Multi-Time Frame System Platform
Posted: Tue Mar 13, 2007 5:47 pm
For the last 15+ years TradeStation has been my primary system development tool because of its simple programming syntax and ability to easily accept DLLs for special approaches when Easy Language couldn’t make it happen. TradeStation has also been a good tool for developing successful portfolios after I added some tools to handle trade information output from the various markets.
Where TradeStation hasn’t worked well is in handling multiple time frames where a weekly or higher time series controls the actions taken on a daily data series. TradeStation does handle multiple time frames in its charts, but its performance isn’t 100% accurate for every daily bar. Where it fails is when a week is ending on a Thursday because of a market closing and the weekly bar hasn’t completed. When this happens, the signal created in the short week is lost by the following Monday’s calculation update. Some tricks can be employed to get the signal back into effect for Tuesday and the rest of week, but it doesn’t help when the Friday signal is hit on Monday and the platform doesn’t know it. Just as important, getting in late is most often not good enough to create an accurate risk protection signals.
My primary TradeStation version is TS2000i. I also have TradeStation 8.2 (Build 3862), but the current TradeStation version (8.2) stops working when a second 3rd party ASCII data stream with a different compression is used in a chart window, so newer hasn’t helped in this area. As of today, I need to find something more reliable to use as my primary trading platform. My needs aren’t vanilla as can probably been seen in how I know about the TradeStation bug that keeps me worried. I’m not worried about how complex the language for programming a system might seem as long as its syntax and command structure allows arrays, user defined functions, string handling and third party DLLs when its language just can’t make the climb.
In writing this I have the feeling I’m looking for something that might not exist and should spend my time inventing my own wheel. I sure hope that isn’t the case because that kind of activity is too distracting when trading, and more importantly, life is too short to take that on alone.
Any ideas?
Where TradeStation hasn’t worked well is in handling multiple time frames where a weekly or higher time series controls the actions taken on a daily data series. TradeStation does handle multiple time frames in its charts, but its performance isn’t 100% accurate for every daily bar. Where it fails is when a week is ending on a Thursday because of a market closing and the weekly bar hasn’t completed. When this happens, the signal created in the short week is lost by the following Monday’s calculation update. Some tricks can be employed to get the signal back into effect for Tuesday and the rest of week, but it doesn’t help when the Friday signal is hit on Monday and the platform doesn’t know it. Just as important, getting in late is most often not good enough to create an accurate risk protection signals.
My primary TradeStation version is TS2000i. I also have TradeStation 8.2 (Build 3862), but the current TradeStation version (8.2) stops working when a second 3rd party ASCII data stream with a different compression is used in a chart window, so newer hasn’t helped in this area. As of today, I need to find something more reliable to use as my primary trading platform. My needs aren’t vanilla as can probably been seen in how I know about the TradeStation bug that keeps me worried. I’m not worried about how complex the language for programming a system might seem as long as its syntax and command structure allows arrays, user defined functions, string handling and third party DLLs when its language just can’t make the climb.
In writing this I have the feeling I’m looking for something that might not exist and should spend my time inventing my own wheel. I sure hope that isn’t the case because that kind of activity is too distracting when trading, and more importantly, life is too short to take that on alone.
Any ideas?