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Yup they do, but not binance.us support sadly
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Quote: Originally posted by B.Wooster  | What are the "Up" and "Down" columns in the data files?
I'd like to know how to create suitable data files from my sources,
so I'm wondering what to put in these last two columns,
labelled "Up" and "Down" in the header line.
Also, are these two columns used by the indicators?
If I had to guess, I would guess they are the aggressive Ask
and aggressive Bid volumes. But it would be nice to know
for sure.
For example, in GSB/Data/Price Data/CL
$ head CL.1.Minute.0900-1430_ExchangeTime_20200409.txt
"Date","Time","Open","High","Low","Close","Up","Down"
10/02/2006,09:01,143.01,143.03,142.99,142.99,16,59
10/02/2006,09:02,142.98,142.98,142.98,142.98,0,20
10/02/2006,09:04,142.97,142.97,142.97,142.97,0,15
10/02/2006,09:05,142.99,142.99,142.98,142.99,4,1
10/02/2006,09:06,142.98,142.98,142.98,142.98,0,2
10/02/2006,09:07,142.99,142.99,142.98,142.98,4,5
10/02/2006,09:08,142.99,142.99,142.98,142.98,2,5
10/02/2006,09:09,142.98,142.99,142.97,142.99,52,4
10/02/2006,09:10,143.00,143.02,142.99,142.99,58,82
edit: I compared to known ask/bid volumes, and those don't match. So I'm really puzzled what Up and Down are. Googling for format info turned up
nothing. In my comparison, the I used the data for CL on 2019-Jan-25 from the trial package supplied data:
in GBS/Data/Price Data/CL
$ head -2 CL.1.Minute.0900-1430_ExchangeTime_20200409.txt ; echo "..."; grep 01/25/2019 CL.1.Minute.0900-1430_ExchangeTime_20200409.txt|tail
"Date","Time","Open","High","Low","Close","Up","Down"
10/02/2006,09:01,143.01,143.03,142.99,142.99,16,59
...
01/25/2019,14:21,61.22,61.24,61.21,61.22,207,385
01/25/2019,14:22,61.22,61.23,61.17,61.18,353,459
01/25/2019,14:23,61.19,61.21,61.18,61.19,256,250
01/25/2019,14:24,61.18,61.25,61.18,61.22,418,275
01/25/2019,14:25,61.23,61.26,61.22,61.26,301,253
01/25/2019,14:26,61.26,61.26,61.19,61.21,477,331
01/25/2019,14:27,61.22,61.28,61.20,61.28,760,249
01/25/2019,14:28,61.28,61.32,61.21,61.32,1033,853
01/25/2019,14:29,61.33,61.34,61.19,61.22,2429,2083
01/25/2019,14:30,61.22,61.23,61.17,61.22,1952,1775
$ cat samp.out.m1 # compare to SierraChart Denali futures data (unadjusted, looking at the front month as of 2019-Jan-25):
tm,sym,a_open,b_high,c_low,d_close,e_askVolume,f_bidVolume
2019-01-25T14:21:00-06:00,CLH19-NYMEX,53.69,53.69,53.68,53.69,99,30
2019-01-25T14:22:00-06:00,CLH19-NYMEX,53.69,53.69,53.68,53.68,37,3
2019-01-25T14:23:00-06:00,CLH19-NYMEX,53.68,53.68,53.68,53.68,30,41
2019-01-25T14:24:00-06:00,CLH19-NYMEX,53.67,53.68,53.67,53.67,18,20
2019-01-25T14:25:00-06:00,CLH19-NYMEX,53.67,53.67,53.66,53.66,19,36
2019-01-25T14:26:00-06:00,CLH19-NYMEX,53.67,53.67,53.66,53.66,12,4
2019-01-25T14:27:00-06:00,CLH19-NYMEX,53.67,53.68,53.66,53.68,22,2
2019-01-25T14:28:00-06:00,CLH19-NYMEX,53.68,53.68,53.66,53.66,46,51
2019-01-25T14:29:00-06:00,CLH19-NYMEX,53.66,53.66,53.64,53.64,37,81
2019-01-25T14:30:00-06:00,CLH19-NYMEX,53.64,53.67,53.64,53.67,87,55
2019-01-25T14:31:00-06:00,CLH19-NYMEX,53.66,53.67,53.64,53.65,68,97
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Wooster, yes, upd and down volume, however, i suggest you dont use any datasources provided, you would be better off using strictly your own, will
create less headache for you if and when GSB vs TS or MC does not match, and if you are not using your own data you are not in control. Up and down
volume has its own headache, IQ provides this live, but not historically meaning you cant backtest on it, TS provides this historically and live.. So
your platform dictates.. pull your own data, and look what you are getting.. included files in GSB is derived from TS by Peter that he kindly has
shared.
But use your own data, will serve you best long term.. good luck
Thanks received (1):
+1 B.Wooster at 2022-08-07 13:23:59
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admin
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@B.Wooster
What are you trying to accomplish with GC data?
build systems on 29 30 31 minute data. This can be done but should not be done. After lots of research the concept which sounds like a great idea does
not produce better systems was the consenious of the experienced traders in the gsb community
or data1 30 min, data2 29 min , data3 31 min. This cant be done. Put it in a ts chart and you will see why.
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B.Wooster
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> What are you trying to accomplish with GC data?
I'm only trying to figure out how to, in general, for any instruments, add a second, third, forth data series.
If I'm building a equities model for RIO on the London Stock Exchange, I would want all the miners in my model, because they move in tandem. Just as
an example.
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admin
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@B.Wooster
thats valid to do.
Just a comment, if your new to GSB and new to a market, there is an enormous amount of work that needs to be done to nail the market.
Sessiont time, start of trading time, secondary filter and entry type are the most critical
See this screen shot
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B.Wooster
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> See this screen shot
That screen shot makes it much clearer. I think I get how the series need to all align. Thank you.
> there is an enormous amount of work
Good point. Maybe I'm biting off too much at once.
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B.Wooster
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You might want to put a note on the first / main methodology video, that the 29,30,31 minute ES example will no longer work.
https://www.youtube.com/watch?v=6bPAvyMXIwA&t=616s
It is the first link here. https://trademaid.info/gsbhelp/Videos.html ; the "Complete methodology revised" link.
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admin
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@B.Wooster
your comments are very valid but apply to lots of areas of GSB. GSB constantly changes and improves.
So best to look at the newest documentation first. Sadly, this makes anything older out of date. But this is better than a product that is stagnant in
development or methodology.
the improvements here, https://trademaid.info/gsbhelp/BuildingNasdaqSP500orDowsyste...
gave an 80% improvement on the Gold out of sample results from previous methodology notes. And the gold methodology was only 1 or 2 years old.
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B.Wooster
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I am trying to get TSLA stock data chosen as the Opt. Price Data. I have generated 5 minute bars .txt file. I have put this file into a newly made
GSB/Data/Price Data/stocks directory.
I have added TSLA to the contracts list.
However, when I click on the Opt. Price Data field ... button, and then
in the Price Data I select [new] and then TSLA data file, adjust the session to 830_1500, and then press OK, I find that the TSLA data file is never
able to be chosen as the Opt. Price Data selection. It remains blank.
The attached sequence of screenshots show the result.
How does one load a new data file into GSB?
  
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B.Wooster
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Addendum: I attach the TSLA data file in case that helps to reproduce the problem I am having.
Attachment: Login to view the details
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admin
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B.Wooster
try this.
Telsla works well in GSB, but I dont yet have all the detail. One failry new user says he has good results but he hasnt yet finished his work
Thanks received (1):
+1 cotila1 at 2022-08-13 10:03:22
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B.Wooster
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@admin, Thank you. When I fill in the blank where you indicated, I can get the data added.
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B.Wooster
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where to set MaxBarsBack in MultiCharts
First time loading a trading signal into MultiCharts64 (latest version; MultiCharts64 Version 14.0 Release (Build 23013)), using the "check" version
of the GSB generated code, I'm getting the check saying that I do not have the MaxBarsBack set to 0.
See attached screenshot, the alert is in the lower right corner.
I have set the MaxBarsBack to 0, and yet still the alert files.
I cannot locate the "Properties for all, General tab" that the check describes. Perhaps that is only for TradeStation? Is there another place I
should be setting MaxBarsBack?
Can anyone advise me on the MultiChart setting to get the check to pass?
Thank you.
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B.Wooster
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hmm... setting MaxBarsBack = 500 to match the script seems to make the check alert go away.
Peter, you may wish to change the generated error message there, to indicate it should match the script?
// MaxBarsBack check [line 75]
Once (MaxBarsBack <> 500)
Begin
RaiseRunTimeError("MaxBarsBack (Maximum number of bars strategy will reference) must
be set to {0} (from Properties for All button, General tab)");
End;
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admin
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This was fixed in todays build for ts. I will get it fixed for mc code
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B.Wooster
unrelated comment.
you have got allow up to 10 contracts regardless of entry.
Do not do this unless you understand the implications of this and know very much what your doing.
Likely standard gsb code will only do one entry (im not sure) but a number of the systems for sale are coded to support this.
these (if you chose to pyramid/scale) should have max of 3 if separate signal generates it.
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B.Wooster
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Thanks -- I was wondering about that. The 10 was the default in MultiCharts, and I wondered if there was position sizing somewhere also in GSB, or if
that MultiCharts setting controlled it. [I'm running on a paper account at the moment, so as to shake these things out.]
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B.Wooster
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How do folks set margin and/or position limits when running signals on more than one model, or more than one symbol?
For example, if you are running two strategies each with position limit 2 (but only one at a time) but only want to total 3 contracts total, they need
to coordinate.
For another example, if you have multiple symbols being traded but want to restrict margin use such that no more symbols are traded if one's margin is
maxed out.
I don't see mutexes built in the Power/EasyLanguage. Google doesn't turn much up about multithreading for these languages. There are Multicharts /
some third party global variable extensions, but I'm not sure if they are standard across Power and EasyLanguage.[1]
The simplest thing I can think of it copy and pasting all the strategies into one file. But then I'm not sure if the file applied one chart can be
trading symbols not on the chart. I'm new to GSB and MultiCharts but not to trading or programming.
Let me know if there are any standard or recommended approaches here.
Thank you.
edit: [1] things like https://www.multicharts.com/discussion/viewtopic.php?t=7430
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admin
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@b.wooster.
Excellent topic
My opinion is if your worried about margin, your over trading your account at least double what you should.
System failures and multiple drawdowns of un correlated markets are the biggest dangers in trading (in my opinion)
Over trading is making that risk much worse.
We now have micros, so you can trade many systems with low leverage. Many systems reduces risk and increases diversification.
I studied this a lot.
If you limit your trading to x contracts on one symbol, you get nearly every trade that is a false breakout, and when big wins occur where most
systems trade, you miss out.
Winning trades are much higher correlated than loosing trades.
Putting all systems on one chart is very problematic with exit logic, and I have numerous session times for the same symbol.
IBlink (my custom api) can do what you ask, but it will never be released despite big demand for it. Complex powerful product that would be a
nightmare to support, esp with all the issue you get with interactive brokers
Thanks received (1):
+1 B.Wooster at 2022-09-01 10:32:23
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Daniel UK1
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| Quote: Originally posted by B.Wooster | How do folks set margin and/or position limits when running signals on more than one model, or more than one symbol?
For example, if you are running two strategies each with position limit 2 (but only one at a time) but only want to total 3 contracts total, they need
to coordinate.
For another example, if you have multiple symbols being traded but want to restrict margin use such that no more symbols are traded if one's margin is
maxed out.
I don't see mutexes built in the Power/EasyLanguage. Google doesn't turn much up about multithreading for these languages. There are Multicharts /
some third party global variable extensions, but I'm not sure if they are standard across Power and EasyLanguage.[1]
The simplest thing I can think of it copy and pasting all the strategies into one file. But then I'm not sure if the file applied one chart can be
trading symbols not on the chart. I'm new to GSB and MultiCharts but not to trading or programming.
Let me know if there are any standard or recommended approaches here.
Thank you.
edit: [1] things like https://www.multicharts.com/discussion/viewtopic.php?t=7430 |
Hi Wooster, a common headache, and no easy solution.
I think you need to decide if you want to keep it simple and in return have less moving parts that can cause executional errors, and debugging
nightmares.
Or you want to try to combine mulitple strategies to be handled by a global money management/pos sizing, can be done using either MM or charts, but it
would be quite complexed.
I have been using MC for well over 7 years with live executions and, i trade around 4-10 strategies per market. setup as one strategy per chart, Each
strategy allowed, 1 position per session and N contracts.
I manage risk as, looking at max stop (if all stops out same time per parket) and per strategy risk.. So i know that my size if all trading same time
and stops out same time, i am ok with that. So i calculate max size allowed as if all systems trade, i need ti be ok with that.
I would not, as Peter also suggests, do a mulitple system setup limiting entries..
Imho...
Thanks received (2):
+1 B.Wooster at 2022-09-01 10:33:05 +1 admin at 2022-09-01 05:51:22
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B.Wooster
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data prep: how to treat missing data & back-adjusting?
1. I'm preparing data files, and I wondered how GSB expects missing data to be handled.
a) Should I just put in zeros if the data is missing for a given 30 minute bar?
Date,Time,Open,High,Low,Close,Up,Down
01/03/2017,01:30:00,0,0,0,0,0,0
b) Should I mark them as NA for Not Available?
Date,Time,Open,High,Low,Close,Up,Down
01/03/2017,01:30:00,NA,NA,NA,NA,NA,NA
c) Should I just omit them so that the data has "holes" (missing lines) in it for that given days time point?
Date,Time,Open,High,Low,Close,Up,Down
01/03/2017,02:00:00,164.40000,164.47000,164.34000,164.45000,6719,6270
d) or, should I just omit the whole day if there is a missing time point for that day?
2. For futures contracts that roll, does the data have to be adjusted (back-adjusted or forward-adjusted)? I would much prefer to avoid any back or
forward adjusting, but if GSB depends on it then I would like to know and I'll do it.
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admin
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a) leave it missing, but why is it missing. If you have data to early, you get missing bars. IE gold before 2007.1.1
b) no leave is missing
c) yes, but your making the task too complex. Leave the data as is.
2) yes. most data providers do this.
Thanks received (1):
+1 B.Wooster at 2022-09-04 21:55:51
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B.Wooster
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> a) leave it missing, but why is it missing.
I think its because daylight savings time shifts the London open time by an hour for a few weeks in the spring
and fall--relative to Chicago time.
Until they sync up again, I get no data before the open. I was sampling in Chicago timezone. I
could probably fix this by sampling in the London timezone. But that might create a confusing mess.
I prefer to keep to Chicago time. The easier thing to do seems to be to always sample an
hour earlier and just omit the no-data bars.
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admin
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B.Wooster
What market is this?
if you fiddle the data in GSB, it wont match whats in ts
dax has its issues twice a year too due to daylights savings issues, and bug in ts
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admin
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Reminder to all, its USA holiday
https://www.ampfutures.com/news/holiday-trading-schedule-lab...
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