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admin
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Quote: Originally posted by Daniel UK1  | Yes we are trying to get away from having market held orders since this is the issue in the first place.
So yes, not having market held orders is the solution, but question is how to solve this in the code itself by GSB.
Local emulation is ruled out as we now know.
would if time <1500 then setstoploss(stp) work. Its not active at close of last bar, but active every other bar
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Daniel UK1
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| Quote: Originally posted by admin | | Quote: Originally posted by Daniel UK1 | Yes we are trying to get away from having market held orders since this is the issue in the first place.
So yes, not having market held orders is the solution, but question is how to solve this in the code itself by GSB.
Local emulation is ruled out as we now know.
would if time <1500 then setstoploss(stp) work. Its not active at close of last bar, but active every other bar
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Hi Peter, good idea, but sadly it would not solve the main issue, and that is to avoid having the orders held at exchange, since the issue we are
facing is that the market held orders when using stops and targets, creates problems since during the swing trades many intraday systems will take
crossing direction orders, creating issues at IB.
So what we want to achieve, is to have the option to have gsb swing system not send orders resting at exchange but rather to send them when trade or
bid/ask hit for the stop or target for the symbol .
Tricky issue this.
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admin
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very hard to fix the ib issues if you go short and long at the same time. THats outside the scope of gsb
if you delay by a few seconds one entry order if you get two at once, MIGHT help the issue.
your going to get less issues if you dont have a market held PT.
doing if openpostiionprofit>pt then sell at next bar / or
if openpostiionprofit*0.8>pt then sell at entryprice+ptpoints limit is going to help but not resolve the issue
you can also make multiple sub accounts at IB. I know thats a pain as you cant cross margin, but you should be trading roughly twice exchange margin
capital levels
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Yishke
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Mathematical manipulation of a known indicator
Text Is it possible in GSB to build, not only a combination of indicators, but also an indicator within
another indicator or a mathematical manipulation of a known indicator?
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admin
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| Quote: Originally posted by Yishke | | Text Is it possible in GSB to build, not only a combination of indicators, but also an indicator within
another indicator or a mathematical manipulation of a known indicator? |
Not possible, though im happy to add users own indicators into gsb if they are public domain and not too complex
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Yishke
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GSB Exit Features
Is it possible in "GSB Exit Features" to set a parameter to be examined and not a natural number?
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admin
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IM not clear what you mean. GSB can exit when the entry signal reverse, moc, pt stop, and a few other type of exits.
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Yishke
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| Quote: Originally posted by admin |
IM not clear what you mean. GSB can exit when the entry signal reverse, moc, pt stop, and a few other type of exits. |
Instead of exiting a $ 500 OR 1000$ stop loss position, GSB will determine the most profitable parameter.
More than that!
There are many other settings, where instead of placing a number, a variable can be placed, and GSB will check what is the most worthwhile option
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zdenekt
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I was thinking of something similar for swing systems on other markets than indexes. How to find a reasonable stop and target values for swing systems
in different markets and different time frames.
If we could do it when building systems.
Let's say that for STOP we can set from 1000 to 3000, step 500 .... and similar for Target.
But then don't include it in the walkforward, just use fixed numbers.
It might be okay to use the ATR version of STOP and TARGET.
Just set a fixed ATR length (length 100 is sometimes better than 14) and optimize the multiplier from eg 2 to 5, step 1 .... and similar for Target
(do not include in the walkforward).
When we find some robust values with a few good indicators then we can build systems with fixed values of STOP and TARGET (or defined ATR
multipliers).
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Daniel UK1
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An interesting fact, is that over 4 years of running GSB more or less full time, i can only think of 1 market and 1 type of systems that have
performed better with targets and exit type other than eod.
Stops i either use as a "large enough to never get hit" type of systems, or its used as an important variable together with targets as a ratio, but
that equation is very likely to break and i have not succeeded with this when datamining for systems.
The size of the stops, if used without targets, you will "learn" after some time spent with GSB what a market need and not.
Imho, after introducing targets you include a variable and that variable will make you more vulnerable to curvefittting, so your process becomes even
more important than ever in order to end up with something robust.
The eod exit, is the most robust part of your system and is an edge in itself.
Just my 2 cents..
Thanks received (3):
+1 Ketil at 2021-11-02 03:36:03 +1 admin at 2021-10-31 23:12:39 +1 LucaRicatti at 2021-10-31 10:33:21
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johnw1357
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Could you provide email for GSB support? I sent email and got no response for 3 days.
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johnw1357
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Could you provide email for GSB support? I sent email and got no response for 3 days.
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admin
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Hi John,
sorry but I have no emails from you.
I will send you a test email.
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johnw1357
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Could you pls let me know your email. I will resend. thanks
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johnw1357
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Could you pls let me know your email. I will resend. thanks
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admin
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you can use peterzwag@gmail.com but I sent you a test 30 minutes ago.
Can you also delete your posts once we have emails working. Trying to keep forum de-cluttered
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admin
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@yishke
GSB can allow genetic algorithms to choose a stop
Too be honest, the stop is one of the last things you need to concern yourself about in GSB. If its big its not critical. Too small and you end up
loosing money when it gets volitle.
Ive seen users make nothing on months where im making 10k or so per system as the users stuck with really tight stops.
Your posts are also duplicate. Can you delete the duplicates?
I like Daniels post a few days ago where he says
"An interesting fact, is that over 4 years of running GSB more or less full time, i can only think of 1 market and 1 type of systems that have
performed better with targets and exit type other than eod.
Stops i either use as a "large enough to never get hit" type of systems, or its used as an important variable together with targets as a ratio, but
that equation is very likely to break and i have not succeeded with this when datamining for systems.
The size of the stops, if used without targets, you will "learn" after some time spent with GSB what a market need and not.
Imho, after introducing targets you include a variable and that variable will make you more vulnerable to curvefittting, so your process becomes even
more important than ever in order to end up with something robust.
The eod exit, is the most robust part of your system and is an edge in itself.
Just my 2 cents.."
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Daniel UK1
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Yishke, a helpful tip, in general, you dont really want unique stops per system... as an initial trial run for a market, you just need to run a
larger stop, just use 2-3k as an example,, run standard gsb setup from peter, it does not matter if its not perfect... take a decent system or a few,
put it in ts or mc, run optimiser for stop 500-3000.. you now have a pretty good understanding what the market needs... then back to gsb and use
this stop for your process run... in your process you can then in the end, finetune your stop within to see how the character of the systems built as
a total and metrics change if you for example change between 2 or 2500.. Or you disregard this tip, and go your own way.. lots of options 
Thanks received (3):
+1 Ketil at 2021-11-02 03:35:20 +1 Carl at 2021-11-02 02:21:27 +1 admin at 2021-11-01 18:15:17
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Daniel UK1
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Execution issue with swing/overnight systems as is today, i would say its impossible to use existing code from GSB and expect execution as one might
intend in MC. This is not mean as a critic to GSB, but rather to bring it up and see if there are things that can be improved, some people might think
that issues does not exist for them, but that is just a matter of time for that realisation.
Issues
1: Emulate of stops and targets in MC, not going to work since its using broker bid/ask/trade data, and NOT your datafeed for charts, hence you chart
session template is not used and you will get triggers and fills of orders outside of your session template.
2: Stops and targets resting at market if not using above, will get filled/execute outside RTH.
3: If you somehow manage to get your resting orders not to fill/execute outside RTH if price is to far away when in RTH gain and is supposed to be
triggered, they wont get filled/executed due to "safety" distance between trigger and price.
4: The known issue with existing swing positions often is contrary to direction of other intraday positions you might have, causing in IB "order price
change for your new stops or targets" (happened to me yesterday btw, stop price for a new order was move by IB in a huge amount because it could not
cross existing resting swing target or stop.
I would say, as is today, its impossible to execute swing as intended (if intention is to use a certain session time and only execute rth) in MC by
using GSB code. If any user has solved any of the above, kindly share.
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admin
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@Daniel, can you ask MC support over this? Can you also drive IB from MC via Ninjatrader?
I dont live trade with MC, so limited in how I can help. No active PT will help but not fix it.
code that says if time =eod then {make stop massive} might help.
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Daniel UK1
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@Peter, i have discussed this issue with them many times, it needs to be handled in code they say. I am also not sure what they can change to help,
they have declined to change local emulation to use chart data instead of broker.
IB issues with different directions in positions in same symbol, is not possible to solve only reduce.
But issues with outside RTH executions can be helped by better order management handling in code, and crossing order issue is reduced if orders are
handled better in code.
Question, since this is something that affects everyone at least everyone using MC, can possibly we a have a better / different order handling in GSB
code when using "not MOC close " so that its possible to execute in liive trading as backtest shows ?
To further complicate the issue, RTH Setting in TWS iB presets, will ONLY have an affect on stops in the markets, Globex/Nymex/Ecbot Futures, so a
swing target limit or market order will always be filled if active outside of RTH, but a stop order will honour the RTH setting and not be filled.
Thoughts
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zdenekt
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@Peter and Daniel, thank you for all your points.
I fully understand benefits of EOD exit.
When I work on swing systems then I don't want to use End of day exit....but i need at least some exit.
Therefore I would welcome a simple ATR exit where I would define a Multiplier for Stop and Target (because some markets have huge differences in daily
ranges in previous and recent years).
Later I can use another exit in Tradestation but I can't do anything else in GSB right now (just fixed stop and target for all data range).
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admin
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@Daniel, "it needs to be handled in code they say" Can they elaborate? In any company, the skill set varies and talk to another rep can help
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admin
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| Quote: Originally posted by zdenekt | @Peter and Daniel, thank you for all your points.
I fully understand benefits of EOD exit.
When I work on swing systems then I don't want to use End of day exit....but i need at least some exit.
Therefore I would welcome a simple ATR exit where I would define a Multiplier for Stop and Target (because some markets have huge differences in daily
ranges in previous and recent years).
Later I can use another exit in Tradestation but I can't do anything else in GSB right now (just fixed stop and target for all data range).
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We are planing some sort of ATR stop, but it wont happen until the NT fixes, new filters and some users bug fixes are done. For now a fixed PT should
do. This is what all the es / nq systems I have listed for sale use, it it works well. If you have bought any of these systems, and want to add atr
stop / pt, I would be interested in the change in results
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Daniel UK1
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| Quote: Originally posted by admin | | @Daniel, "it needs to be handled in code they say" Can they elaborate? In any company, the skill set varies and talk to another rep can help
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Peter, thanks, yes thats for sure
Anyway, code as is, works great from GSB, one just needs to be aware of the quirks and uniqueness of the different platforms in order to execute as
efficient as possible to enable oneself to take advantage of the great systems GSB can provide.
I assume thats why IB link was created
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