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  • #250237|
    Customer
    52 Posts

    Hey Mark,

    I saw recently that SQ is offering data for micro futures. In the US and other brokers that offer them, we need to abide by FIFO rules in order to trade them. In order to use are  strategies with these, we need to make sure none of our orders are active at the same time. To achieve this, we would need to modify our strategies to fit two basic rules.

    1. While a trade is open (an order was filled), prevent any further orders (limit or market orders from either side) from being submitted.

    2. Stop limit and limit orders from either side can be submitted simultaneously as long as no trade is open however, when a trade is open (an order was filled), cancel any pending limit/stop limit orders that did not originate from the open trade.

    How feasible would it be to incorporate these rules into a “FIFO mode” that we can turn on/off for any strategy during building/retesting/trading?

    I thought it would be as simple as two if statements but I can’t assume how much work it would take. If it would not take much, is there any chance of this being incorporated into build 126? I understand b125 is too close for any new features.

    Here’s the feature request for it:

    https://roadmap.strategyquant.com/tasks/sq4_3775

    Let me know if you think this would take too much work to implement soon and would better be pushed back until later

    #250238
    Customer
    52 Posts

    Thanks Mark But when is final version of build 125 to be published for auto-update? I don’t wish to install a BETA version. Thanks AC1962

    Its scheduled for November 8th in the roadmap but that can change https://roadmap.strategyquant.com/projects/sq4/roadmap

     

    #250239
    Administrator
    1773 Posts

    FIFO rules

    I trade SQ generated strategies for futures on Tradestation and recently also AMP broker (MT5), but I’m not aware of any specialities that have to be coded in the strategy.

    Tradestation/MultiCharts and MT5 Hedging engine already trade like this and source code generated reflects it.

    Can you point me to some more information on what you think is required? I think there’s no addition needed.

     

    Release of final build 125 is indeed planned this Friday (8th November). We should be able to make it without problems.

     

     

     

    Mark
    StrategyQuant architect

    #250240
    Customer
    52 Posts

    FIFO rules essentially allows only one trade to be active at a time. You can find more info about FIFO rules straight from OANDA here:

    https://oanda.secure.force.com/AnswersSupport?urlName=OANDA-s-FIFO-policy&language=en_US

    This is only applies to brokers that require FIFO such as those regulated by the NFA/CFTC in the US.

    Not many brokers outside of the United States have FIFO requirements but those in the states do. The only way to get around this is to separate accounts into one account for longs and one account for shorts (which is highly annoying). The goal would be to use one account so that we are not splitting margin needed to trade. The only way we can do this is if we are able to produce strategies where long and short orders do not activate at the same time.

    A “FIFO mode” would only require two rules to make strategies FIFO compliant and it would only be in the logic of the order handling:

    1. While a trade is open (an order was filled), prevent any further orders (limit or market orders from either side) from being submitted.

    2. Stop limit and limit orders from either side can be submitted simultaneously as long as no trade is was filled however, when a trade is order was filled, cancel any pending limit/stop limit orders that did not originate from the open trade.

    This can be done manually but it is impossible to then take strategies made with these manual edits and get stats from SQ when building a portfolio of strategies with these rules. So having a mode where SQ can implement this and we can get stats and generate portfolios that are of FIFO compliant strategies would be a godsend. It should be able to be handled with a one to a few if statements in the order handling. If it seems more difficult than this, please give your thoughts.

    • This reply was modified 1 week, 5 days ago by  keinc301.
    • This reply was modified 1 week, 5 days ago by  keinc301.
    • This reply was modified 1 week, 5 days ago by  keinc301.
    #250346
    Administrator
    1773 Posts

    I’m sorry, but we have to postpone the final release to next week – probably right on Monday  11 Nov 2019

    We have it almost ready but we were not able to test it throughoutly.

     

    For those of you who want to try it anyway here is link to latest Release Candidate: https://www.strategyquant.com/licenses/d?code=sqxbe125rc

     

    Mark
    StrategyQuant architect

    #250352
    Customer
    260 Posts

    thanks

    #250382
    Administrator
    4 Posts

    and what about this code in the MQ4 strategies? extern int OpenBarDelay = 0; // open bar delay in minutes // it can be used for Daily strategies to trigger trading a few minutes later – // because brokers sometimes have technical delay after midnight and we have to postpone order execution

    Yes, this is another possibility, but please note that if you use OpenBarDelay feature in your EA, it will probably cause differences in backtest results between SQ and MT.

    But I think it’s not a bad idea to use it as a hotfix to midnight filling issues if you are trading on higher timeframes.

    • This reply was modified 6 days, 16 hours ago by  Tomas Brynda.

    Tomas
    SQ software engineer

    #250409
    Administrator
    1773 Posts

    I’d like to announce that SQ X B 125 has been released. It should autoupdate next time you run it.

    Check What’s new here.

     

    There were some major features added, along with fixes of issues in Tradestation/MultiCharts engine.

    Mark
    StrategyQuant architect

    #250415
    Customer
    18 Posts

    For some reason my 124 does not auto update when I run it.

    I tried couple times it just goes to 124 does no start auto updater!

    • This reply was modified 5 days, 15 hours ago by  DalFX.
    #250419
    sbecm
    Customer
    17 Posts

    For some reason my 124 does not auto update when I run it. I tried couple times it just goes to 124 does no start auto updater!

    Same here, i have restarted a few times and no update yet.

    #250421
    Customer
    260 Posts

    I think there is a bug an marc stopped the update ? I don´t know?

    I downloaded the installer and made an update

    https://strategyquant.com/download/

    but I got an errormessage. I will wait and hope the autoupdate works after the error correction( in one or two days?)

     

     

    • This reply was modified 5 days, 12 hours ago by  tnickel.
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    #250423
    RNG
    Participant
    52 Posts

    There’s no error for me, all updated very well by auto-Updater at the first run.

    P.S. The build 125, great version, great job Mark and great job to all your teammates. Well Done.

    #250425
    Customer
    79 Posts

    Same with me. Auto-update not activating, even when I directly launch StrategyQuantX.exe file. Tried about 10 times today, but no Auto-update

    Similar happened, for first 24-48hrs, after build 124 was launched. Hopefully be fixed tomorrow.

    AC1962

    #250427
    Gianfranco
    Customer
    60 Posts

    for me too….no auto update….10/15   times

    #250428
    Customer
    269 Posts

    you can still use the ZIPfile – https://www.strategyquant.com/licenses/d?code=sqxzip

    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

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