spread indicator for strategy

• 10/16/2017 at 3:29 AM #49454
  Paul

  Hi!

  You can set the spread in PRT.

  But I wonder.  First create an static indicator based on information of the spread for different trading hours from IG website for i.e. the dax.

  Then use the call function to get the information and code the spread in the strategy manually and have a more accurate backtest when trading 24h.

  Is it worth it or is it not possible to code ?

   

  I tried to get an indicator running for a visual impression.

  What’s wrong with this code. Between 22u and 8u shows 0, which should be 5. Other spreads are displayed correct.

  //spread settings dax // Start Trading Window ONCE stw1 = 090000 ONCE stw2 = 173000 ONCE stw3 = 220000 ONCE stw4 = 080000 // End Trading Window ONCE etw1 = 173000 ONCE etw2 = 220000 ONCE etw3 = 080000 ONCE etw4 = 090000 // Trading Window specified tw11 = time >= stw1 tw12 = time < etw1 tw21 = time >= stw2 tw22 = time < etw2 tw31 = time >= stw3 tw32 = time < etw3 tw41 = time >= stw4 tw42 = time < etw4 // trade window grouped tw1 = tw11 and tw12 tw2 = tw21 and tw22 tw3 = tw31 and tw32 tw4 = tw41 and tw42 other = not tw1 and not tw2 and not tw3 and not tw4 // trade window setup if other then spread=0 elsif tw1 then spread=1 elsif tw2 then spread=2 elsif tw3 then spread=5 elsif tw4 then spread=2 endif return spread coloured(255,69,0) style(line,2) as "spread"

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  //spread settings dax   // Start Trading Window ONCE stw1 = 090000 ONCE stw2 = 173000 ONCE stw3 = 220000 ONCE stw4 = 080000   // End Trading Window ONCE etw1 = 173000 ONCE etw2 = 220000 ONCE etw3 = 080000 ONCE etw4 = 090000   // Trading Window specified tw11 = time >= stw1 tw12 = time < etw1   tw21 = time >= stw2 tw22 = time < etw2   tw31 = time >= stw3 tw32 = time < etw3   tw41 = time >= stw4 tw42 = time < etw4   // trade window grouped tw1 = tw11 and tw12 tw2 = tw21 and tw22 tw3 = tw31 and tw32 tw4 = tw41 and tw42   other = not tw1 and not tw2 and not tw3 and not tw4   // trade window setup if other then spread=0 elsif tw1 then spread=1 elsif tw2 then spread=2 elsif tw3 then spread=5 elsif tw4 then spread=2 endif   return spread coloured(255,69,0) style(line,2) as "spread"

   

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  Paul

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  10/16/2017 at 7:48 AM #49476
  JC_Bywan

  Hi, your tw3 can never be true, because a number can’t be at the same time above 220000 and below 080000, so you need to approach differently the coding of night hours (something like “between 22h and 24h”  or  “between 0h and 8h”).

  Also, please use the <> button (insert PRT code) in the message editor toolbar in order to make PRT code appear in the appropriate format, thanks.

  

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  10/16/2017 at 11:55 AM #49542
  Paul

  After writing it down, I realised the same as you said. I modified it, it works but the coding doesn’t look good.

  static spread indicator

  //spread settings dax // Start Trading Window ONCE stw1 = 090000 ONCE stw2 = 173000 ONCE stw3 = 220000 ONCE stw31= 000000 ONCE stw4 = 080000 // End Trading Window ONCE etw1 = 173000 ONCE etw2 = 220000 ONCE etw31 =235900 ONCE etw3 = 080000 ONCE etw4 = 090000 // Trading Window specified tw11 = time >= stw1 tw12 = time < etw1 tw21 = time >= stw2 tw22 = time < etw2 tw31 = time >= stw3 tw32 = time <= etw31 tw33 = time >= stw31 tw34 = time < etw3 tw41 = time >= stw4 tw42 = time < etw4 // trade window grouped tw1 = tw11 and tw12 tw2 = tw21 and tw22 tw3 = tw31 and tw32 tw3a = tw33 and tw34 tw4 = tw41 and tw42 other = not tw1 and not tw2 and not tw3 and not tw3a and not tw4 // trade window setup if other then spread=0 elsif tw1 then spread=1 elsif tw2 then spread=2 elsif tw3 then spread=5 elsif tw3a then spread=5 elsif tw4 then spread=2 endif return spread coloured(255,69,0) style(line,2) as "spread"

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  //spread settings dax   // Start Trading Window ONCE stw1 = 090000 ONCE stw2 = 173000   ONCE stw3 = 220000 ONCE stw31= 000000   ONCE stw4 = 080000   // End Trading Window ONCE etw1 = 173000 ONCE etw2 = 220000   ONCE etw31 =235900 ONCE etw3 = 080000   ONCE etw4 = 090000   // Trading Window specified tw11 = time >= stw1 tw12 = time < etw1   tw21 = time >= stw2 tw22 = time < etw2   tw31 = time >= stw3 tw32 = time <= etw31 tw33 = time >= stw31 tw34 = time < etw3   tw41 = time >= stw4 tw42 = time < etw4   // trade window grouped tw1 = tw11 and tw12 tw2 = tw21 and tw22   tw3 = tw31 and tw32 tw3a = tw33 and tw34   tw4 = tw41 and tw42   other = not tw1 and not tw2 and not tw3 and not tw3a and not tw4   // trade window setup if other then spread=0 elsif tw1 then spread=1 elsif tw2 then spread=2 elsif tw3 then spread=5 elsif tw3a then spread=5 elsif tw4 then spread=2 endif   return spread coloured(255,69,0) style(line,2) as "spread"

   

   

   

  

  Paul

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  10/16/2017 at 12:05 PM #49543
  Paul

  another question, can you use 1 indicator and have data stored for multiple symbols i.e. dax and cac40 ?

  So the indicator should have a code that match the symbol displayed, if there’s no match the line should be 0.

   

  

  Paul

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  10/16/2017 at 12:25 PM #49550
  Paul

  cleaned up code

  // spread settings dax // start/end trading window ONCE stw1 = 090000 ONCE etw1 = 173000 ONCE stw2 = 173000 ONCE etw2 = 220000 ONCE stw3 = 220000 ONCE etw3c= 235959 //currentday ONCE stw3n= 000000 //nextday ONCE etw3 = 080000 ONCE stw4 = 080000 ONCE etw4 = 090000 // trade window grouped tw1 = time >=stw1 and time < etw1 tw2 = time >=stw2 and time < etw2 tw3c= time >=stw3 and time <=etw3c tw3n= time >=stw3n and time < etw3 tw4 = time >=stw4 and time < etw4 // other trading times ott = not tw1 and not tw2 and not tw3c and not tw3n and not tw4 // trade window setup if ott then spread=0 elsif tw1 then spread=1 elsif tw2 then spread=2 elsif tw3c then spread=5 elsif tw3n then spread=5 elsif tw4 then spread=2 endif return spread coloured(255,69,0) style(line,2) as "spread"

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  // spread settings dax   // start/end trading window ONCE stw1 = 090000 ONCE etw1 = 173000   ONCE stw2 = 173000 ONCE etw2 = 220000   ONCE stw3 = 220000 ONCE etw3c= 235959 //currentday   ONCE stw3n= 000000 //nextday ONCE etw3 = 080000   ONCE stw4 = 080000 ONCE etw4 = 090000   // trade window grouped tw1 = time >=stw1 and time < etw1 tw2 = time >=stw2 and time < etw2 tw3c= time >=stw3 and time <=etw3c tw3n= time >=stw3n and time < etw3 tw4 = time >=stw4 and time < etw4   // other trading times ott = not tw1 and not tw2 and not tw3c and not tw3n and not tw4   // trade window setup if ott then spread=0 elsif tw1 then spread=1 elsif tw2 then spread=2 elsif tw3c then spread=5 elsif tw3n then spread=5 elsif tw4 then spread=2 endif   return spread coloured(255,69,0) style(line,2) as "spread"

   

  

  Paul

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  10/17/2017 at 7:34 PM #49729
  Leo

  Hi,

  This is the methodology I use in my codes for control the spread. Hope you find it useful as well

  //for EUR/USD for IG markets spread = 0.7 IF TIME < 070000 THEN spread = spread*2 ELSIF TIME>193000 THEN spread = spread*2 ENDIF

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  //for EUR/USD for IG markets   spread = 0.7 IF TIME < 070000 THEN spread = spread*2 ELSIF TIME>193000 THEN spread = spread*2 ENDIF

   

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  Leo

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  03/02/2018 at 11:17 PM #64248
  buffster76

  Hi, is there any way to measure the actual spread using a prorealcode program? for example, leave it running over 1 week, and then plot a graph (or store data) to record spread at different times of day and different days? thanks

  

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  03/05/2018 at 2:09 PM #64443
  Nicolas

  There is no way to know the broker’s spread in real time with codes.

  

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  07/15/2018 at 3:02 AM #76025
  vins

  Bonjour, je profite de ce fil pour poser ma question :

  En effet, après avoir rentré mon code pour le backtest, je souhaiterai l’appliquer en auto avec proorder auto trading (jusque là ça va de soit). le problème c’est que j’ai le message suivant :

  “Les changements suivants doivent etre appliquées avant d’envoyer le code à proorder : Remplacer les variables par des valeurs fixes : pour préparer ce système pour le trading automatique, retirer les variables qui sont dans l’onglet “probacktest” et remplacez les par des valeurs fixes dans votre code.”

  Je pense qu’il s’agit du capital et du spread (je n’ai que ça)…?  Et si oui , quel code dois je inclure pour remplacer justement ces valeurs fixe du probacktest?  Quelqu’un peut il m’aider?

  

  vins

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  07/15/2018 at 8:06 AM #76028
  Vonasi

  vins – Welcome to the forums. There are some simple rules that you will need to follow. Please only use English in the English speaking forums. There is a French speaking forum if you wish to use that language. Also please update your country flag.

  vins – Bienvenue sur les forums. Il y a quelques règles simples que vous devrez suivre. Veuillez n’utiliser que l’anglais dans les forums anglophones. Il y a un forum francophone si vous souhaitez utiliser cette langue. Veuillez également mettre à jour le drapeau de votre pays.

  

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  07/15/2018 at 8:14 AM #76029
  Vonasi

  Your problem is not related to spread or capital. You must delete all optimized variables and code them directly in your strategy to run it live.

  

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  vins

  

  Vonasi

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  07/15/2018 at 12:37 PM #76041
  vins

  oh sorry vonasi, i didn’t know and i understand. 🙂

  Ok, just my question is  : What is the code for to put the capital and the propagation in my probacktest code (my strategy)..?  By example i want to put 10000€ (capital) and 1 for the propagation.

  

  vins

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  07/15/2018 at 2:32 PM #76047
  Vonasi

  Unless you are using some form of money management within your code it is not necessary to have the capital in the code – just put the starting capital in the box shown in this image:

  

  I’m not certain what you mean by propagation. If you mean position size then you can just do the following. Some instruments/brokers might need you to use PIPSIZE to get the correct size.

  buy 1 contract at market sell 1 contract at market //or positionsize = 1 buy positionsize contracts at market sell positionsize contracts at market //or buy 1 * pipsize contracts at market sell 1 * pipsize contracts at market

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  buy 1 contract at market sell 1 contract at market //or positionsize = 1 buy positionsize contracts at market sell positionsize contracts at market //or buy 1 * pipsize contracts at market sell 1 * pipsize contracts at market

   

   

  

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  06/05/2020 at 11:16 PM #134808
  Delta1One

  Hi All,

  This spread issue is a problem. In PRT, there should be a way to display bid/ask price on the chart. From there it should be possible to build some code to get instantaneous values by calling these price indicators. Since these prices (bid/ask/middle) can be displayed on the chart, they can become an indicator. No?

  For example, a MACD can be calculated on bid/ask/middle price. This can change a bit the result of the indicator, at some point in the day. (due to trading hours, volumes, liquidity, etc…).

  So to begin with:

  1.  Does anyone know how to configure the price line on the charts ? (bid/ask/middle). I just can’t find this setup.
  2.  Did anyone already build a spread indicator? (to detect real live spread widening, not pre-coded static theoretical ones for back testing purpose)

  Thank you.

  Best

  

  Delta1One

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  06/06/2020 at 12:17 PM #134852
  GraHal

  Delta1One wrote:

  there should be a way to display bid/ask price on the chart

  You can use the Bid/Ask Line Indicator … I have it on all the time.

  Just put Bid in the Indicator search on PRT and you will see it.

  If you  use it on forex on low TF’s (1 min etc) you can see the Bid/Ask band flash widen very often. not so much on Indices, but it does happen out of market hours.

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