RightEdge Forums / Trading / Trading Systems

Weekly strategies

pch — Mon, 01 Mar 2010 12:07:38 GMT

Hi,

I am evaluating your product, and I am so far very impressed. Congratulations to the development team.

I am trying to adapt a certain number of strategies I had developed with Multicharts in EasyLanguage.
I a stuck with a problem related to weekly strategies. I would like my weekly strategies to be calculated on the last day of every week, and not on any other day.
Is there a parameter which I could adjust or an instruction I could include in my code to obtain this result ?

Thanks in advance ,
Regards,

Pierre

Could I raise a sign at 1 hour bar but trade at tick type?

qichxi — Mon, 08 Mar 2010 07:07:03 GMT

Hi,My system raise the buy sign at hour bar but trade at tick period. Is it available in RE?

When i buy a position, then I wanna have a SMA on tick period or tailingstop on tick period, is it possible?

Daily Trading NewBar() other than Midnight

invingator — Thu, 04 Mar 2010 21:50:27 GMT

Is there a way to have a daily trading strategy where RightEdge fires the NewBar() event/method at a time other than midnight? If your RE was not running at midnight you would lose the NewBar() event?...Is there a way to trigger it later?

We also investigated using say, 1-minute bars, and configured them to return the latest historical datapoint. The problem with that was that when we did .LookBack(x), it would think in terms of minutes rather than days...is there a way to link a "fake" minute bar frequency that would run after hours and return the prices as of 4:00 pm, but use lookbacks in terms of days?

Thank you!

Trading system interaction with Interactive Brokers via TWS

invingator — Wed, 10 Feb 2010 10:58:09 GMT

Hi,

I have a trading system that works fine in simulation. When it is linked to IB via TWS, it does not seem to work. I would also try to submit discretionary orders, they would get registered in RE, but they would not show up in TWS. I am able to download historical data via TWS, and the API tab appears, which tells me that the interaction between RE and TWS is working...at least partially, since nothing shows up on the API tab in TWS.

I also tried to synch positions in RE from TWS:
BrokerAccountState myAccount = new BrokerAccountState();
List pendingOrders = myAccount.PendingOrders;
List positions = myAccount.Positions;

The counts of both pendingOrders and positions is zero - even though in TWS there are orders.

I am using Windows 7 Ultimate 64bit, with Java 32 and 64 bit (both versions installed), and TWS 4 (I had to install Java 32 bit after I already had it 64-bit, in order for TWS to install - it would not otherwise).

Also - the license I had for RE 2008 Ed 2 does not work with RE 2010 RC1.

I would appreciate some insight into this situation.

Thank you.

Accessing System Parameters

pch — Thu, 25 Feb 2010 05:24:50 GMT

Hi,

I am brand new to RE, actually quite new to C# as well, and just downloaded the 2010 environment.
I am trying to start with a simplistic MA crossover system, which I would like to try and optimize just to understand how it works.
I have declared a System Parameter called "Length" in the Properties of the trading system.
I am trying to reference this parameter with the following instruction in my code :
static int maLength = SystemParameters["Length"] ;

I have not been able to compile the code because of the following error :
An object reference is required for the non-static field, method, or property 'RightEdge.Common.SymbolScriptBase.SystemParameters.get'

Could someone please help me with this ?
Thanks in advance,

Pierre

Sorry for disturbing : this is solved. It just required to put the instruction in the proper paragraph of the code, and not to forget to convert the parameter which is double to int via :
maLength = System.Convert.ToInt32(SystemParameters["Length"]) ;

Pierre

Is it possible to build a risk reward analysis screen/calculator in RE for open/opening positions?

Saxo — Sat, 20 Feb 2010 04:25:11 GMT

I have found this tool http://www.marginaccountcalc.com that has a special section http://www.marginaccountcalc.com/#risk1 that I was wondering if it was possible to implement in RE (for screenshot see http://www.marginaccountcalc.com/screens7large.html). It is especially the:

- Open Risk

- Open Risk (%)

- Account Open Risk

- Account Open Risk (%)

- that I’m interested in for stocks and futures. I’m an IB customer but I was told that IB TWS does not have the functionality to so open risk per position (difference between current price and price on stop order). IB told me that I could request this functionality – but perhaps it is faster to build it in RE?

Furthermore I would like to be able to input my orders manually via RE. When I input an order I always want to place:

- Order for profit target (fixed target)

- An order (marked or limit) for actually opening the position

- A stop order (trailing or fixed amount)

Based on account balance and parameter stating how much I’m willing to risk on the trade (e.g. 0.5% of account balance) it will calculate the nominal for the order (which it can do if I type in the stop order at the same time). So I imagine some sort of popup where I can type in the 3 orders mentioned above & the risk percentage and get the risk/reward ratio along this the nominal before I place the order. Is this possible?

Finally, I want to know how easily I can manually adjust the profit target order and stop order within RE once a position has been initiated (i.e. move profit target up/down)?

PS: I not (yet) a RE customer - although I tried out the free demo some time ago (and I liked what i saw).

Chandelier Exit

zykem — Fri, 19 Feb 2010 18:31:36 GMT

Hi,

Has anyone implemented the Chandelier Exit yet? If possible can you post the code, or maybe just give some hints. It looks like I will have to adjust the tailing stop for the position in the NewBar() method based on what the value for the trail stop is...

Thanks

Trading system that uses 2 timeframes

jeremytang — Thu, 11 Feb 2010 14:26:48 GMT

Hi, I just downloaded the trial to see if RightEdge will suit my needs... great platform! This is basically what I've been looking for and will save me a great deal of time!

I'm working on a system that uses two seperate time frames and makes buy/sell decisions based on both a 1 min ADX/DMI and 3 min ADX/DMI chart. Is it possible to do this easily in RE? I realize you can probably just go with the 1 min data, and then recreate the 3 min bars based off that data coming in... but is there an easier way? And more importantly is there a way to "visualize" this so I can see if my system code is working as intended?

** EDIT: looks like I've basically figured out how to do this going through the discussion forums and the SimpleSMA example.

Also, another question, unrelated - and forgive me if this answer is already out there, but can you buy and sell options based on the analysing the underlying? IE: the system analysis SPY, and instead of buying the stock, it buys the ATM put/call (or some custom strike/expiration). Can option chains be "loaded" manually into the system for analysis?

Jeremy

Backtests are very Slow

gregoryj — Wed, 10 Feb 2010 11:29:55 GMT

I am backtesting 1 year of Bar Data for approx 2000 symbols. Using EMA and MACD indicators only and very few calculations.
The backtest is taking about 20 minutes to run. My comparison for speed is Tradery.com where the same system/symbols takes < 3 mins.

Are there any measures I can take to improve this performance?

Unable to Run Simulation on my Trading System.

sudharsanv — Tue, 09 Feb 2010 19:25:45 GMT

Hi all,

I developed my Trading System. Compiled it. It compiled Successfully.

Then, from my SymbolsList, selected my Symbol and then said System -> Run Simulation.

I get a pop up window with the following error Message: Any ideas on what is wrong?

An exception of type System.Reflection.AmbiguousMatchException was thrown.
Ambiguous match found.
at System.DefaultBinder.BindToMethod(BindingFlags bindingAttr, MethodBase[] canidates, Object[]& args, ParameterModifier[] modifiers, CultureInfo cultureInfo, String[] names, Object& state)
at System.RuntimeType.CreateInstanceImpl(BindingFlags bindingAttr, Binder binder, Object[] args, CultureInfo culture, Object[] activationAttributes)
at System.Activator.CreateInstance(Type type, BindingFlags bindingAttr, Binder binder, Object[] args, CultureInfo culture, Object[] activationAttributes)
at System.Activator.CreateInstance(String assemblyName, String typeName, Boolean ignoreCase, BindingFlags bindingAttr, Binder binder, Object[] args, CultureInfo culture, Object[] activationAttributes, Evidence securityInfo, StackCrawlMark& stackMark)
at System.Activator.CreateInstance(String assemblyName, String typeName, Boolean ignoreCase, BindingFlags bindingAttr, Binder binder, Object[] args, CultureInfo culture, Object[] activationAttributes, Evidence securityInfo)
at System.AppDomain.CreateInstance(String assemblyName, String typeName, Boolean ignoreCase, BindingFlags bindingAttr, Binder binder, Object[] args, CultureInfo culture, Object[] activationAttributes, Evidence securityAttributes)
at System.AppDomain.CreateInstanceAndUnwrap(String assemblyName, String typeName, Boolean ignoreCase, BindingFlags bindingAttr, Binder binder, Object[] args, CultureInfo culture, Object[] activationAttributes, Evidence securityAttributes)
at System.AppDomain.CreateInstanceAndUnwrap(String assemblyName, String typeName, Boolean ignoreCase, BindingFlags bindingAttr, Binder binder, Object[] args, CultureInfo culture, Object[] activationAttributes, Evidence securityAttributes)
at RightEdge.ServiceManagerAppDomainFactory.CreateFactoryInDomain(AppDomain domain)
at RightEdge.Shared.TradingModuleWrapper.RunSystem(SystemDataCreationSettings settings, Dictionary`2 historicalData, SystemRunInfo dndInfo, ServiceAppDomainFactory brokerFactoryFactory)
at RightEdge.SystemProgress.InitAndRunSystem()

Can I post my analysis and trades in this forum?

TraderDTS — Mon, 01 Feb 2010 17:19:22 GMT

Hello Fellow Traders!

To Moderator:

I'm a newbie here.

Can I post my analysis and trades in this forum?

Redistributable trading systems

billb — Tue, 10 Oct 2006 22:00:02 GMT

One of the well tucked away features of RightEdge is the ability to distribute systems without source code. For system writers, this is a great way to protect intellectual property.

After you open/create a system, there is an Export Trading System menu item located off of the File menu. This will create a folder underneath the folder where your source code resides. The folder is named <system name>_redist. This folder will contain the RightEdge project file (.rep extension) and the compiled DLL (assembly). This is all that is needed to run this system. Redistribute those two files (and any dependencies) and it's ready to go.

SQLServer Data Storage bug/error

Largo — Thu, 28 Jan 2010 07:51:45 GMT

I configured RE to store quotes in my SQL Server 2005 Developer Edition. I created database and pointed to it from configuration.

When I tried to start data feed (from IB) then I got:

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

And then:
[code]An exception of type System.Data.SqlClient.SqlException was thrown.
Invalid object name 'BarData'.
w System.Data.SqlClient.SqlConnection.OnError(SqlException exception, Boolean breakConnection)
w System.Data.SqlClient.SqlInternalConnection.OnError(SqlException exception, Boolean breakConnection)
w System.Data.SqlClient.TdsParser.ThrowExceptionAndWarning(TdsParserStateObject stateObj)
w System.Data.SqlClient.TdsParser.Run(RunBehavior runBehavior, SqlCommand cmdHandler, SqlDataReader dataStream, BulkCopySimpleResultSet bulkCopyHandler, TdsParserStateObject stateObj)
w System.Data.SqlClient.SqlDataReader.ConsumeMetaData()
w System.Data.SqlClient.SqlDataReader.get_MetaData()
w System.Data.SqlClient.SqlCommand.FinishExecuteReader(SqlDataReader ds, RunBehavior runBehavior, String resetOptionsString)
w System.Data.SqlClient.SqlCommand.RunExecuteReaderTds(CommandBehavior cmdBehavior, RunBehavior runBehavior, Boolean returnStream, Boolean async)
w System.Data.SqlClient.SqlCommand.RunExecuteReader(CommandBehavior cmdBehavior, RunBehavior runBehavior, Boolean returnStream, String method, DbAsyncResult result)
w System.Data.SqlClient.SqlCommand.RunExecuteReader(CommandBehavior cmdBehavior, RunBehavior runBehavior, Boolean returnStream, String method)
w System.Data.SqlClient.SqlCommand.ExecuteReader(CommandBehavior behavior, String method)
w System.Data.SqlClient.SqlCommand.ExecuteReader()
w RightEdge.DataStorage.SQLServerStorage.xaa94ddc1ef33aa16(String x9f54f786142cfa52, DateTime x56bbcb28163a9162, DateTime x7ef1e98b1a6d2afb, Int32 x9c7694faf01f6330, Boolean x8dbc561fbae4756e)
w RightEdge.DataStorage.SQLServerStorage.LoadBars(SymbolFreq symbol, DateTime startDateTime, DateTime endDateTime, Int32 maxLoadBars, Boolean loadFromEnd)
w RightEdge.Common.OldDataStoreWrapper.x27716114a68ffa6b.Load(DateTime start, DateTime end, Int64 maxItems, Boolean loadFromEnd)
w RightEdge.Common.DataStorageUtil.GetLastBarDate(IDataStore storage, SymbolFreq symbol)
w RightEdge.xfb471916970b0c9e.AddSymbol(SymbolSetup symbol)
w RightEdge.xf266856f631ec016.x241715eb000ca8fc()
w RightEdge.xf266856f631ec016.xa927fcc2ce303480(Object xe0292b9ed559da7d, EventArgs xfbf34718e704c6bc)[/code]

Edition 2 Beta 14

Can RE do that?

Largo — Tue, 12 Jan 2010 15:00:49 GMT

Hi everybody,

I'm looking for platform for automated trading futures instruments through Interactive Brokers.
I tried to implement strategy in OpenQuant, but it lacks of basic functionalities!

So, please confirm if Right Edge allows:
1. Restoring strategy state after restarting platform: information about pending orders submitted before must be available as well as about filled orders.
2. Obtain yesterday close price for futures (ie. S&P 500 e-mini) from IB (it's official settlement price, seen in TWS by adding "Close" column to the instrument list).

Decimal separator bug

Largo — Mon, 25 Jan 2010 14:03:41 GMT

In my country decimal separator for numbers is comma, not dot.
I have installed MS Visual Studio 2008 Pro.

When I try to run live any trading system (even without any my code) RE throws exception and crashes.
It stops on step 4 of 6.

Normally I could change locale within C# code, but it not works in RE:
Thread.CurrentThread.CurrentCulture = new CultureInfo("en-US",false);

What to do?

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

Inner Exception:
An exception of type System.FormatException was thrown.
Nieprawidłowy format ciągu wejściowego.
w System.Number.StringToNumber(String str, NumberStyles options, NumberBuffer& number, NumberFormatInfo info, Boolean parseDecimal)
w System.Number.ParseDouble(String value, NumberStyles options, NumberFormatInfo numfmt)
w System.Double.Parse(String s, NumberStyles style, NumberFormatInfo info)
w System.Convert.ToDouble(String value)
w RightEdge.TWSCSharpPlugin.TWSPlugin.client_UpdateAccountValue(Object sender, UpdateAccountValueEventArgs e)
w Krs.Ats.IBNet.IBClient.RaiseEvent[T](EventHandler`1 event, Object sender, T e)
w Krs.Ats.IBNet.IBClient.OnUpdateAccountValue(UpdateAccountValueEventArgs e)
w Krs.Ats.IBNet.IBClient.updateAccountValue(String key, String value, String currency, String accountName)
w Krs.Ats.IBNet.IBClient.ProcessMsg(IncomingMessage msgId)
[/code]

Manupulating system statistics calculation start date

ErkSubasi — Fri, 04 Dec 2009 05:43:16 GMT

Hi,

My system does not trade for a fixed period of time at the beginning of a simulation. But since this period is also included in the system results calculation I am having biased results. I would like to simply shift the calculation starting date of all the SystemStatistics. I am planning to remove the initial part from the BarStats dictionary property from the SystemStatistics and call UpdateStats() afterwards. My first question is; does it make sense?
and second one; where would I need to do that? Is there an intermediate event which is triggered between the end of the simulation and the calculation of the results through the plugins.

Thanks,
Erk

Multiple Frequency

BG — Tue, 01 Dec 2009 01:31:41 GMT

Can someone please clarify what is or is not possible in RE Edition 2 in regard to multiple frequencies, and hopefully point me to a sample system that implements multiple frequencies.

In particular, within one system, assuming data is being downloaded as say 1 minute bars, can:
Indicator A use 60 minute bars
Indicator B use 30 minute bars
Indicator B use 10 minute bars
Indicator C use 5 minute bars

Kind Regards Bruce

P.S.
1)
I have tried this and cannot find an indicator property that exposes frequency (other than the system frequency).

2)
Indicator B was intentionally listed twice, each with a different frequency.

Buy Gap

alromseo — Sat, 21 Nov 2009 14:16:12 GMT

Hi
I am just a beginner in C#
Now i'm using RightEdge 2008 Edition 2, Build 14 trial
Can you write a simple system(for simulation only) as I can't do it :

buy at open if gap > 5%
exit this bar at close(same bar exit)

Daily bars.

Thanks

Backtesting Bar Frequency

henk — Wed, 21 Oct 2009 16:21:13 GMT

I have imported data as 5min Bars. How do I specify my system to run/backtest on eg. 15min Bars?

Live System - CSI continous contracts - onNewBar

foon33 — Wed, 07 Oct 2009 13:25:43 GMT

Hi,

I created a future and I uploaded daily historical data from CSI as a continuous contract through an ASCII file.
Then I run my system live with my IB paper trading account.
To simulate a new daily bar, I added data through the bar data editor and I saved.
To my surprise, it did not trigger a newbar event. Why?
When I update my data with a new ASCII file tomorow, will it trigger the newbar event?
Thank you for your help.

Global Dictionary

vitor dantas — Wed, 14 Oct 2009 10:54:56 GMT

Hi guys !!!

I´m tryeing to write a code that need a Dictionary<symbol,double[]> with all the symbols in "Symbols" but i need it to be available to all symbols. ie. All instances of MySymbolScript. it sounds, to me, a bit confusing creating a copy of that dictionary to each symbol and feeding them, too much redundancie to work out !!

I even tried with <string, double>

i tried to create it in MySystem but it doesn´t get availlable in mysymbolScript.... Any idea ?????

Building Systems w/Channels & Bands

nmilton2 — Wed, 30 Sep 2009 13:42:40 GMT

How can indicators of channels & bands be included in a system? Drag n drop or code?

Since they don't cross over/under & they're always greater & lesser as far as the comparison...what trigger is used to initiate entry/exit signals, whenever the price crosses above/below the bands & channels, if possible to drag & drop, or is code needed?

Enter on open and exit on close

clawson84 — Fri, 19 Jun 2009 06:27:08 GMT

I've just started to use Right Edge and I find it a little bit too simplistic. I have used OpenQuant before which has methods for different events on a bar, e.g. open and close. This works well for me as I would like to test some simple strategies where I enter on open and exit on close of a bar. Is it possible to do this in RE as well, as I haven't been able to figure it out yet.

Thanks

Trading Index and Equity options

roedies — Fri, 12 Jun 2009 10:44:35 GMT

Hi,

I'm trying to develop an option trading solution based on IB data but have some questions/issues on the feasability of it. Can anybody help me further?.

1 ) Is RE able to trade more than 1 option in any strategy? Errors are thrown with “ Entry with the same key already exist “. (see attachment for more details)

2 ) If a solution for multiple option is possible with programming, can someone direct me by explaining the concept and way forward. Please include any coding examples so I don’t need to ‘reinvent the wheel’.

3 ) Using symbols with different Currencies (EUR /USD) than the Account currency set-up in the system throws also an error. So I can’t have a strategy run on both stock exchanges together (US and Europe)? (see attachment)

4) Is it possible to maintain an alternative label of the option in order to make them more distinct ?

Detailed information is available in Attached document

Stop and Reverse Sample

kaizen — Sat, 11 Jul 2009 23:46:48 GMT

Do you have a stop and reverse sample system somewhere?

I had a look in the sample directory and could not see one.

I 'think' I have it working correctly but want to check if I have done it how you would have done it or there is a better way.

Trading System Properties: Where is 'backtesting' ?

redoc — Sun, 07 Jun 2009 16:53:44 GMT

I watched the demo video, and the help instructions. Both say to go to properties after you setup your trigger and action.

When I go to properties though, I do not have a 'Backtesting' section. How do I see that?

Lowest low of x days, check price at 4pm, set frequency of bars, etc...

redoc — Sun, 07 Jun 2009 16:52:25 GMT

Is it possible to do these with the software? Even if I have to code it in C#, it would be fine. I'm just looking for a flexible backtesting solution.

example 1
- look for lowest low of the past 5 days
- trigger a buy at a crossover that happens after this period

example 2
- trigger a buy at 4pm if the current price is greater than yesterday's low

Also, is it possible to do things like set the EMA frequency? i.e. i can set the period, but i want it to look on a 60 minute frequency.

IB Historical Data Download error

bbmat173 — Tue, 05 May 2009 02:37:04 GMT

Hello,

I am trying to download historical 1m data from Interactive Brokers but it does not seem to work. I am able to retrieve live data so I assume that I set up the data connection correctly. When I click on "Update Historical Data" the download window pops up but nothing seems to happen. I had it open for 30minutes but nothing happened either. I set the backfill days option to 1 day, only, and I also set the "configure folder settings option Data Download Start Date" to only one day prior to the current date and no luck!!!

Can someone please point me to how to download IB historical intraday data? Amibroker seems to be KING when it comes to this functionality, it seamlessly automatically backfills 1minute IB data in a very short time (6 days backfill per symbol takes about 20-30 seconds on my machine). I expected something similar for RightEdge but either I have not found out how to correctly retrieve the historical data or how RightEdge handles IB hist. data is pretty inefficient. That it works in a mangable time is shown by Amibroker.

Thanks for any feedback.

Pyramiding Up

bloveall — Wed, 08 Apr 2009 11:40:47 GMT

I'm curious as to whether anyone who frequents this board has developed a system that pyramids up in price without substantially affecting one's win/loss numbers. I've developed a nice system that has a pretty low max drawdown and decent profits over 20 years. I'd like to increase the profits by pyramiding up in price but obviously I'd like to keep my losses and drawdowns low. Has anyone backtested a system that pyramids up in price and does so in a way that doesn't substantially increase drawdowns? In general, if you've backtested a system that pyramids up, have you found it to be a better or worse system than the same system that doesn't pyramid up?

Brad

Futures Calendar spreads

gc — Wed, 15 Apr 2009 09:30:27 GMT

Hi guys,

I've got an IB data feed and am trading futures, I want to be able to run strategies for calendar spreads.. From what I understand I will have to check the two symbols in my watchlist for example

CL 042009, CL052009

and in my code create a UserSeries within code and do my stuff against that.. I've been doing this with product spreads and it works fine.

However, when I select the same product I get the following exception

An entry with the same key already exists.

From what I understand the unique key in this case is JUST the symbol name...

Is there any way to solve this problem..???

Thanx in advance

How do you pick stocks for your ATS?

Zora — Tue, 21 Apr 2009 19:03:06 GMT

During the algorithm development stages people often don't think about which specific stocks they are going to trade. However, at some point the question pops up so I was wondering how everyone is doing this. When I was developing and simulating my ATS, the selection of stocks was determined by practical considerations - quality of data, whether there are any splits and dividends (you don't have to adjust the data if there are no events), whether the volumes are sufficiently high to model order execution, whether the symbol has changed in the past, etc. I also excluded stocks worth less than $1.00/share to avoid the risk associated with penny stocks. Generally, I looked for middle of the road companies, with large volumes and high share prices that could be easily retrieved from my data archive without requiring a lot of processing. But all of this was very intuitive and informal.
Now, in the real world, what do you look for when picking a stock to add to your watchlist? Market cap? Industry sector? Do you perform fundamental analysis to learn about the company's financial health? Do you look at trading activity? The more you think about it, the less intuitive the answer is... Anyways, just curious if anyone has a clever approach to this problem. Thanks!

array of indicators

omri1181 — Fri, 03 Apr 2009 05:22:24 GMT

i tried to create an array by using
SeriesCalculatorBaseWithValues[] indicatorlist = {new BollingerBandLower(14, 1.5)};

then i did setinput...
but when i try to access it by
indicatorlist[0].count or .current
it's always empty.
i tried to do REGISTER or REGISTERMEMEBER but i could make it compile, didn't know which Iseries to give it, cause INPUTS is blocked.

i'd like to have an array which gives me acces both to
SeriesCalculatorBaseWithValues
and
IndicatorBase

i just want to be able to access several indicators using FOR loop.

is it possible ?

Equity options strategy

phg — Sun, 22 Mar 2009 19:19:23 GMT

I am working on a strategy that trades equity options. There are two things that have me stumped at the moment:
- Under NewBar I need access to Bid and Ask, whatever the most recent values are.
- How is a limit specified on a closeposition order?
Thanks.

Exceptions thrown while automating trading

Freolad — Fri, 19 Dec 2008 05:36:25 GMT

I'm attempting to automate some strategies and ideally I'd like them running 24x7. Some are high-frequency FX so stability is important. :) I've used a software package called FireDaemon to launch RE as a service with the appropriate command-line parameters. So at boot time, RE gets started automatically.

However, I've encountered a number of different exceptions while testing over the past week and was hoping someone could shed some more light on them because some of them prevent the trading strategy from restarting automatically.

[b]1.[/b] I've posted in another thread, about the "Could not convert from NZD to USD for date 1/01/0001 12:00:00 AM." exception being thrown. If I manually attempt to restart the strategy, an error gets logged in the Output window and the strategy fails to start:

[font="Courier New"]Could not write to output file 'c:\dir\strategy.dll' -- 'The process cannot access the file because it is being used by another process. '[/font]

This is the only strategy that is using the file/dll. The sequence of events is:

1. RE started automatically using command line args: /W:"Watchlist" /P:"C:\dir\strategy.rep" /L
2. The NZD/USD conversion exception is thrown.
3. Manually starting the live strategy results in the above error.

The only way to recover is to shutdown RE and restart (and not accept saved positions). It seems like some part of RE has a file open on the strategy.dll even when the strategy fails to start.

[b]2.[/b] When trading with the IB TWS plugin, this exception was thrown:

[font="Courier New"]An exception of type System.ArgumentException was thrown.
Unknown value for enum type Krs.Ats.IBNet.OrderStatus: ApiCancelled
at Krs.Ats.IBNet.EnumDescConverter.GetEnumValue(Type value, String description)
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()[/font]

After clicking on the dialog, RE then crashed. But all automated trading is halted until someone realises there's a dialog window and clicks on it and then waits for RE to restart. :cool:

[b]3.[/b] The strategy was happily trading away and then this exception was thrown:

[font="Courier New"]Cash was NaN
at RightEdge.Common.BaseSystemHistory.SimNewBar(NewBarInfo info)
at RightEdge.Common.SystemData.x56e784a497b3cb60(NewBarInfo x8d3f74e5f925679c)
at RightEdge.Common.Internal.SystemRunner.NewBar(Dictionary`2 bars)
at RightEdge.Shared.SystemWrapper.NewBar(Dictionary`2 bars)
at RightEdge.Shared.SystemWrapper.NewBar(Dictionary`2 bars)
at RightEdge.Shared.TradingModuleWrapper.NewBar(Dictionary`2 bars)
at RightEdge.LiveSystemwindow.x2e01f099ee7feedb(Dictionary`2 xd3a52115666f4605)[/font]

After clicking on the dialog, RE then crashed. Again, all automated trading is halted until the dialog was closed. It could be days before someone realizes something is amis.

[b]4.[/b] I'm trying to automate a few strategies so FireDaemon is starting up a couple of instances of RE with different command line args. I occasionally get this error when the system reboots:

[font="Courier New"]An exception of type System.Configuration.ConfigurationErrorsException was thrown.
An error occurred loading a configuration file: The process cannot access the file 'C:\Documents and Settings\User\Local Settings\Application Data\Yye_Software\RightEdge.exe_StrongName_tzopmoluzdyjreykcjm2jskkq1rnwoju\2008.1.0.0\user.config' because it is being used by another process. (C:\Documents and Settings\User\Local Settings\Application Data\Yye_Software\RightEdge.exe_StrongName_tzopmoluzdyjreykcjm2jskkq1rnwoju\2008.1.0.0\user.config)
at System.Configuration.ConfigurationSchemaErrors.ThrowIfErrors(Boolean ignoreLocal)
at System.Configuration.BaseConfigurationRecord.ThrowIfParseErrors(ConfigurationSchemaErrors schemaErrors)
at System.Configuration.Configuration..ctor(String locationSubPath, Type typeConfigHost, Object[] hostInitConfigurationParams)
at System.Configuration.Internal.InternalConfigConfigurationFactory.System.Configuration.Internal.IInternalConfigConfigurationFactory.Create(Type typeConfigHost, Object[] hostInitConfigurationParams)
at System.Configuration.ClientSettingsStore.ClientSettingsConfigurationHost.OpenExeConfiguration(ConfigurationUserLevel userLevel)
at System.Configuration.ClientSettingsStore.GetUserConfig(Boolean isRoaming)
at System.Configuration.ClientSettingsStore.WriteSettings(String sectionName, Boolean isRoaming, IDictionary newSettings)
at System.Configuration.LocalFileSettingsProvider.SetPropertyValues(SettingsContext context, SettingsPropertyValueCollection values)
at System.Configuration.SettingsBase.SaveCore()
at System.Configuration.SettingsBase.Save()
at System.Configuration.ApplicationSettingsBase.Save()
at RightEdge.xf266856f631ec016.OpenProject(String filename)

Inner Exception:
An exception of type System.IO.IOException was thrown.
The process cannot access the file 'C:\Documents and Settings\User\Local Settings\Application Data\Yye_Software\RightEdge.exe_StrongName_tzopmoluzdyjreykcjm2jskkq1rnwoju\2008.1.0.0\user.config' because it is being used by another process.
at System.IO.__Error.WinIOError(Int32 errorCode, String maybeFullPath)
at System.IO.FileStream.Init(String path, FileMode mode, FileAccess access, Int32 rights, Boolean useRights, FileShare share, Int32 bufferSize, FileOptions options, SECURITY_ATTRIBUTES secAttrs, String msgPath, Boolean bFromProxy)
at System.IO.FileStream..ctor(String path, FileMode mode, FileAccess access, FileShare share)
at System.Configuration.Internal.InternalConfigHost.StaticOpenStreamForRead(String streamName)
at System.Configuration.Internal.InternalConfigHost.System.Configuration.Internal.IInternalConfigHost.OpenStreamForRead(String streamName, Boolean assertPermissions)
at System.Configuration.Internal.DelegatingConfigHost.OpenStreamForRead(String streamName, Boolean assertPermissions)
at System.Configuration.ClientSettingsStore.ClientSettingsConfigurationHost.OpenStreamForRead(String streamName)
at System.Configuration.UpdateConfigHost.OpenStreamForRead(String streamName)
at System.Configuration.BaseConfigurationRecord.InitConfigFromFile()[/font]

The only solution is to manually restart every instance of RE that has thrown the error. Again, it could be a while before someone realizes the strategy isn't trading.

[b]5.[/b] Thanks to the wonders of Windows Automatic updates and automatic reboots, I logged on one morning to discover the machine had rebooted. When starting up, the live strategies had all thrown this error:

[font="Courier New"]An exception of type System.InvalidOperationException was thrown.
There is an error in XML document (0, 0).
at System.Xml.Serialization.XmlSerializer.Deserialize(XmlReader xmlReader, String encodingStyle, XmlDeserializationEvents events)
at System.Xml.Serialization.XmlSerializer.Deserialize(XmlReader xmlReader, String encodingStyle)
at System.Xml.Serialization.XmlSerializer.Deserialize(XmlReader xmlReader)
at RightEdge.Common.PositionManager.LoadOpenPositions(String fileName)
at RightEdge.LiveSystemwindow.x0fa035c1818e31d7(SystemDataCreationSettings xb6b3da7953a69f26, String xe125219852864557)
at RightEdge.LiveSystemwindow.StartLiveSystem(xfb471916970b0c9e liveDataWindow, List`1 symbols, SystemDataCreationSettings settings, SystemRunInfo runInfo, RightEdgeCompiler compiler)
at RightEdge.xf266856f631ec016.x7315d87aa80c241d()
at RightEdge.xf266856f631ec016.ExecuteCommandLineParameters()

Inner Exception:
An exception of type System.Xml.XmlException was thrown.
Root element is missing.
at System.Xml.XmlTextReaderImpl.Throw(Exception e)
at System.Xml.XmlTextReaderImpl.ThrowWithoutLineInfo(String res)
at System.Xml.XmlTextReaderImpl.ParseDocumentContent()
at System.Xml.XmlTextReaderImpl.Read()
at System.Xml.XmlReader.MoveToContent()
at Microsoft.Xml.Serialization.GeneratedAssembly.XmlSerializationReaderPortfolioXml.Read20_PortfolioXml()[/font]

It seems like the LiveOpenPositions.xml file had become corrupted. Deleting the files and restarting fixed the problem. Not sure how best to solve this. Is it possible to automatically blow it away if its corrupted? Or else, is it possible to close it and flush it once finished writing to it? ie, write and flush to new file, and then replace existing file with new file?

[b]6.[/b] I've configured FireDaemon to automatically start up both RightEdge and IB's TWS. However, RE starts much faster than TWS. :) As a result, RE failed to connect because TWS wasn't yet running. I have selected to automatically reconnect every 5 seconds but the TWS plugin never connected to TWS. I had left it running for hours and TWS was definitely up and running. Not sure why it didn't connect.

When I did finally login to the machine, I manually started the live feed without any problems. However, manually starting the live strategy resulted in an output message: cannot write to strategy.dll. To solve this I had to restart RE.

These are some of the problems I've encountered when trying to automate a couple of strategies with IB so any assistance, comments, tips, work-arounds would be hugely appreciated. :) Thanks.

Debugging a strategy

Atul H — Thu, 19 Feb 2009 01:08:29 GMT

RE does not have debugging built-in, but .Net library power and RE's open model enables you to debug anyways.

Here is a workaround for debugging your strategy code using Visual Studio if you have it installed: Simply add a line and call the debugger through .Net library.

System.Diagnostics.Debugger.Break();

ClosePosition cleanup?

davidS — Fri, 06 Mar 2009 19:04:33 GMT

Am I correct in assuming that the ClosePosition and CloseAllPositions methods also cancel all pending orders (e.g. take profit and stop-loss) and ensure that they haven't been executed?

I'm also a little confused about what constitutes a position. I assume that the OpenPosition method creates a new position of the current symbol, whereas the AddToPosition method adds to an existing position of the current symbol so that multiple trades may be associated with a single position. If so, I can't figure out how to determine the position ID associated with a particular use of OpenPosition so that I can add to it with AddToPosition. Any hints?

By the way, I'm a new purchaser of RE and I find myself very impressed with the flexibility of the platform, though the learning curve is pretty steep. I'm compiling a document of lessons learned and will be happy to share it when it gets a bit further along. Perhaps it could serve as the beginning of a more comprehensive tutorial. Congratulations on a solid and flexible product, and your excellent customer support.

Exceptions on starting RightEdge

Atul H — Tue, 17 Feb 2009 20:04:36 GMT

Hi Mark, Bill, Daniel,

The following exception is thrown on starting RightEdge. This is without anything loaded. I checked my machine status and it looked healthy from memory availability point of view.

Any insight? Thanks,

Atul

[quote]An exception of type System.OutOfMemoryException was thrown.
Out of memory.
at System.Drawing.Drawing2D.LinearGradientBrush..ctor(Point point1, Point point2, Color color1, Color color2)
at TD.SandDock.Rendering.ThemeAwareRendererBase.A(Control , Control , Graphics , Rectangle )
at TD.SandDock.Rendering.ThemeAwareRendererBase.DrawSplitter(Control container, Control control, Graphics graphics, Rectangle bounds, Orientation orientation)
at TD.SandDock.DockContainer.OnPaint(PaintEventArgs e)
at System.Windows.Forms.Control.PaintWithErrorHandling(PaintEventArgs e, Int16 layer, Boolean disposeEventArgs)
at System.Windows.Forms.Control.WmPaint(Message& m)
at System.Windows.Forms.Control.WndProc(Message& m)
at System.Windows.Forms.ScrollableControl.WndProc(Message& m)
at System.Windows.Forms.ContainerControl.WndProc(Message& m)
at System.Windows.Forms.Control.ControlNativewindow.OnMessage(Message& m)
at System.Windows.Forms.Control.ControlNativewindow.WndProc(Message& m)
at System.Windows.Forms.Nativewindow.Callback(IntPtr hWnd, Int32 msg, IntPtr wparam, IntPtr lparam)[/quote]

Cant go live with MBTrading

atul — Mon, 16 Feb 2009 02:38:24 GMT

Hi Bill, Experts,

I am able to load MBTrading in Backtesting and see the results in a primitive system that I have build. But when I do F5 (run live), it throws the following exception and doesnt run. This is strange and annoying. Can you please tell me the fix for it? The exception occurs when its processig step#4 (SwitchToLiveMode & SetSystemBroker)

Thanks,
Atul

-------------

Error in broker service connect.
Unable to connect to MB Trading
at RightEdge.Shared.SystemWrapper.SetSystemBroker(BrokerAccountState accountState)
at RightEdge.Shared.SystemWrapper.SwitchToLiveMode(ServiceFactory brokerFactory, BrokerAccountState accountState, Boolean bFullSim, Boolean bSameBroker)
at RightEdge.Shared.SystemWrapper.SwitchToLiveMode(ServiceFactory brokerFactory, BrokerAccountState accountState, Boolean bFullSim, Boolean bSameBroker)
at RightEdge.Shared.TradingModuleWrapper.SwitchToLiveMode(ServiceAppDomainFactory brokerFactoryFactory, BrokerAccountState accountState, Boolean bFullSim, Boolean bSameBroker)
at RightEdge.LiveSystemwindow.StartLiveSystem(xfb471916970b0c9e liveDataWindow, List`1 symbols, SystemDataCreationSettings settings, SystemRunInfo runInfo, RightEdgeCompiler compiler)
at RightEdge.xf266856f631ec016.x7315d87aa80c241d()
at RightEdge.xf266856f631ec016.xc44f2b7498b700f7(Object xe0292b9ed559da7d, EventArgs xfbf34718e704c6bc)
at TD.SandBar.ToolbarItemBase.OnActivate()
at TD.SandBar.ButtonItemBase.OnActivate()
at TD.SandBar.ButtonItem.OnActivate()
at TD.SandBar.ToolBar.OnItemRelease(ToolbarItemBase item, Point position)
at TD.SandBar.ToolBar.OnMouseUp(MouseEventArgs e)
at System.Windows.Forms.Control.WmMouseUp(Message& m, MouseButtons button, Int32 clicks)
at System.Windows.Forms.Control.WndProc(Message& m)
at TD.SandBar.ToolBar.WndProc(Message& m)
at RightEdgeUI.CustomToolBar.WndProc(Message& m)
at System.Windows.Forms.Control.ControlNativewindow.OnMessage(Message& m)
at System.Windows.Forms.Control.ControlNativewindow.WndProc(Message& m)
at System.Windows.Forms.Nativewindow.Callback(IntPtr hWnd, Int32 msg, IntPtr wparam, IntPtr lparam)

Referencing other symbols

Steve2008 — Tue, 10 Feb 2009 11:42:34 GMT

1. Within a trading system operating on a multi-symbol portfolio, e.g., the S&P 500 component stocks, how can I do something like take the ATR of an index or ETF, e.g., SPY? For efficiency, this should be done only once per bar, rather than once for each symbol -- 500 times. The calculation would need to be done prior to the other calculations for the first symbol, and persist in memory for access in calculations for all symbols.

2. Is there a way to do the above on a different timeframe, for example, a daily ATR of an index in a trading system operating on 1 minute bars?

3. Can RE be made to take a trade on a symbol that is not the current symbol list, or alternatively, quickly add a new symbol to the current list and then take a trade on it?

WORKING Trading System Example with Indicator plot in chart (w/o System Builder)

gtomez — Thu, 22 Jan 2009 13:19:40 GMT

Hello,

I just started coding in C# and have some difficulties with plotting a custom indicator on a chart after a backtest. I don't want to use the Sytsem Builder, but code the indicator myself.
Unfortunately the example section hasn't been updated for a while and I didn't find a working code in the Forum. I went through the documentation but I am still stuck. This problem keeps me from continuing my work since quite I while and is most probably very easy to solve.
I'd really appreciate if one could help me out with a little sample.

Thanks a lot for the effort.

Best regards,
Gerald