 2010.but it reported error ,

error 5 “DatabaseDataStore” Does not implement interface member “RightEdge.Common.IBarDataStorage.GetBarCount(RightEdge.Common.SymbolFreq, System.DateTime, System.DateTime)” C:\Users\Administrator\AppData\Roaming\Yye Software\RightEdge\2010.1.0.0\Samples\C#\DatabaseDataStore\DatabaseDataStore.cs 19 14 DatabaseDataStore

Is the sampel project obsolete?

configure dtniq

buysell2007 — Wed, 17 Feb 2010 17:37:36 GMT

i have a prompt for ip and port.

what do i enter there?

http://screencast.com/t/MjU0YTc0ZjYt

Scanning for Divergence

jimbob — Sat, 13 Feb 2010 05:00:04 GMT

Hi Guys,

Looking for any help on how would I write the code to scan for a divergence between price and an indicator.

i.e Bullish divergence when the price makes two lower lows but the indicator make two higher highs.

See screen shot for a clear picture.

Any ideas?

Thanks.

Buy order on close

mustafaoe — Thu, 03 Dec 2009 11:25:39 GMT

Hi all,

i would like to open a position on close a day when the low of the current day is lower than the low of the day before.

I have tried to override the TickBar and open the position when the the tick was the close thick.

The results was not successfull. I got the position on close of the next day. How to implement this?

Thanks for help.

Mustafa

Look Ahead Bias in RE?

max_velocity — Thu, 11 Feb 2010 23:25:27 GMT

I'm evaluating RE at the moment to see if a switch from WealthLab is worthwhile for me. In WL you really have to be extremely
careful to avoid Look Ahead Bias when developing your systems since all prices, even future ones, are available at all times.
Since this is such a devastating error, you have to develop an eagle eye for spotting these mistakes when developing systems,
and I'm intrigued by RE's event driven model that seems to limit the possibility for look ahead errors.

However when studying some of the example systems that ship with RE, I'm troubled by the code in their NewBar methods. This
is from the BollingerPenetration system (I have removed some comments and irrelevant code for clarity);

BollingerBandLower BBL = new BollingerBandLower(14, 1.5);

public override void Startup()
{
BBL.SetInputs(Close);
}

public override void NewBar()
{
// Get the current calculated value.
double targetPrice = BBL.Current;

// Create a limit order based on the lower band calculation.
OpenPosition(PositionType.Long, OrderType.Limit, targetPrice);
}

To me this seems like a serious case of look ahead bias - the limit order is using a target price that is not known until
the bar has closed. Looking through other examples and the help files, I see this pattern repeating over and over.

My question is: Does the BBL.Current value reflect the latest available closing price in a correct way (that is from
the previous bar's close) or do we have a case of look ahead bias here?

what's the usage of the DLL compiled by RightEdge

terryep — Sun, 07 Feb 2010 07:20:36 GMT

Whether the dll can be used to a thirdparty VS.net program? How to use it ? Thank you!

about a stand-lone application

terryep — Wed, 10 Feb 2010 03:12:21 GMT

I have saw the following post:http://www.rightedgesystems.com/forums/Topic3190-7-1.aspx?Highlight=api

About the second question .I am curious very much what the application can be ? has it its UI control?

or just runs strategy in the application ,what's result after the application run ?

Do you provide a simple sample for me ? thank you .I am a newer.

New price method?

pmxgs0 — Wed, 10 Feb 2010 06:27:14 GMT

Hello,

1) I'm just starting to understand how Rightedge works, and I understand the newbar method which is called when a new bar is complete.
I would like to backtest a forex system, for which I have 1 minute data (which is the shortest time frame data I have) and I assume that all prices from High to low of each bar are tradable.
The question I have is: In some cases my stop orders should be filled in the same bar that the buy/sell conditions are evaluated. For example my buy stop condition is "if price crosses 1.4958 then buystop at 1.5000", but the bar opens at 1.4950 and closes at 1.5005.
As I understand, if I use the newbar method the buystop order cannot be placed because the close of the bar has already passed the buystop price.
I know that I'm taking a decision based on the close of the bar which is not possible in live trading but this is the only way to do it in backtesting.
Is there any way to accomplish this in rightedge?

2) In "real time" my buy and sell conditions should be evaluated as a new tick arrives.
Which method should be called in this case instead of newbar method?

thanks a lot

Load Optimization Results

dwebber — Sat, 06 Feb 2010 18:12:09 GMT

Is there a way to load optimization results? I finished a 10000 run optimization which took about 30 hours to complete and was attempting to save the results to csv for analysis when RE crashed.

Please advise.

Thanks, Duane

Open Positions in Live Mode before First Live Bar

dwebber — Sat, 06 Feb 2010 17:50:06 GMT

Is there any way to open live positions before the first live bar either via reflection or other mechanism? Note, I've attempted to implement some of the existing reflection code in the forum but it appears that some of the methods have been updated as the code does not appear to work directly.

The underlying feature request is for a live position editor because when RE throws an exception due to minor code changes, the positions end up out of sync with TWS. R-esyncing to TWS currently requires a lot of manual effort.

Also, what is preventing positions from being opened using historical data and appearing in the live system OpenPositions list? That is, the system will attempt to open positions starting at the first live data start date but the OpenPosition.Count is returning 0 after an OpenPostion call. I noticed that InLeadBars == true when the live system is executing the system with historical data but setting InLeadBars to false via reflection returns the same results.

Please advise.

Thanks, Duane

How to get current cash from the broker?

rolfe — Sun, 20 Apr 2008 16:18:37 GMT

I'm using the TWS plugin. I can't figure out how to get current cash from the broker. Any suggestions?

Change Local Data Store Directory

dwebber — Fri, 05 Feb 2010 17:09:11 GMT

How do I change the local data store directory. I need to move it to a hard drive that has more space.

Thanks, Duane

System closing live position during lead bar period

blousetrader — Fri, 22 Jan 2010 12:29:37 GMT

Guys, i'm running a system on Edition 1 on corn ZC and it had carried a position across overnight. It prompted me this morning on that position which
was fine but it seemed to close it internally (not on the broker IB) during the lead period

in the closed positin tab it now has

Entry Time = 21/01/2010 17:15 Exit Time 05/01/2010 18:35

Exit time is before Entry Time ????

Backtesting order execution

felixtjung — Sat, 30 Jan 2010 20:19:10 GMT

Hi,

I noticed my market order is executed on the next day close for every market order which my system generated.

So for example, if the current close is 1 and the next day close is 2. If I generate long signal when the current close is 1, my long entry order will be executed on 2 (the next day close). Here's the code that I'm using:

[code]
position = OpenPosition(PositionType.Long, OrderType.Market, this.Close.Current, getPositionSize(stop_threshold));
[/code]

I'm using RE2 Beta 14. Is this the right behaviour or somekind of bug?

P.S:If my entry order is executed on next day open, that still makes sense, but next day close is quite weird to me.

0 price on NewTick()

Largo — Mon, 25 Jan 2010 15:00:22 GMT

Why when I run live strategy which shows price every each tick, then sometimes (every 2-5 ticks) is 0?
[code]
public override void NewTick(BarData partialBar, TickData tick) {
OutputMessage("NewTick(), price: "+tick.price);
}
[/code]

Ed.2 Beta 14

Yahoo data adjusted? Can we get a non-adjusted adapter?

jibs76 — Fri, 22 Jun 2007 20:44:57 GMT

I was comparing the yahoo data to data from other providers. I have noticed the data seems to be way off from what they display on the site. I looked back, and it looks like they also present data for an adjusted close (that is what appears to be downloaded through RightEdge). What are the pro's and con's of using this data, vs. the non-adjusted data? I have been attempting to compare data between systems developed on WL, and some simple ones I have done on RightEdge. The data I have in WL is not adjusted, while it is in yahoo.

I think this actually would cause a major problem with my back-testing:

Take for example this data on AA that was pulled with RE yahoo adapter for open :

2/4/2003 17.79

2/5/2003 18.21

A difference of .42 , or 2.3%

The actual open for those two days were:

19.59

19.90

A difference of .31, or 1.5%

To me it would seem to cause problems with backtesting. Indicators, and entry/exit signals would be thrown off by this data, and I don't think the results would be accurate. Can someone confirm this for me? Is it possible to get this data non-adjusted. Maybe I should try open-tick (although I have seen problems with there daily data too), but before going down that road, I want to make sure I'm not going to run in to the same problem there.

Mini Contract Size question???

felixtjung — Sat, 23 Jan 2010 07:20:40 GMT

Hi,

I just begin trialing RightEdge today. I'm a bit confused with the contract size. I noticed, you guys use signature "long" for position size. Does that means we can't place fractional order (e.g. 0.1) as in Micro/Mini contract (especially in forex)? I'm testing the edition 2 beta.

Thanks.

Equity Curve on Log Scale

dwebber — Thu, 21 Jan 2010 11:25:19 GMT

Is it possible to display the equity curve on a log scale?

Max Open Positions / Symbols

NNNKT — Mon, 18 Jan 2010 05:19:59 GMT

Hi,

Let's say I'm sending a market order if the latest Tick is over my trigger:

public override void NewTick(BarData partialBar, TickData tick)

{

if (tick.price > longTrigger){

OpenPosition(PositionType.Long, OrderType.Market);

}

In the properties of the strategy I set: Max Open/symbol = 1

Assume that my broker for some reason uses some time before the marketorder is filled. While the marketorder is pending, a new tick comes in above my trigger. What happens now? will RE rel.2 send a new order?

I guess what I can rephrase the question as: Does the "Max Open/symbol" also count in pending positions?

Chris..

Showing Company Names on Charts

jimbob — Sat, 16 Jan 2010 02:38:13 GMT

Is there any way to show the company name on a chart?

At the moment I have a folder of indexes with names like $CR $DJ $DJLI $DX $FT $HS $NK $SC $SP $VIX $XI $XAO and when clicking on them the index/company name is not shown. As they are not to easy to remember is there a way to show the company name on a chart?

It would help with stocks as well.

Thanks.

Papertrading vs. Backtesting - Execution at unrealistic prices (outside of candle!)

Amin — Fri, 20 Nov 2009 18:47:06 GMT

Hi,

I did a papertest today and compared afterwards the simulation results of the same system to the papertest results.

The comparison was quite astonishing, as I had out of 4 trades only 1 that was executed nearly the same (apart from slippage).

I analyzed the main root causes and found a couple of reasons.

One of them is, that I have one "phantom trade" in the backtest, where I get an limit entry order filled in simulation at a price, that is never reached in the bar. In reality, this trade is never done, because the limit price is simply not reached. Funny thing is, RE is showing quite clearly in the chart, that the price is not reached. :-) What could be the reason for that?

Screenshot showing the chart with the phantom price is attached

Regards

Amin

New exception value (key) can not be null

Amin — Tue, 12 Jan 2010 03:22:13 GMT

Hello,

I got a new exception thrown today. Not sure, what key the exception is actually referring to, I guess it's the symbol's key.

Cheers

Amin

An exception of type System.InvalidOperationException was thrown.
Exception thrown while processing message: PortfolioValue
at Krs.Ats.IBNet.IBClient.ProcessMsg(IncomingMessage msgId)
at Krs.Ats.IBNet.IBClient.Run()
at System.Threading.ThreadHelper.ThreadStart_Context(Object state)
at System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state)
at System.Threading.ThreadHelper.ThreadStart()

Inner Exception:
An exception of type System.ArgumentNullException was thrown.
Value cannot be null.
Parameter name: key
at System.ThrowHelper.ThrowArgumentNullException(ExceptionArgument argument)
at System.Collections.Generic.Dictionary`2.FindEntry(TKey key)
at System.Collections.Generic.Dictionary`2.TryGetValue(TKey key, TValue& value)
at RightEdge.Common.EnumUtil`1.Parse(String s)
at RightEdge.TWSCSharpPlugin.TWSAssetArgs.GetRECurrency(String IBCurrency)
at RightEdge.TWSCSharpPlugin.TWSAssetArgs.SymbolFromContract(Contract contract)
at RightEdge.TWSCSharpPlugin.TWSPlugin.client_UpdatePortfolio(Object sender, UpdatePortfolioEventArgs e)
at Krs.Ats.IBNet.IBClient.RaiseEvent[T](EventHandler`1 event, Object sender, T e)
at Krs.Ats.IBNet.IBClient.OnUpdatePortfolio(UpdatePortfolioEventArgs e)
at Krs.Ats.IBNet.IBClient.updatePortfolio(Contract contract, Int32 position, Decimal marketPrice, Decimal marketValue, Decimal averageCost, Decimal unrealizedPNL, Decimal realizedPNL, String accountName)
at Krs.Ats.IBNet.IBClient.ProcessMsg(IncomingMessage msgId)

Finding the average period for a indicator

jimbob — Fri, 08 Jan 2010 23:50:00 GMT

I have an indicator that shows me the trend of the underlying stock which works as expected but I want to do some analysis on it and I am stuck on how to do it.

It has readings for the trend strength and when it goes above zero I want to find out on average how many days it stays above 0.

So on one stock over its life it can go above 0 for x days and then fall back below 0. Each stock may have any number of periods above 0 so I need a way to count the number of bars in each period above 0 and then calculate the average number of bars > 0 for each stock.

At the moment I have a user series that shows 1 if > 0 and 0 if <0 but what would be a good way to loop through each section and calculate the average period > 0?

Any ideas?

Thanks.

Problems with partial fills

Amin — Tue, 29 Dec 2009 06:11:08 GMT

Hello,

during the low activity days around the holidays I discovered a new issue regarding partial fills. I got the following exception:

A Short order (41: Limit Short EUR/CHF @ 1,4889 104000/400000: 84000@1,4889, 20000@1,4889 - Partially Filled) with a size of 400000 was filled on position ID 206 which was closed.
at RightEdge.Common.PositionManager.HandlePositionOverfilled(PositionData pos, PositionState posState, BrokerOrder order, Fill fill, TradeType tradeType, String description)
at RightEdge.Common.PositionManager.PositionOrderFilled(PositionData pos, PositionState posState, BrokerOrder order, Fill fill, TradeType tradeType, String description, Boolean sendUpdate)
at RightEdge.Common.PositionManager.OnOrderFilled(BrokerOrder order, Fill fill, PositionData pos, PositionState posState, TradeOrder tradeOrder)
at RightEdge.Common.PositionManager.broker_OrderUpdated(BrokerOrder brokerOrder, Fill fill, String information)
at RightEdge.Shared.BrokerWrapper.<>c__DisplayClass3.<broker_orderUpdated>b__0(Object )
at RightEdge.Shared.CallbackStub.DoCallback()

When I get a partial fill of an entry order the order with the remaining quantity remains active. That is fine for the actual bar, but the order does not get cancelled at the next bar as the original order would have been. That leads to a couple of issues. E.g. if you have an order placed that you would like to get executed at a certain situation, but you only want to have this order within this bar, usually you simply do not place an order at the next bar. But if the order got filled partially the remaining order remains placed forever.

The next problem arises, when the open order gets partially filled and is closed later. That is when I got the exception. The open order was partially filled, my system does not place any other open orders, once a position is opened until the current position is closed. Then the partially opened order was closed correctly. Even at that point in time, the remaining opening order was still active! Then some bars later a new open order was placed and RE caused the exception as it got confused about the still active old entry order.

I would recommend to treat remaining orders the same way as the original orders would be handled: Cancel open orders at the next bar and leave exit orders in place.

Regards

Amin

Number of Trades incorrect in System Summary

dwebber — Thu, 31 Dec 2009 11:11:36 GMT

The number of trades on the System Summary is incorrect. I verified by counting the trades individually.

Symbols from Different Services

dwebber — Tue, 29 Dec 2009 11:20:58 GMT

I have set up to two identical symbol folders with identical symbols but configured with different historical data services. It appears that if I attempt to download data into each folder, it always reverts back to the data downloaded from the 1st service that downloaded data. Am I doing something wrong?

Multiple Time Frames

jimbob — Mon, 28 Dec 2009 22:21:13 GMT

I am trying to run a sim that uses daily and weekly time frames but not sure when the bars for the weekly time frame get created.

I have daily data and create weekly bars from it.

In my newweekly bar sub I have :
OutputMessage(WeeklyFreq.Bars.Current.BarStartTime.ToString & " " & monday.ToString)

It outputs data for each week except the last (current) week. So if today is Tuesday it does not have a weekly bar for Monday and Tuesday. I thought this would have been a partial bar using Monday's open and Tuesday close. Is this not the case?

Is the weekly bar only created on a Friday?

If that is the case how do I a use a weekly indicator mid week?

Last bar of data set

jimbob — Wed, 23 Dec 2009 18:04:22 GMT

Is there any way to tell if you are on the last bar of the data set?

I want to output/email some info but only if it is the last bar of the dataset.

Invalid Futures Symbol - IQFeed

dwebber — Mon, 14 Dec 2009 17:15:45 GMT

From my previous post, options are now working well. There appears to be a different issue with future symbols from IQFeed. I verified that the following symbols are valid and received via their diagnostics tool: WH0 and W#. The symbols were set to a bar frequency of 1 hour. Can anyone help?

Thanks, Duane

BAS.DE is not loaded correctly from yahoo

mustafaoe — Wed, 09 Dec 2009 06:08:54 GMT

Hi,

loading from Yahoo works fine for me, in general. But one stock (BAS.DE) gives me unresolved questions. When I load the stock the figures in 2009 are correct but not in 2000.

When I remove and purge the symbol and reload it is load again wrong. But the reload is too fas. Normaly it takes some time to load more than 2000 entries.

What is going onß

Thanks,

Mustafa