RightEdge Forums / Trading / Trading Systems

EOD calculation

lksf — Tue, 19 Aug 2008 00:27:14 GMT

When working with intraday bars, is it possible to know that a bar is the last bar of the market day before the next bar comes with a new date?
The idea is that I will be able to run calculations at the end of the day and stage orders for the opening of the next business day.

How do you send an order?

snackly — Thu, 28 Aug 2008 00:57:26 GMT

I am looking through the docs but there doesn't seem to be any tutorial. How do you just send out an order or open up a position?

Thx.

Is it possible to get a simple Volume indicator, with no fancy functions, just a plot of the volume?

snackly — Thu, 28 Aug 2008 01:17:05 GMT

I am looking to just be able to get the dataseries for the volume, without any averaging or any fancy stuff done to it like it seems to be the case in the Volume indicators. Does this exist by default somewhere?

Thx.

Enter on Daily data, Exit on Intraday

lksf — Thu, 07 Aug 2008 19:57:28 GMT

I have 30min Bars and I'm interested in creating rules for opening positions based on Daily information
(OHLC, Volume, EMA and more) but use the 30min info to exit my position.

Is there an easy way to do that?
Before testing out RightEdge I've been using WealthLabPro from Fidelity, they have a "SetScaleDaily()" method and "RestoreScale()" which will make the code in between them run as if the interval is Daily, so Bar-1 is yesterday and EMA(50) is 50day MA and not 50"30MinBars" MA.

Thanks

Develope a system that goes short on spikes

agragr — Tue, 08 Jul 2008 11:07:38 GMT

I am new to Rightedge and C# coding. I am trying to develop a system that goes short when the price is higher than a predefined value. Once the price goes down by x % I want to take profit and the new value that the price needs to exceed is the previous profit taking price. This is a short selling strategy which I think could be profitable in current market conditions.

Any help in coding this in C# would be greatly appreciated as well as comments/remarks about this strategy.

Export Performance Analysis to external storage

rgrg — Tue, 03 Jun 2008 07:33:20 GMT

Hi,

Upon we backtest the trading system, we get the performance analysis figures such as MAE, MFE, win%, lose% .... etc

I would like to know whether it is possible to output these analysis figures to external storage (e.g. output to SQL server, access database, plaint text file ) ?

Also, is it possible to define custom analysis figures (for example, other than Sharpe ratio, I would like to add sortino ratio for my trading system analysis purpose) ?

Fill order on signal generation bar or Next Bar ?

rgrg — Sat, 31 May 2008 08:18:14 GMT

Hi,

I would like to know whether following is possible in RE:
For backtesting daily data, Is it possible to fill the order immediate on signal generation bar ?
(for example, if signal generate on 2008-May-29, would the order fill on 2008-May-29 or 2008-May-30 ?)

OR is it possible to setup the fill type either
1) to fill the order immediately at the market close of 2008-May-29
2) to fill the order immediately at the market open of 2008-May-30

Please kindly advice. thanks !

results for the same symbols different if simulating less symbols

hairy_mug — Sat, 31 May 2008 08:09:13 GMT

never mind....

Walt

composite calculations?

hairy_mug — Fri, 23 May 2008 21:50:27 GMT

If I am looking at 10 symbols and want to pick the one with the highest RSI (for example),

Basicly, how would I do this since the system is centered on one symbol at a time?

Thanks for any ideas...

walt

Entering/Exiting positions based on slope of MA

metalhead — Wed, 21 May 2008 12:17:24 GMT

I searched the forums and user manual and didn't see how to do this (I also didn't see a "slope" option in any system components).

How do I use the drag-and-drop menu to code an entry when a certain MA slopes up (and exit when the slope changes to "down")?

Thanks.

Partial Fills and SetProfitTarget

DoQ — Tue, 13 May 2008 12:17:42 GMT

I seem to be getting and additional phantom order sent to TWS on partial fills.

Suppose I open a long position 2 Lots YM and I set the profit target to x%.

Upon buying the position, RE will place the profit tgt order to sell.

When I get a partial fill, 1 out of 2, another order to sell 1 is being fired to TWS. leaving the total orders to sell to 2 (even though 1 has already been filled for a net position of -1 (short).

It seems that a profittarget order for some reason always cancels the existing order (upon a fill) and resends the same order with the remaining size. However, the cancel order portion doesn't always show up in TWS effectively leaving the original order and a new one.

Its been about a week debugging this and I've managed to remove all order entries on orderfilled and anywhere else. I only send the order once (bars valid = -1) so I don't think its on my end...

What's going on?

thx

p.s. Of course the problem doesn't exist when trading 1 lot (no partial fills) but is compounded when trading 100 lots.

indicator values for the active bar

mark0419 — Sat, 05 Apr 2008 19:38:34 GMT

The indicators I have setup determine the values for the active bar based only on previous values. These indicators are a mix of IndicatorBase, and SeriesCalculatorBaseWithValues base types. In order to analyze these indicators in the context of current market activity I need to be able to access the values during the formation of a new bar.

It seems that simulations and live systems handle this differently, which I assume is because the paper broker doesn't yet handle ticks. I hope that when the paper broker implements tick level processing these interfaces will converge. Having separate logic for live vs. backtest modes is always more work to implement, and potentially dangerous.

For now, I've been testing using the BarOpened event and the paper broker. It seems that the BarData passed to the event handler is not in the Bars list, and thus the indicator values have not yet been calculated. I would presume that the NewTick() partialBar is in a similar state when running a system live.

So, how can I access my indicator values for the "real" current bar, not the last completed?

Thanks,
Mark

Optimize (as in speed up) backtest

dpeck — Mon, 17 Mar 2008 14:49:32 GMT

Hello and thanks for your input in advance. I’ve been playing with RE for the last couple of weeks, put a system together and tried to optimize the parameters. Everything worked as expected except that it took an extremely long time to run, in my opinion at least. I had three parameter with a total of 500 iterations over 1 minute data from 1/1/2008 to 3/10/2008. I realize that at a 1 minute interval that’s a good number of data points but then again it’s only two months or so. Not very long by backtesting standards. All of this is running on a dual 3 GHz Zeon box with 5GB or ram so that should not be the issue. In fact the CPU maxed around 55% to 60% and 2 GB or so of RAM being used, 0.8 GB for RE.

So my question is whether this is typical and if so what are some ways to speed this up? Using Trade Station some years back I could backtest tens of thousands of iterations on 5 minute data in a day or so. I expected RE to be faster since it was compiled and not a script. This is a very basic strategy with one moving average and two momentum indicators.

Thanks

Doug

System Results in Charts

gtomez — Thu, 20 Mar 2008 07:05:40 GMT

How can I display simulation results after a backtest in charts (Entry, Exit). Do I have to implement that in the code or is there an easier way ?

Thanks for your help

Trading YM while watching #YM

DoQ — Mon, 17 Mar 2008 22:28:44 GMT

What would be the easiest and simplest way to trade YM via IB but running all logic on #YM data thru OpenTick. It doesn't seem as simple as passing a different symbol object to OpenPosition...

Ideally I would select only #YM from my watchlist, generate buys and sells and pass the IBSymbol object to OpenPosition. Maybe a wrapper at the broker level that changes the symbol name to and from?

thx

Edit: using RE1.1

Null reference exception on GAIN service for forex

heliosphan — Sat, 08 Mar 2008 22:08:37 GMT

[url=http://farm4.static.flickr.com/3213/2319455579_43487025a4_o.png]http://farm4.static.flickr.com/3213/2319455579_43487025a4_o.png[/url]

hi,

Getting a null reference error when trying to set GAIN as a service for forex data... any ideas on this one? Thanks

Using one symbol on multiple timeframes?

greg — Mon, 07 Jan 2008 12:13:11 GMT

I need to implement a system using multiple time frames (30 min, 1 hour and daily) of one forex symbol (EUR/USD)

To get the data it was necessary to create 3 folders for the frequencies and to define the same symbol 3 times(?!?!)

However how can I distinguish in the system which series of bars for which frequency (time frame) belongs?
The systems runs on new bar of the lowest time frame only.

Can you point me to some tutorial or example?
thanks

Custom Loading of Historical Data

chrisa23 — Sun, 24 Feb 2008 15:19:56 GMT

I am trying to see if I am able to load data to do some processing outside of RightEdge and the normal backtesting framework... I am still going to use backtesting, but I have a few things I need to do with market data...

So far it looks like I can, but I haven't figured out what to use for frequency (my data is saved in 1 min bars [hopefully]). I can't find anything in the API docs to indicate what are proper values for frequency. Not sure if it would be milliseconds or minutes or ???.... I am able to access the BinaryDataStore though, just never get anything back from LoadBars so far... Figuring I am just off somewhere in my setup of the SymbolFreq to use in LoadBars...

Thoughts?

Thanks,
Chris

BarAggregator.AggregateBars syntax question

RJ — Thu, 21 Feb 2008 13:04:07 GMT

I downloaded the BarAggregator system in C#, but it was more of an example of how to export agreggated bars to a file. I was hoping to see a simple system example in VB.Net and I think it would help several of us. I now have very good data from OpenTick. It does include the extended periods of data, but I wrote several scripts to clean this data daily. This is basically my last hurdle to test a lot of my systems quickly. I'm collecting 1 minute bars and would like to run my systems on 3, 5, 10, 30 and 60 intervals for the same symbol.

So, regarding Aggregating bars I have several questions

1. When writing a system, where is the best place in the code to aggregate the bars? I'm trying to do it in the NewSymbolBar sub. Remember, I'm trying to plot indicators and open positions based on aggregated bar data.
2. Do I need to collect the 1 minute bars first with the following statement:
Dim bars As List(Of BarData) = SystemData.SystemBars(symbol)
and then aggregate the these bars to a different frequency?

I'll start there... my code looks something like the below example but the syntax is not correct. Can you correct it for me?

I only need a little direction and I'll be off and running. Thanks

' Get the collection of bars for the current symbol

Dim bars As List(Of BarData) = SystemData.SystemBars(symbol)

'List<BarData> weeklyBars = BarAggregator.AggregateBars(cleanedBars, (int) BarFrequency.Weekly);

Dim Sixtybars As List(Of BarData) = BarAggregator.AggregateBars(ByVal bars As List(Of BarData), ByVal BarFrequency.SixtyMinute As Integer);

A simple trading system

billb — Thu, 22 Dec 2005 09:54:47 GMT

Here's a simple band violation system using 200 period Widner bands. The system goes long on a lower band penetration. The profit target is 5% with a 50 bar timeout.

[code]

using System;
using System.Drawing;
using System.Windows.Forms;
using System.Collections.Generic;
using RightEdge.Common;
using Indicators;

namespace System2005
{
/// <summary>
/// Summary description for ScriptMain
/// </summary>
public class ScriptMain : IScript
{
private Dictionary<string, List<double>> widnerLowerValues = new Dictionary<string, List<double>>();

public void Main(TradingInfo info)
{
try
{
BuildIndicators(info);
// Here is your profit target value
info.TradingSystem.ProfitTarget = 5.0;
// Here is your time out exit value.
// Change this to 0 for no time-out
info.TradingSystem.BarCountExit = 50;

}
catch(Exception exception)
{
if (!(exception is System.Threading.ThreadAbortException))
{
// Handle trading system exceptions here
MessageBox.Show(exception.Message + "\r" + exception.StackTrace);
}
}

}

public void BuildIndicators(TradingInfo info)
{
// First go through each symbol, build & plot the indicators
foreach(string symbol in info.ChartPaneCollections.Keys)
{
List<ChartPane> panes = info.ChartPaneCollections[symbol];
List<BarData> bars = info.BarCollections[symbol];
ChartPane pricePane = panes[0];
WidnerLowerBand widnerLowerBand = new WidnerLowerBand(200);
List<double>bblValues = widnerLowerBand.GetSeries(bars);
widnerLowerValues.Add(symbol, bblValues);
pricePane.PlotSeries(bblValues, "Lower Widner", Color.Red);
}
}

public void Trade(TradingInfo info, int index)
{
foreach(string symbol in info.BarCollections.Keys)
{
List<BarData> bars = info.BarCollections[symbol];
List<double>bblValues = widnerLowerValues[symbol];
BarData bar = bars[index];
SymbolInformation symbolInfo = info.GetSymbolInformation(symbol);
info.TradingSystem.EvaluatePositions(symbolInfo, index);

if (!bar.EmptyBar)
{
double limitPrice = bblValues[index];
info.TradingSystem.OpenPosition(symbolInfo, index + 1, PositionType.Long, OrderType.Limit, limitPrice);
}
}
}
}
}
[/code]

How to Backtest Options Strategies

dspicer527 — Sun, 27 Jan 2008 00:17:59 GMT

I am interested in backtesting a trading system. I want to start with a real simple set of entries and exits, say just on stocks to keep it very simple--no commodities or forex just yet. The problem is, I don't buy stocks, I buy call spreads to get long, and put spreads to get short. If I used Tradestation/Metastock/etc. to test a system that bought and sold STOCKS based on simple entry and exit rules, that'd be pretty straightforward. My question is, what trade simulator software would be best for testing those same rules but buying spreads instead of the stocks themselves? I'm sure lots of folks here use bull call spreads and bear put spreads, does anybody have a tested system that uses these options strategies with simple entry and exit rules?

My first trading system to share for those who like to add, use or modify the code

eeikel — Fri, 18 Jan 2008 15:15:15 GMT

using System;

using System.Drawing;

using System.Drawing.Text;

using System.Windows.Forms;

using System.Data;

using System.Media;

using System.Collections.Generic;

using RightEdge.Common;

using RightEdge.Common.ChartObjects;

using RightEdge.Indicators;

public class SystemMain : SystemBase{

SoundPlayer simpleSound = new SoundPlayer(@"h:\Windows\Media\Windows XP starten.wav");

private static double buypow;

string ctext; // Text for chart.

double buyreserve = 0.0;

DateTime exchangeOpen = Convert.ToDateTime("15:30:10 pm");

DateTime exchangeClosed = Convert.ToDateTime("21:59:50 pm");

TimeSpan thisTime = DateTime.Now.TimeOfDay; // This date (time 00:00:00)

public override void Startup(){

Indicators["sma"].CreateIndicator(new SMA(3));

Indicators["sma1"].CreateIndicator(new SMA(12));

Indicators["RSI"].CreateIndicator(new RelativeStrength(14));

Indicators["BBU"].CreateIndicator(new BollingerBandUpper(14,1.5));

Indicators["BBL"].CreateIndicator(new BollingerBandLower(14,1.5));

Indicators["sma"].SetInputs(BarElement.Close);

Indicators["sma1"].SetInputs(BarElement.Close);

Indicators["RSI"].SetInputs(BarElement.Close);

Indicators["BBU"].SetInputs(BarElement.Close);

Indicators["BBL"].SetInputs(BarElement.Close);

Indicators["sma"].SeriesColor = Color.LightGreen;

Indicators["sma1"].SeriesColor = Color.Yellow;

Indicators["RSI"].SeriesColor = Color.GreenYellow;

Indicators["BBU"].SeriesColor = Color.Crimson;

Indicators["BBL"].SeriesColor = Color.Cornsilk;

Indicators["RSI"].LineSize = 2;

Indicators["BBU"].LineSize = 2;

Indicators["RSI"].ChartPaneName="RSI indicator";

Indicators["BBU"].ChartPaneName ="Price Pane";

Indicators["BBL"].ChartPaneName ="Price Pane";

Indicators["sma"].AddToCharts();

Indicators["sma1"].AddToCharts();

Indicators["RSI"].AddToCharts();

Indicators["BBU"].AddToCharts();

Indicators["BBL"].AddToCharts();

buypow = SystemData.SystemStatistics.CurStat.BuyingPower;

PositionManager.OrderFilled += new EventHandler<OrderFilledEventArgs>(OrderFilled);

PositionManager.OrderUpdated += new PositionManager.PositionOrderUpdatedDelegate(OrderStatus);

PositionManager.PositionTimeOut = 0;

SystemData.Output.OutputLines.Clear();

}

public override void NewSymbolBar(Symbol symbol, BarData bar){

double BuyLong=0; double SellLong=0;

double Trailingstop = 0.0;

double StopLoss = 0.0;

DateTime point = bar.PriceDateTime;

List<Position> myPositions=PositionManager.GetOpenPositions(symbol);

ISeries sma3 = Indicators["sma"][symbol];

ISeries sma12 = Indicators["sma1"][symbol];

ISeries highpass = Indicators["BBU"][symbol]; // Statistically high.

ISeries lowpass = Indicators["BBL"][symbol]; // Statistically low.

ISeries rsi = Indicators["RSI"][symbol]; // RSI

IList<BarData> bars = SystemData.SymbolBars[symbol]; // Bar list for this symbol.

ISeries barOpen = SystemData.GetBarElementSeries(symbol, BarElement.Open, true);

ISeries barClose = SystemData.GetBarElementSeries(symbol, BarElement.Close, true);

ISeries barHigh = SystemData.GetBarElementSeries(symbol, BarElement.High, true);

ISeries barLow = SystemData.GetBarElementSeries(symbol, BarElement.Low, true);

//double barserieHigh = BarUtils.HighestHigh(bars,-1,5);

bool CrossOv = SystemUtils.CrossOver(sma3, sma12);

bool CrossUn = SystemUtils.CrossUnder(sma3, sma12);

bool CrossPup = SystemUtils.CrossOver(barHigh, sma3);

bool CrossPdown = SystemUtils.CrossUnder(barLow, sma3);

bool CrossBarPup = SystemUtils.CrossOver(barClose, highpass);

bool CrossBarPdown = SystemUtils.CrossUnder(barClose, lowpass);

bool CrossLowPassup = SystemUtils.CrossOver(sma3, lowpass);

bool CrossHighPassdown = SystemUtils.CrossUnder(sma3, highpass);

bool CrossHighPassup = SystemUtils.CrossOver(sma3, highpass);

//if(bar.PriceDateTime>exchangeClosed){

//if(!(point.TimeOfDay == TimeSpan.Parse("21:50:00"))){

if(bar.PriceDateTime>exchangeClosed){

List<Position> openPositions = PositionManager.GetOpenPositions();

PositionManager.CloseAllPositions();

Console.WriteLine("All Positions CLosed Exchange Closed manager {0}",exchangeClosed);}

if(barHigh.Count>4){//Console.WriteLine("BARHIGH "+bars[barHigh.Count-3].High+ symbol);

if(bars.Count>5){

double barserieHigh = BarUtils.HighestHigh(bars,3,1);

double barserieLow = BarUtils.LowestLow(bars,4,2);

//if (CrossPup) {BuyLong+=1;}

//if (CrossOv) {BuyLong+=2;}

if (CrossBarPdown) {BuyLong+=1;}

//if (bar.Low>bars[bars.Count-2].Low && bar.High > bars[bars.Count-3].High) { BuyLong+=2;}//12

//if (CrossBarPdown) {BuyLong+=4;}

//if(bar.Low<lowpass[lowpass.Count-1]) {BuyLong+=3;}

//if(bar.Close<lowpass[lowpass.Count-1]) {BuyLong+=5;}

//if((highpass[highpass.Count-1]-lowpass[lowpass.Count-1])<(bar.High-bar.Low)) {BuyLong-=6;}

//if (bars[barHigh.Count-25].High<bar.High) {Long+=1;}

//Console.WriteLine("Barserie Hoog {0}",barserieHigh);

//if (CrossHighPassdown) {SellLong+=1;}

//if (bar.High < bars[bars.Count-3].High) {SellLong+=2;}

if (CrossBarPup) {SellLong+=1;}

//if (CrossBarPup) {SellLong+=4;}

//if (rsi[rsi.Count-1] > 80) {SellLong+=1;}

//if (CrossPdown) {SellLong+=2;}

//if (CrossUn) {SellLong+=4;}

//if (bars[barHigh.Count-25].High<bar.High) {Short+=1;}

//if (bar.Low<bars[bars.Count-2].Low && bar.High < bars[bars.Count-3].High) { SellLong+=4;}

//if (rsi[rsi.Count-1] < 65) {SellLong+=1;}

//if(bar.High>highpass[highpass.Count-1]) {SellLong+=5;}

//if (bar.High<=barserieHigh) {SellLong+=5;}

//if(bar.High>highpass[highpass.Count-1]) {SellLong+=3;} //18

//Console.WriteLine("BuyLong = {0}, SellLong = {1}", BuyLong, SellLong);

Trailingstop = barserieLow;

if(CrossBarPdown){ StopLoss = bar.Low ;}

}}

////// TRIGGERS END

/// ////// StopLoss ..........

///

foreach(Position wichposition in myPositions){

if(bar.Close==StopLoss){

PositionManager.ClosePosition(wichposition.PosID,"StopLoss");

Console.WriteLine("StopLoss Close !!! {0}", StopLoss);

}

///// TrailingStop ............

if(bar.Close==Trailingstop){

PositionManager.ClosePosition(wichposition.PosID,"Trailingstop");

Console.WriteLine("TrailingStop Close !!! {0}", Trailingstop);

}

////// OPEN POSITION ///////////////

if (BuyLong>=1){

if(DateTime.Now>exchangeOpen)

//List<Position> positions = PositionManager.GetOpenPositions(symbol);

foreach(Position wichposition in myPositions)

if(symbol==wichposition.Symbol){

Console.WriteLine("Already Position " + symbol);

return; //ClosePosition(wichposition.PosID);

}

PositionOrder newPos = new PositionOrder();

newPos.OrderSymbol = symbol;

newPos.PositionType = PositionType.Long;

newPos.OrderType = OrderType.Limit;

newPos.LimitPrice = bar.High;

newPos.BarsValid = 3;

PositionManager.OpenPosition(newPos);

Console.WriteLine("Open Long "+symbol);

ctext=String.Format("{0}","Koop");

double ypoint=(bar.Open > bar.Close) ? bar.Open : bar.Close; // Use higher point y-axis.

ChartLabel lbl1 = new ChartLabel(new ChartPoint(point, ypoint+0.03),"Buy"+BuyLong);

lbl1.TextColor=Color.DarkBlue;

lbl1.LabelFont=new Font("Verdana",12,FontStyle.Bold);

ChartObjects.Add(symbol, lbl1);

}

if (SellLong>=1){

foreach (Position whichposition in myPositions) {

ClosePosition(whichposition.PosID);

//PositionManager.SetProfitTarget(whichposition.PosID,bar.Low,false);

ctext=String.Format("{0}","Verkoop");

double ypoint=(bar.Open > bar.Close) ? bar.Open : bar.Close; // Use higher point y-axis.

ChartLabel lbl = new ChartLabel(new ChartPoint(point, bar.Low-0.01),"Sell"+SellLong);

lbl.TextColor=Color.DarkBlue;

lbl.LabelFont=new Font("Verdana",12,FontStyle.Bold);

ChartObjects.Add(symbol, lbl);

//if(!retVal.Success){

Console.WriteLine("Position Closed "+ symbol+" "+ buypow);//}

}

playSimpleSound();

}

if (bars.Count > 17)

{

// Clear the previous lines from the chart. This will

// allow for a single line that is always drawn against the

// most recent bar.

if (ChartObjects[symbol] != null)

{

ChartObjects[symbol].Clear();

}

// Retrieve our starting bar

BarData firstBar = SystemData.SymbolBars[symbol][bars.Count - 18];

// Create a ChartPoint object against the "first" bar using the low price as the Y coordinate.

ChartPoint startPoint = new ChartPoint(firstBar.PriceDateTime, firstBar.Low);

// Create the end point object using the current bar and the lower as the Y coordinate.

ChartPoint endPoint = new ChartPoint(bar.PriceDateTime, bar.Low);

// Instantiate a ChartLine object. The line will be 2 pixels wide and painted dark green.

ChartLine line = new ChartLine(startPoint, endPoint, Color.Pink, 2);

// Add this object to the chart objects collection in the system. This will allow the

// object to be referenced later and also allows the object to be displayed on a chart

// after the system runs.

ChartObjects.Add(symbol, line);

}

//string pos = PositionManager.GetOpenPositions();

Actions.RunActions(symbol);

}

private void playSimpleSound()

{

simpleSound.Play();

}

private void OrderFilled(Object src, OrderFilledEventArgs e)

{

Symbol FillSymbol = e.Position.Symbol;

string FillName = e.Position.Symbol.Name;

string FillId = e.Position.PosID;

double FillPrice = e.Trade.Price.SymbolPrice;

ulong FillSize = e.Trade.Size;

DateTime FillTime = e.Trade.FilledTime;

OrderType Ordertype = e.Trade.OrderType;

double buypowChange = e.Trade.BuyingPowerChange;

if(e.PositionState==Position.State.Open){

buyreserve -= buypowChange;

buypow+= buypowChange;

}

if(e.PositionState==Position.State.Closed){

buyreserve += buypowChange;

buypow += buypowChange;

//Console.WriteLine(Trade.Price);

}

Console.WriteLine("BuyingPower Change = {0},Naam: = {1} Openings prijs = {2}, Aantal aandelen = {3}, BuyingPower = {4}",buypowChange,FillName,FillPrice,FillSize,buypow);

}

public void OrderStatus(PositionManager.TradeOrderAndOrder to, Position pos, Position.State state, string information)

{

int canc=information.IndexOf("cancel"); // "cancelled" is spelled a couple of different ways in the messages.

if(to.Order.OrderType == OrderType.Limit && // Is it a buy-limit order?

(state == Position.State.None || // Has state changed to None? OR

canc > -1 ) ) // Is "Cancel" in the message?

{

buyreserve -= PositionManager.FixedAmountPerPosition; // Undo reserve.

}

Anyone making a consistent profit with a live system?

tbwerz — Thu, 16 Aug 2007 18:48:03 GMT

I am new to automated trading systems but have a pretty solid IT/data mining background and tried my hand at daytrading a couple years back (making a small profit). I was just curious as to how other people who are running live systems are doing and how much work it's been (both good and bad experiences). I'm not asking for you to share your methods if you don't want to.

-Tom

Historical Data

RJ — Thu, 17 Jan 2008 10:53:52 GMT

I am getting my historical data from OpenTick and the interface works great! Much better than trying to get the data from IB. My only issue is that OpenTick sends data for the extended sessions (before and after market hours) and throws off many of my charts.

1. Is there a param in RightEdge I can set so these extended periods are not loaded in my database?

If not, I guess I'll just load minute bars and manually delete these extended bars everytime I do a load. I'll then consolidate the bars in my formulas.

History in live system

greg — Wed, 16 Jan 2008 11:52:03 GMT

When a live system is started the Bars list is empty.
How to fill the list with all history data available so the system can use the history bars as well as new coming live bars?

Can you make a system that generates signals off one symbol but trades another symbol?

Giffen — Mon, 05 Nov 2007 13:58:07 GMT

That is generate the buy and sell points using one series, but then execute them (and calculate profit/loss) on another series.

Console output ...

Siasb — Sun, 18 Feb 2007 12:55:45 GMT

Unless I am missing something or we need specific methods, it seems that

Console.WriteLine("Test");

Does not produce anything in the output pane.

Bar Frequency

RJ — Fri, 26 Oct 2007 12:46:36 GMT

Guys,

I have several formulas working on symbols that have a daily bar history. Now I want to run some modified formulas on weekly bar data for the same symbols. How can I assign bar frequency in a formula? I see the barfrequency property but no example of how to apply it. I mean, if I have daily data, shouldn't I be able to aggregate?

Finding Stocks with 3-Month High Volume

sarah — Wed, 10 Oct 2007 23:12:02 GMT

I have a bunch of Wealth-lab scripts which finds stocks with particular criteria and stores them in watchlists. I am trying to port them to RE. Here is one of the scripts which finds all stocks with 3-Month High Volume:

  1 var symbolCounter, counter2, bar: integer;
  2 var is3MHigh : boolean;
  3 
  4 WatchListClear( '3-M High Volume' );
  5 
  6 EnableSynch( false );
  7 counter2 := 0;
  8 for symbolCounter := 0 to WatchListCount - 1 do
  9 begin
 10     PrintStatus('Running: ' + IntToStr(symbolCounter+1) + '/' + IntToStr(WatchListCount));
 11     SetPrimarySeries( WatchListSymbol( symbolCounter ));
 12     if( BarCount < 66 ) then
 13         continue;
 14 
 15     is3MHigh := true;
 16     for bar := BarCount - 66 to BarCount - 2 do
 17         if( @#Volume[bar] >= @#Volume[BarCount-1] ) then
 18             is3MHigh := false;
 19 
 20     if( is3MHigh ) then
 21     begin
 22         WatchListAddSymbol( '3-M High Volume', '', GetSymbol );
 23         counter2 := counter2 + 1;
 24     end;
 25 end;
 26 RestorePrimarySeries();
 27 
 28 Print( 'Number of 3-M High Volume stocks = ' + IntToStr( counter2 ));
 29

Can anybody help me in writing the equivalent RE script ?

How do we post code here? I tried "code" IFCode, but that didn't work. I had to use some tricks to post the above code.

Stochastic Formula Question

RJ — Fri, 21 Sep 2007 14:46:48 GMT

I'm just starting to write some systems and need some help with some code. Below I'm trying to do a simple Stoch crossover buy and sell. However I don't think it recognizes my inputs as a series or something. I can get it to run and plot the stoch indicators, but I get an error when trying to evaluate the crossover. Below is the code and error. I'm sure this is a simple fix.

Imports System

Imports System.Drawing

Imports System.Collections.Generic

Imports RightEdge.Common

Imports RightEdge.Indicators

Public Class SystemMain

Inherits SystemBase

Public Overloads Overrides Sub Startup()

' Perform initialization or set system wide options here

' Construct our two simple moving averages.

Indicators("Stoc1").CreateIndicator(New StochasticOscillator(10,3))

Indicators("StocD").CreateIndicator(New StochasticOscillatorD(10,3,3))

' Note: SMA's are chainable indicators and can use

' bar elements as well as other indicators as input. In this

' case, we'll simply set the input as the bar's closing price

' Set the line color to green.

Indicators("Stoc1").SeriesColor = Color.Blue

Indicators("StocD").SeriesColor = Color.Red

' Let's make our signal line dashed.

Indicators("Stoc1").LineType = SeriesLineType.Solid

Indicators("StocD").LineType = SeriesLineType.Solid

Indicators("Stoc1").ChartPaneName = "Stoch"

Indicators("StocD").ChartPaneName = "Stoch"

' Add this indicator to the charts.

Indicators("Stoc1").AddToCharts()

Indicators("StocD").AddToCharts()

End Sub

Public Overloads Overrides Sub NewSymbolBar(ByVal symbol As Symbol, ByVal bar As BarData)

' Get the indicator instances for this symbol at this bar

Dim iStoch1 As ISeries = Indicators("Stoch1")(symbol)

Dim iStochD As ISeries = Indicators("StochD")(symbol)

' Test for a crossover. This is our buy signal

If SystemUtils.CrossOver(iStoch1,iStochD) Then

' They've crossed, open a long position

OpenPosition(symbol, PositionType.Long, OrderType.Market)

End If

If SystemUtils.CrossUnder(iStoch1,iStochD) Then

' See if there are any positions to be closed.

Dim positions As List (Of Position) = PositionManager.GetOpenPositions(symbol)

For Each position As Position In positions

ClosePosition(position.PosID)

End If

' This line of code runs the actions you have set up in in the Project Form

Actions.RunActions(symbol)

End Sub

End Class

And the Error is:

An exception of type System.NullReferenceException was thrown.
Object reference not set to an instance of an object.
at RightEdge.Common.SystemUtils.CrossOver(ISeries Signal, ISeries Base)
at SystemMain.NewSymbolBar(Symbol symbol, BarData bar) in C:\Program Files\Yye Software\RightEdge\Samples\Sample Systems\VB.NET\StochCrossOver\CrossOver.vb:line 46
at RightEdge.Common.SystemBase.NewBar()
at RightEdge.SystemWrapper.NewBar(Dictionary`2 bars)
at RightEdge.SystemWrapper.x52ef4d2a0d98271a(SystemData x98d4678c2951cc7a, SystemRunInfo x9d1811d594cb536b, Dictionary`2 x2c50334dbe0bafd0, String xe7444de1f6d6a785)
at RightEdge.SystemWrapper.RunSystem(DateTime start, String filename)
at RightEdge.SystemWrapper.RunSystem(DateTime start, String filename)
at RightEdge.TradingModuleWrapper.RunSystem(SystemDataCreationSettings settings, Dictionary`2 historicalData, SystemRunInfo dndInfo, String brokerService)
at RightEdge.SystemProgress.InitAndRunSystem()

RightEdge w/ Visual Studio

garachen — Wed, 19 Sep 2007 20:22:08 GMT

I've read through these form posts and it seems that several times it is hinted that I'd be able to use the RightEdge assemblies directly in Visual Studio and be able to bypass the rest of the framework entirely.

I'm not talking about using Visual Studio to create a plug-in. That is straight-forward. I mean using VS to create several different strategies (sometimes w/ same and sometimes different instruments) and to run all these strategies simultaneously. I've heard that you're working on a multi-strategy implementation but I think it's unlikely that it will provide three things I'd need desperately:

a) The strategies would all have to be able to communicate position and risk information to each other so that they can both adjust the level of additional risk they will take on and send the information to another strategy - a hedger.

b) VS's nice debugging tools.

c) custom GUI's to tweak the strategies while they are running

Is there some walk through for exactly what the rightedge framework does when it starts to run a strategy and if there would be any conflict running multiple strategies at once through VS?

One more question - about indicators. All the data I use is tick data but I can't seem to get an indicator to work on tick data - just bars - which is not what I'm going for.

Saving and Restoring Position Data

phoebe007 — Sun, 09 Sep 2007 01:45:19 GMT

Hi,

I am new to RightEdge and have built a fairly simple trading system. I use the system to make purchases but these purchases aren't exactly as the output dictates, and I don't make all trades suggested.

I am looking for a way to tell the system which trades I HAVE made so that it knows about these and can give sell signals each time I run the system.

Is this possible somehow through serialization and deserialization of position data? Which classes/methods would I use?

Thank you in advance

Phoebe

System Results Differ

kaizen — Fri, 24 Aug 2007 08:11:04 GMT

I have a trading system that I coded for one symbol only but have moved it to trade multiple systems by using a dictionary to store values for each symbol. For some reason the system with the dictionary has different results. It only takes 8 trades while the other one takes 15. Can any one see what I have done wrong as I can't

[code]
Imports System
Imports System.Drawing
Imports RightEdge.Common.ChartObjects
Imports System.Drawing.Text
Imports System.Collections.Generic
Imports RightEdge.Common
Imports RightEdge.Indicators

Public Class SystemMain
Inherits SystemBase

Private breakout As New Dictionary(Of String, BreakOutInfo.SymbolStatus)
Dim symbolBreakout As BreakOutInfo.SymbolStatus

Public Overrides Sub Startup()
' Perform initialization or set system wide options here

AddHandler PositionManager.OrderFilled, AddressOf OrderFilled
AddHandler PositionManager.OrderUpdated, AddressOf OrderUpdated

Indicators("ATR").CreateIndicator(New AverageTrueRange(SystemParameters.Item("ATR")))
Indicators("ATR").SeriesColor = Color.Red
Indicators("ATR").ChartPaneName = "ATRPane"
Indicators("ATR").AddToCharts()

PositionManager.PositionTimeOut = 0
PositionManager.ProfitTarget = 0
PositionManager.StopLoss = 0

SystemData.Output.OutputLines.Clear()

End Sub

Public Overrides Sub NewSymbolBar(ByVal symbol As Symbol, ByVal bar As BarData)
' This line of code runs the actions you have set up in in the Project Form

Dim bars As List(Of BarData) = SystemData.BarCollections(symbol)
Dim pricePane As ChartPane = GetPricePane(symbol)

If Not breakout.ContainsKey(symbol.Name) Then
breakout.Add(symbol.Name, symbolBreakout)
'SystemData.Output.Add(OutputSeverityLevel.Informational, "1")
Else
breakout.TryGetValue(symbol.Name, symbolBreakout)
'SystemData.Output.Add(OutputSeverityLevel.Informational, "2")
End If

If bars.Count > 8 And Not symbolBreakout.blnLookingforBreakout And PositionManager.GetOpenPositions.Count = 0 Then ' ensure we have enough bars to proceed

If bars.Item(bars.Count - 4).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 4).Low > bars.Item(bars.Count - 5).Low Then
If bars.Item(bars.Count - 3).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 3).Low > bars.Item(bars.Count - 5).Low Then
If bars.Item(bars.Count - 2).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 2).Low > bars.Item(bars.Count - 5).Low Then
If bars.Item(bars.Count - 1).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 1).Low > bars.Item(bars.Count - 5).Low Then
'if we are here we may want to place a trade
pricePane.SetBarColor(bar, bar, Color.LimeGreen)

symbolBreakout.blnLookingforBreakout = True

'Get our Breakout price +/- 2 pips
symbolBreakout.dblHighPrice = BarUtils.HighestHigh(bars, bars.Count - 4, 4) '+ (GetOnePip(symbol) * 2))
symbolBreakout.dblLowPrice = BarUtils.LowestLow(bars, bars.Count - 4, 4) '- (GetOnePip(symbol) * 2))
symbolBreakout.strSymbol = symbol.Name

End If
End If
End If
End If

End If

'check the date/time to make sure we are not on a weekend.
If bar.PriceDateTime.DayOfWeek = DayOfWeek.Saturday Or bar.PriceDateTime.DayOfWeek = DayOfWeek.Sunday _
Or (bar.PriceDateTime.DayOfWeek = DayOfWeek.Friday And bar.PriceDateTime.Hour >= 13) Then
symbolBreakout.blnLookingforBreakout = False
symbolBreakout.dblHighPrice = 0
symbolBreakout.dblLowPrice = 0
End If

If symbolBreakout.blnLookingforBreakout And PositionManager.GetOpenPositions.Count = 0 Then
SystemData.Output.Add(OutputSeverityLevel.Informational, symbolBreakout.dblHighPrice.ToString & " " & bar.PriceDateTime.ToString("yyyy-MM-dd") & " " & bar.PriceDateTime.ToLongTimeString)
OpenPosition(symbol, PositionType.Long, OrderType.Stop, symbolBreakout.dblHighPrice)
OpenPosition(symbol, PositionType.Short, OrderType.Stop, symbolBreakout.dblLowPrice)
End If

Actions.RunActions(symbol)

'clean up
'symbolBreakout = Nothing

End Sub

Private Sub OrderFilled(ByVal trade As Trade, ByVal pos As Position, ByVal state As Position.State)
Dim pt As Double
Dim sl As Double
Dim ATRSeries As ISeries = Indicators("ATR")(pos.Symbol)
Dim ATRValue As Double = ATRSeries(ATRSeries.Count - 1)

If state = Position.State.Closed Then Exit Sub

'Set the TP and SL levels with the ATR value
If trade.Type = BrokerTransactionType.Buy Then
pt = trade.Price + (SystemParameters.Item("ATRTP") * ATRValue)
sl = trade.Price - (SystemParameters.Item("ATRSL") * ATRValue)
Else
pt = trade.Price - (SystemParameters.Item("ATRTP") * ATRValue)
sl = trade.Price + (SystemParameters.Item("ATRSL") * ATRValue)
End If

'update the sl and tp levels
PositionManager.SetProfitTarget(pos.PosID, pt, False)
PositionManager.SetStopLoss(pos.PosID, sl, False)

If Not breakout.ContainsKey(pos.Symbol.Name) Then
breakout.Add(pos.Symbol.Name, symbolBreakout)
Else
breakout.TryGetValue(pos.Symbol.Name, symbolBreakout)
End If

symbolBreakout.blnLookingforBreakout = False
symbolBreakout.dblHighPrice = 0
symbolBreakout.dblLowPrice = 0

'clean up
symbolBreakout = Nothing

End Sub

Private Sub OrderUpdated(ByVal tando As RightEdge.Common.PositionManager.TradeOrderAndOrder, ByVal pos As RightEdge.Common.Position, ByVal state As RightEdge.Common.Position.State, ByVal information As String)

End Sub

Private Function GetOnePip(ByVal Symbol As String) As Double

If Symbol.IndexOf("JPY") > 0 Then
GetOnePip = 0.01
Else
GetOnePip = 0.0001
End If

End Function

Class BreakOutInfo
' Add or delete 'rules' to this structure definition.
' Items are initialized to default values that cannot be changed
' in the structure definition; see the constructor.
Public Structure SymbolStatus
Public blnLookingforBreakout As Boolean
Public dblHighPrice As Double
Public dblLowPrice As Double
Public outsidebar As BarData
Public strSymbol As String
End Structure

Public theStatus As SymbolStatus

' Instantiate this in Startup()
Public Sub New()

theStatus.blnLookingforBreakout = False
theStatus.dblHighPrice = 0
theStatus.dblLowPrice = 0
theStatus.strSymbol = ""

End Sub

End Class

End Class

[/code]
[b]
System without Dictionary[/b]

[code]
Imports System
Imports System.Drawing
Imports RightEdge.Common.ChartObjects
Imports System.Drawing.Text
Imports System.Collections.Generic
Imports RightEdge.Common
Imports RightEdge.Indicators

Public Class SystemMain
Inherits SystemBase

Private breakout As New BreakOutInfo.SymbolStatus '. New Dictionary(Of String, BreakOutInfo.SymbolStatus)

Public Overrides Sub Startup()
' Perform initialization or set system wide options here

AddHandler PositionManager.OrderFilled, AddressOf OrderFilled
AddHandler PositionManager.OrderUpdated, AddressOf OrderUpdated

Indicators("ATR").CreateIndicator(New AverageTrueRange(SystemParameters.Item("ATR")))
Indicators("ATR").SeriesColor = Color.Red
Indicators("ATR").ChartPaneName = "ATRPane"
Indicators("ATR").AddToCharts()

PositionManager.PositionTimeOut = 0
PositionManager.ProfitTarget = 0
PositionManager.StopLoss = 0

SystemData.Output.OutputLines.Clear()

End Sub

Public Overrides Sub NewSymbolBar(ByVal symbol As Symbol, ByVal bar As BarData)
' This line of code runs the actions you have set up in in the Project Form

Dim bars As List(Of BarData) = SystemData.BarCollections(symbol)
Dim pricePane As ChartPane = GetPricePane(symbol)

If bars.Count > 8 And Not breakout.blnLookingforBreakout And PositionManager.GetOpenPositions.Count = 0 Then ' ensure we have enough bars to proceed

If bars.Item(bars.Count - 4).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 4).Low > bars.Item(bars.Count - 5).Low Then
If bars.Item(bars.Count - 3).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 3).Low > bars.Item(bars.Count - 5).Low Then
If bars.Item(bars.Count - 2).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 2).Low > bars.Item(bars.Count - 5).Low Then
If bars.Item(bars.Count - 1).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 1).Low > bars.Item(bars.Count - 5).Low Then
'if we are here we may want to place a trade
pricePane.SetBarColor(bar, bar, Color.LimeGreen)

breakout.blnLookingforBreakout = True

'Get our Breakout price +/- 2 pips
breakout.dblHighPrice = BarUtils.HighestHigh(bars, bars.Count - 4, 4) '+ (GetOnePip(symbol) * 2))
breakout.dblLowPrice = BarUtils.LowestLow(bars, bars.Count - 4, 4) '- (GetOnePip(symbol) * 2))
breakout.strSymbol = symbol

End If
End If
End If
End If

End If

'check the date/time to make sure we are not on a weekend.
If bar.PriceDateTime.DayOfWeek = DayOfWeek.Saturday Or bar.PriceDateTime.DayOfWeek = DayOfWeek.Sunday _
Or (bar.PriceDateTime.DayOfWeek = DayOfWeek.Friday And bar.PriceDateTime.Hour >= 13) Then
breakout.blnLookingforBreakout = False
breakout.dblHighPrice = 0
breakout.dblLowPrice = 0
End If

If breakout.blnLookingforBreakout And PositionManager.GetOpenPositions.Count = 0 Then
OpenPosition(symbol, PositionType.Long, OrderType.Stop, breakout.dblHighPrice)
OpenPosition(symbol, PositionType.Short, OrderType.Stop, breakout.dblLowPrice)
End If

Actions.RunActions(symbol)

End Sub

Private Sub OrderFilled(ByVal trade As Trade, ByVal pos As Position, ByVal state As Position.State)
Dim pt As Double
Dim sl As Double
Dim ATRSeries As ISeries = Indicators("ATR")(pos.Symbol)
Dim ATRValue As Double = ATRSeries(ATRSeries.Count - 1)

If state = Position.State.Closed Then Exit Sub

'Set the TP and SL levels with the ATR value
If trade.Type = BrokerTransactionType.Buy Then
pt = trade.Price + (SystemParameters.Item("ATRTP") * ATRValue)
sl = trade.Price - (SystemParameters.Item("ATRSL") * ATRValue)
Else
pt = trade.Price - (SystemParameters.Item("ATRTP") * ATRValue)
sl = trade.Price + (SystemParameters.Item("ATRSL") * ATRValue)
End If

'update the sl and tp levels
PositionManager.SetProfitTarget(pos.PosID, pt, False)
PositionManager.SetStopLoss(pos.PosID, sl, False)

breakout.blnLookingforBreakout = False
breakout.dblHighPrice = 0
breakout.dblLowPrice = 0

End Sub

Private Sub OrderUpdated(ByVal tando As RightEdge.Common.PositionManager.TradeOrderAndOrder, ByVal pos As RightEdge.Common.Position, ByVal state As RightEdge.Common.Position.State, ByVal information As String)

End Sub

Private Function GetOnePip(ByVal Symbol As String) As Double

If Symbol.IndexOf("JPY") > 0 Then
GetOnePip = 0.01
Else
GetOnePip = 0.0001
End If

End Function

Class BreakOutInfo
' Add or delete 'rules' to this structure definition.
' Items are initialized to default values that cannot be changed
' in the structure definition; see the constructor.
Public Structure SymbolStatus
Public blnLookingforBreakout As Boolean
Public dblHighPrice As Double
Public dblLowPrice As Double
Public outsidebar As BarData
Public strSymbol As String
End Structure

Public theStatus As SymbolStatus

' Instantiate this in Startup()
Public Sub New() ' ByVal systemData As SystemData

theStatus.blnLookingforBreakout = False
theStatus.dblHighPrice = 0
theStatus.dblLowPrice = 0
theStatus.strSymbol = ""

End Sub

End Class
End Class
[/code]

Not sure what is going on with the code tags either. I can not get them to work.

Simulating FX trading with RE

russ1111 — Sun, 19 Aug 2007 09:54:53 GMT

Hi,

I am just having a look through RE at the moment and am interested to know if anyone has accurately simulated the effects of spread for FX systems.

I have used Wealth Lab in the past and wrote my own functions to correctly model stop orders when using mid data. Is there anything already out there?

Cheers

Russel

GotTickData TickListener: how does it work?

sh2mg136 — Wed, 01 Aug 2007 07:23:54 GMT

Hello
Does anyone have working realtime data retrival plugin code?
Please help :)
Don`t understand how does this [b]TickListener[/b] property works :(

Troubles with Custom Settings

sh2mg136 — Mon, 06 Aug 2007 04:44:30 GMT

Hi
Could you put some more information about adding custom settings in ( for example ) DataRetrieval plugin?
I try this [url=http://www.rightedgesystems.com/forums/Topic1377-11-1.aspx?Highlight=PaperTraderSettings]New methods added to IService Interface[/url] example, but settings are not saved after CustomSEttings Dialog closed.

if (dlg.ShowDialog() == System.Windows.Forms.DialogResult.OK)
{
settings["FlatCommission"] = dlg.FlatCommission.ToString();
...
??? how can I save my custom settings? :)

Another words, does RE do it automaticaly :) or I must use my own methods to save settings in (for example) Registry and restore it when CustomSettingDialog opened?
Could you put fully functional example pleeease? :)
---
sorry for my english and thnx,
sh2mg136

Looking to Create Crude Oil Trading System

davidfw1866 — Fri, 11 May 2007 11:41:57 GMT

I would like to create an automated system to day-trade crude oil futures.

If you would like to collaborate with me, please reply.

Thanks.

Spread Trading System

Mr. H — Thu, 02 Aug 2007 17:08:26 GMT

Hi All,

I appreciate if anyone would code the following spread trading idea into an indicator/system for RightEdge:
If (3*InstrumentA) - (2*InstrumentB) <= Variable X then
Buy 3 contracts of InstrumentA and
Sell 2 contracts of InstrumentB at market price;
If Total Open Profit >= Variable Y then
Exit all positions at Market Price;

_____________
Keep it Simple,

Mr. H

Breakout System

kaizen — Tue, 24 Jul 2007 08:54:26 GMT

Hi Guys,

Need a little help on this.

I want to make a breakout system that looks for trading ranges and then when they a re broken it will go long or short. See attached screen shot for more info.

1. There needs to be at least 4 bars inside one bar range before we can look to take a trade. (Bar 1 on screen shot)
2. We then need to save the highest and lowest point of the 4 inside bars. This give us our go long breakout price and short breakout price
3. I never know how many bars it will be until we breakout but we always use the range of the fours bars after the wide range bar.

The code below is where I got to. The problem is with saving and reseting the high/low values to place a trade.

[code]
Imports System
Imports System.Drawing
Imports System.Collections.Generic
Imports RightEdge.Common
Imports RightEdge.Indicators

Public Class SystemMain
Inherits SystemBase

Public Overrides Sub Startup()
' Perform initialization or set system wide options here

AddHandler PositionManager.OrderFilled, AddressOf OrderFilled

PositionManager.PositionTimeOut = 0

End Sub

Public Overrides Sub NewSymbolBar(ByVal symbol As Symbol, ByVal bar As BarData)
' This line of code runs the actions you have set up in in the Project Form

'SystemData.Output.Add(OutputSeverityLevel.Informational, System.Math.Round(LRValue, 4).ToString("N5") & " ~ " & bar.PriceDateTime.ToString)
Dim bars As List(Of BarData) = SystemData.BarCollections(symbol)
Dim pricePane As ChartPane = GetPricePane(symbol)

Static highPrice As Double 'we need to reset these values once a trade is taken
Static lowPrice As Double

If bars.Count > 8 Then ' ensure we have enough bars to proceed

If bars.Item(bars.Count - 4).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 4).Low > bars.Item(bars.Count - 5).Low Then
If bars.Item(bars.Count - 3).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 3).Low > bars.Item(bars.Count - 5).Low Then
If bars.Item(bars.Count - 2).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 2).Low > bars.Item(bars.Count - 5).Low Then
If bars.Item(bars.Count - 1).High < bars.Item(bars.Count - 5).High And bars.Item(bars.Count - 1).Low > bars.Item(bars.Count - 5).Low Then
'if we are here we may want to place a trade
pricePane.SetBarColor(bar, bar, Color.Orange)
highPrice = BarUtils.HighestHigh(bars, bars.Count - 4, 4)
lowPrice = BarUtils.LowestLow(bars, bars.Count - 4, 4)
End If
End If
End If
End If

End If

If PositionManager.GetOpenPositions.Count = 0 Then

OpenPosition(symbol, PositionType.Long, OrderType.Limit, highPrice)
OpenPosition(symbol, PositionType.Short, OrderType.Limit, lowPrice)

End If

Actions.RunActions(symbol)

End Sub

Private Sub OrderFilled(ByVal trade As Trade, ByVal pos As Position, ByVal state As Position.State)
Dim pt As Double
Dim sl As Double

If state = Position.State.Open Then
'Set the TP and SL levels
If PositionType.Long Then
pt = trade.Price + SystemParameters.Item("TP")
sl = trade.Price - SystemParameters.Item("SL")
Else
pt = trade.Price - SystemParameters.Item("TP")
sl = trade.Price + SystemParameters.Item("SL")
End If

PositionManager.SetProfitTarget(pos.PosID, pt, False)
PositionManager.SetStopLoss(pos.PosID, sl, False)

End If
End Sub

End Class

[/code]

RTD Throughput/Desing Problem

tobriain — Thu, 28 Jun 2007 12:12:12 GMT

Hello,

I hope one of you have found a solution to the following problem before. . . Thanks in advance if you have.

I have to implement an interface defined in an external program - I must have a method Notify() in my object toimplement that interface. When there's an update, the Notify() method is called by the external program. I can then collect any updates with a method call that returns a System.Array consisting of an ID (given by me when implementing the connection), and a value.

The problem is that the array that I collect updates from is of fixed size (subsequent updates are not added to the end of the array like a queue. . ), so sometimes by the time I've collected the update, set a member variable in another object to the value (m_Object.SomeValue) and returned to respond to any subsequent Notify() calls, the updates have been overwritten and I've missed some updates. . . Not great. I've removed any calculations I was doing in these Set() methods, but it still doesn't return in time. .

This is a sample of my set-up:

ManualResetEvent m_NotifyEvent;
Thread m_UpdateThread;
. . . .
m_NotifyEVent = new ManualResetEvent(false);
m_UpdateTHread = new THread(new ThreadStart(RTDUpdates));
m_UpdateThread.Start();
... . .. .

private void RTDUpdates()
{
m_NotifyEVent.WaitONe();

System.Array arrValues = m_RTDServer.RefreshData();
if(arrValues > 0)
{
for (int i =0; i {
int[] index1 = {0,i};
int TopicID = Convert.ToInt32(arrValues.GetValue(index1));
int[] index2 = { 1, i };
int TopicValue = Convert.ToInt32(arrValues.GetValue(index2));
switch (TopicID)
{
case 0:
m_Object.BidPrice = TopicValue;
break;
case 0:
m_Object.AskPrice = TopicValue;
break;
case 0:
m_Object.LastPrice = TopicValue;
break;
case 0:
m_Object.LastQuantity = TopicValue;
break;
}
}
m_NotifyEvent.Reset();
}
. . . .

public void UpdateNotify()
{

m_NotifyEvent.Set();
}

How can I concentrate on maintaining the proper state of the variables i'm setting by collecting the updates and immediately putting them into some kind of FIFO list.

Best regards,

Tom.