Some Questions on TradingBlox

Questions and discussion of Trading Blox and other platforms for non Trading Blox customers. Trading Blox customers should use the Trading Blox Support forum.
Post Reply
nic00
Contributor
Contributor
Posts: 2
Joined: Thu Jun 18, 2009 2:45 am

Some Questions on TradingBlox

Post by nic00 » Fri Jun 19, 2009 4:42 am

I’m looking for a testing platform that could run simulation with large amount of intraday data and test in a portfolio level. I’ve been using Trade Station and TR (now Mechanica) for a few years. I’m now considering to have Trading blox, I tried the trail version, but the trail version can’t use intraday data for testing, hence, I have some questions regarding TB testing in intraday data.
Hope someone here could provide me the answer.

1. Is there any size limitation for the data that use in testing? To test with intraday data, TS has the data file size limitation of 400MB, Wealthlab limit the number of bar to about 60,000 bars. Does TB have such kind of limitation?
2. Is there any limitation on number of bar back for reference? Eg: Correlation(series1, series2, barsToMeasure), what is the maximum number for “barsToMeasureâ€

Tim Arnold
Site Admin
Site Admin
Posts: 8537
Joined: Tue Apr 06, 2004 1:41 pm
Location: Boston, MA
Contact:

Post by Tim Arnold » Fri Jun 19, 2009 11:53 am

Thanks for your interest in Trading Blox.

1) The only limit is the amount of memory you have. With a 32 bit computer you can sometimes hit this limit using large numbers of stocks, or huge amounts of intraday data. But with the x64 version and a computer loaded with memory, there is virtually no limit.
2) No, you can access any historical bar.
3) instrument.bar is the index. To access a historical close value use instrument.close[ somebarsback ]
4) Yes, there is a lastBarOfDay and also scripts that run only before and after the trading day. You can access the date and time for futures bars, but not the OHLC or other price related data.
5) The slippage is based on the bar atr, not the day. So the manual should be updated to reflect this. There is just one global slippage percent -- to use a different slippage per market one would load up a custom slippage file and use a custom slippage computation.
6) Setting the Max Margin/Equity filter to zero disables this check.
7) The first column of the daily equity log is the test number. All tests should be listed in this file. Be sure to have Log Daily Equity preference checked for Small or Large Simulation runs.
8) Yes, you can access any other instrument from the same system, or any other system, at any time. So you could easily setup a spread computation and trade x long and y short as an example. Or check the indicators for an index, or gold, before placing an order in another market.

Hope that helps.

nic00
Contributor
Contributor
Posts: 2
Joined: Thu Jun 18, 2009 2:45 am

Post by nic00 » Wed Jun 24, 2009 4:56 am

Thanks Tim, it's very helpful.
One more question here regarding "slippage":

From your reply,
Tim Arnold wrote: 5) The slippage is based on the bar atr, not the day. So the manual should be updated to reflect this. There is just one global slippage percent -- to use a different slippage per market one would load up a custom slippage file and use a custom slippage computation.
How to code up this custom slippage?
Because all my testing is based on intraday data, and slippage based on intraday atr is have no use at all. So I have to make sure that custom slippage is available and possible in TB.
I have tried different scripts in TB, I couldn't find any script that could allow me to change the slippage setting or any code like "addSlippage" or "slippage" that work as slippage's property. So could you provide me more detail about code up a custom slippage?

Thanks!

Post Reply