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B.Wooster
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> 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
The Bund on Eurex (FGBL). Probably applies to any Eurex, LIFFE, or ICE-EU contract with a London opening time.
I was considering opening a TradeStation account, but it sounds like without IBLINK its a pain to manage a portfolio.
I'd rather get NinjaTrader working if possible; the commissions and margin requirements are much better than IB and TS, the programmer has a ton of
control, and their support team for programmers are the best in the business. I set the target platform to NinjaTrader and now it is generating Ninja
scripts, so thanks for that hint.
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admin
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IB and ts commissions are very low. If you have concerns over margin, probability is you will blow up your account. Until the next major release of
GSB NT, there are significant limitations in GSB NT. Im frustrated progress is so slow but cant do anything about that. NT also doesnt have up / down
volume which is important but not essential for NQ systems. We are working on using historical data for up down, then live data for short term up
down. Thats still a pain.
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B.Wooster
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> Until the next major release of GSB NT, there are significant limitations in GSB NT. Im frustrated progress is so slow but cant do anything about
that.
Hmm. Well, maybe I can help. What's the blocker?
> NT also doesnt have up / down volume which is important but not essential for NQ systems. We are working on using historical data for up down, then
live data for short term up down. Thats still a pain.
I'm not sure what y'all are doing, but the Up/Down data is certainly available via NT. Heck, I can even get historical and live level2 resting order
book data from NT if I want. I don't, I mean I'm not doing HFT on it, so I don't really care about level2 resting orders, but its there. There are
tons of footprint and cumulative delta indicators for NT, so saying that the bid/ask aggressor labeling is missing is mystifying. I'm happy to help
sort that if you'd like.
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admin
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thanks for the offer, I dont think the data up down volume goes back far in NT.
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B.Wooster
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> thanks for the offer, I don't think the data up down volume goes back far in NT.
Yes. They, NinjaTrader, themselves provide no history. The amount of history depends on the data vendor you choose; that's a separate subscription to
CQG, IQFeed, Rithmic, etc.
> We are working on using historical data for up down, then live data for short term up down. Thats still a pain.
I think I'm so used to this, that I don't understand the alternative. It sounds like TradeStation is a bit unusual in that they provide alot of
historical data along with realtime, if I'm catching your drift. Please confirm, because I'm probably missing something.
At the moment I'm using data from SierraChart which is very high quality data and very inexpensive for tick data that goes back 9+ years, to generate
historical back adjusted bars based on volume-determined rollover. They have a date-rule rollover option too; probably appropriate for some but not
all contracts. I don't see a problem with training a GSB model on that data, and then trading that model in NinjaTrader (albeit with CQG as feed; not
as good as Denali but still respectable). The only mildly pita thing is that I have to reorder the columns, and delete a couple of them. The data
looks like this:
$ head FGBLU22-EUREX.30m.volumebackadj.txt
Date, Time, Open, High, Low, Last, Volume, NumberOfTrades, BidVolume, AskVolume
2022/9/4, 21:00:00, 149.14, 149.19, 149.11, 149.18, 192, 139, 88, 104
2022/9/4, 21:30:00, 149.19, 149.22, 149.17, 149.19, 369, 261, 142, 227
2022/9/4, 22:00:00, 149.20, 149.21, 149.12, 149.12, 331, 235, 188, 143
Is there any easy way to tell GSB the Last == Close, AskVolume == Up, BidVolume == Down, and just to ignore the Volume and NumberOfTrades columns?
Right now I run the data through a little script to fix up each file, but it would be nice to be able to feed it to GSB directly.
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admin
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yes, ts provide full historical up down volume on minute data above. On tick data, data (o,h,l,c,v) only goes back 6 months or so.
Im not totally happy about providing systems that need volume to NT users. Even if you have live volume you still need some historial volume for the
indicator to work.
I also dont want people chasing me to provide data.
GSB has auto detect data format, but likely it wont work for your unusual situation
Go to tools appsettings data.
Then program the format in
What is " Denali " a typo?
can you send me nq 30 minute data continuous back adjusted from say 5am to 1500 central?
that way I can test my nq systems on sierra data
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B.Wooster
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Thanks for the hint on where to adjust the format. I'll try it.
Thanks for the information about TS's data. I may have to open a TradeStation account now 
Denali is SierraChart's name for the datafeed that they created to collect data themselves directly from the CME/Eurex, because they were tired of
dealing with the crap and poor service from CQG, Rithmic, etc. They run their own Aurora, IL servers colocated with the CME. It is high quality tick
data. I suspect they are backfilled with the BarChart data they used to provide before a couple of years ago when they stood up Denali though.
Attaching the SierraChart NQ data you requested. The Up/Down volume started in 2011, so that's when the file starts. Timestamps are in Chicago
timezone.
Attachment: Login to view the details
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B.Wooster
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Addendum: For that NQ data, I used volume-based rollover points, that SierraChart determined. I've never really trusted the rollovers used by vendors.
IQFeed for instance used to be super bad at this, using the actual expiration of the contract date as the rollover point. FuturesTrader71 worked with
them to fix this some time back, but I still would be wary of their continuous backadjust '@NQ#C' contracts, for example, and double check them
oneself before relying on them. I have no idea if TradeStation does a reasonable job of rollover points or not. I am curious though.
Anyway, this is just to say, if you see data discrepancies between the SierraChart data and the TradeStation data near the rollpoints, I'd be very
interested to know about that. Of course you'll have to compare to data that was back-adjusted starting from today (2022 Sept 5 in the September 2022
NQ contract) to be able to compare price at all. Older data whose most recent point was the June NQ contract will of course have zero chance of
matching price-wise, because of the back-adjusting.
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admin
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Im passing this info to my NT programmer. A big thank you
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B.Wooster
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Anyone looking at that NQ data, here's my hacky cygwin bash shell command to fix it up for consumption. There doesn't seem to be any way to tell GSB
to ignore or rename columns in app settings->Data.
$ cat NQ.30.minute.volumebackadj.2011_2022.0500_1500.from.sierrachart.denali.txt | sed 's/Last/Close/' | sed 's/BidVolume/Down/' | sed
's/AskVolume/Up/' | tr -d '\r' | awk -F, '{print $1 "," $2 "," $3 "," $4 "," $5 "," $6 "," $10 "," $9}' >
NQ.30.minute.volumebackadj.2011_2022.0500_1500.from.sierrachart.denali.stadard.format.txt
for instance:
$ cat NQ.30.minute.volumebackadj.2011_2022.0500_1500.from.sierrachart.denali.txt | sed 's/Last/Close/' | sed 's/BidVolume/Down/' | sed
's/AskVolume/Up/' | tr -d '\r' | awk -F, '{print $1 "," $2 "," $3 "," $4 "," $5 "," $6 "," $10 "," $9}'|head
Date, Time, Open, High, Low, Close, Up, Down
2010/12/28, 05:00:00, 2306.75, 2308.25, 2306.75, 2308.00, 71, 90
2010/12/28, 05:30:00, 2308.00, 2308.75, 2307.75, 2308.50, 53, 40
2010/12/28, 06:00:00, 2308.25, 2309.00, 2308.00, 2309.00, 53, 46
2010/12/28, 06:30:00, 2309.00, 2311.00, 2308.50, 2309.50, 313, 162
2010/12/28, 07:00:00, 2309.50, 2310.00, 2308.50, 2310.00, 193, 165
2010/12/28, 07:30:00, 2310.00, 2310.00, 2307.75, 2307.75, 128, 504
2010/12/28, 08:00:00, 2307.50, 2308.50, 2307.50, 2308.25, 152, 160
2010/12/28, 08:30:00, 2308.25, 2308.75, 2308.00, 2308.25, 137, 196
2010/12/28, 09:00:00, 2308.00, 2311.00, 2307.75, 2310.25, 959, 1125
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B.Wooster
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You're welcome. I added a few lines to the GSBDataExporter indicator NinjaScript, and now it exports Up/Down volume too. See attached.
Attachment: Login to view the details
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admin
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NT program said "I did not want to use volumetric bars because they are part of Ninjatraders built in Order Flow.
That is only supplied to NinjaTrader Lifetime Licenses which is $1099. So that solution would not work for a lot of users."
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B.Wooster
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I compared the NQ 30m bars from Sierra with the TradeStation default NQ file that ships with GSB. Plot attached. Here is a summary of the Close price
differences from N=56930 bars.
Min. 1st Qu. Median Mean 3rd Qu. Max.
-417.00 -39.50 -35.25 -34.05 -29.50 420.25
They look pretty similar. The blue line overlaps the black line almost exactly.
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B.Wooster
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> NT program said "I did not want to use volumetric bars because they are part of Ninjatraders built in Order Flow.
That is only supplied to NinjaTrader Lifetime Licenses which is $1099. So that solution would not work for a lot of users."
I'm speechless. To quote the cartoon Archer, "this is why we can't have nice things."
Obviously this is a choice that you've got to make.
If it was me, I wouldn't hesitate to require it. GSB is more expensive than a NT Lifetime license. Neither are for dabblers in any case.
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admin
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Hi Bwooster
I don't use NT, so this is not relevant to me. I have little hesitation spending $ where needed, but only some NT users will do this. Likely we will
support a few options.
Can show you the performance reports on the two nq data sources. Make the start date the same on both bits of code so we can compare apples with
apples.
The graphs certainly look great
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portfolioquanttrader2020
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Hi Peter,
How is the secondary filter of the built in indicators different from the SF Indicator and the Secondary Filter Mode on the left side of Gsb?
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portfolioquanttrader2020
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When I build the nasdaq it doesn't take me 75 indicators, it only takes me 52. What is the reason?
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portfolioquanttrader2020
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I have 150 indicators and I don't have 180, why?
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portfolioquanttrader2020
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when I start workers this error appears in the photo and it does not build the manager with all the workers
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admin
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@portfolioquanttrader2020, you must have at least one (and only recommend one at a time ) secondary filter enabled in gsb
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portfolioquanttrader2020
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hi peter
Why in the new methodology of the NQ, no data is entered from the year 2002?
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admin
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That is very deliberate. System building results were not better if 2001 was used compared to 2007.1.1. But 2001 takes much longer as more data to
process.
ES however you can use 1997, 2000 or 2007 as start date
No data in 2022 gives further confirmation if a system has gone well, or not. Also the profits in 2022 are so high, it will force the system to curve
fit for conditions of extreme volatility like we have now.
When those conditions dont exist, system will do poorly.
I had the same issue in 2008 after the end of global financial crisis.
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portfolioquanttrader2020
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Hello
When I build a system, which system do I take, the code with wfo, or the code without wfo?
I put images
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admin
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'portfolioquanttrader2020, I always use the wfo code.
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Mark2022
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Hi all, I am new on the forum.
Before I start evaluating GSB and building strategies, I would like to ask fellow traders how to best use different strategies on the same ticker
symbol? I am a Tradestation user.
One workspace, 1 @ES chart and 5 strategies on the same chart?
Or one workspace, 5 separate @ES charts and 1 strategy per chart?
Do I need to use unique names for the different entry signals, so the trades of different strategies don't "overlap", so are independent of each
other?
What about the stoploss used?
Thanks in advance and have a great day!
Mark
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