Generate-a-timestamp-for-Use-granular-limit-stop-processing

2022-06-24T15:21:58Z - 2022-06-24T15:21:58Z ago

Generate a timestamp for "Use granular limit/stop processing"

Would it be possible to add the time stamp in the position list when using "use granuar limit / stop Processing" with a smaller granular Scale (even for the NSF Positions)?

#FeatureRequest

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Glitch8

( 12.10% )

2022-06-24T15:33:56Z - 2022-06-24T15:33:56Z ago

It won’t be possible for the nsf positions because they’re not even displayed there.

Friedel47118

2022-06-24T16:51:31Z - 2022-06-24T16:51:31Z ago

and for the NSF in the Signals list (closing positions)

Friedel47118

2022-06-24T18:20:55Z - 2022-06-24T18:20:55Z ago

seems to be quite the same as "Display Execution time when Granular is on"

Friedel47118

2022-06-24T19:53:47Z - 2022-06-24T19:53:47Z ago

Does GetPositionsAllSymbols contains the information about the time the order was filled in WL, so one can output it through WriteToDebugLog?

Cone8

( 6.32% )

2022-06-25T11:58:53Z - 2022-06-25T11:58:53Z ago

Here's an example of methods to output the NSF positions and their granular entry times in the debug window.

CODE:
      using System.Linq;
      // List   the   NSF   Positions      
      public override   void PostExecute(DateTime dt, List<BarHistory> participants)
      {
         List<string> nsfs =   GetPositionsAllSymbols(true).Where(x =>   x.NSF == true).Where(x => x.EntryDate == dt).Select(y => y.Symbol).ToList();
         if (nsfs.Count > 0)
         {
            WriteToDebugLog(dt.ToShortDateString() + "\tNSFs: " + String.Join(", ", nsfs), false);         
         }
      }

        public override void BacktestComplete()
        {
         WriteToDebugLog("Backtester.TransactionLog.Count = " + Backtester.TransactionLog.Count.ToString(), false);
         List<Transaction> tns = Backtester.TransactionLog.Where(x => x.IsEntry == true).Where(x => x.NSF == true).ToList();
         
         WriteToDebugLog("NSF Count = " + tns.Count + ", and here are their granular entry timestamps...", false);
         foreach(Transaction   t in tns)
         {
            t.Bars.Symbol + "\t " + t.GranularWeightBasis.ToString(), false);
         }
      }

Best Answer

Friedel47118

2022-06-25T14:30:56Z - 2022-06-25T14:30:56Z ago

I think in the last line of the Code a

CODE:
WriteToDebugLog(

is missing.

What i see is, that the granular data are empty?

CODE:

...
MRC    01.01.0001 00:00:00
WHD    01.01.0001 00:00:00
EOG    01.01.0001 00:00:00
EPM    01.01.0001 00:00:00
HNRG    01.01.0001 00:00:00
PBT            01.01.0001 00:00:00
PBF            01.01.0001 00:00:00
SWN    01.01.0001 00:00:00
USEG    01.01.0001 00:00:00
ZYXI    01.01.0001 00:00:00
DK            01.01.0001 00:00:00
EGY            01.01.0001 00:00:00
SRPT    01.01.0001 00:00:00
HDSN    01.01.0001 00:00:00
PBT            01.01.0001 00:00:00

Obviously I'm doing something wrong.
In the "Historical Providers" list IB is in the first place and minute data are loaded, in the advanced settings Use Granular Limit is checked and Granular Scale 1 Minute is selected.

Friedel47118

2022-06-25T16:06:20Z - 2022-06-25T16:06:20Z ago

It works! Thanks a lot!
I double checked the tutorial video. IB was in the first position but not checked.
I update IB separately.
Now I get the data I need (I have only Minute data for the last month).

CODE:

---Sequential Debug Log---
24.01.2022   NSFs: RCL, CCL
13.06.2022   NSFs: AMD, TSLA
Backtester.TransactionLog.Count = 4085
NSF Count = 4, and here are their granular entry timestamps...
RCL    01.01.0001 00:00:00
CCL    01.01.0001 00:00:00
TSLA    13.06.2022 10:12:00
AMD    13.06.2022 09:53:00

Friedel47118

2022-06-27T10:21:13Z - 2022-06-27T10:21:13Z ago

I still get not the granular information for all NSF, I have selcted:
- Retain NSF Positions
- Use Granular Limit
- Update Granular Data during Backtest

CODE:

HUBG    17.06.2022 12:00:00
SLB    17.06.2022 10:50:00
RGCO    17.06.2022 16:00:00
ARCH    17.06.2022 10:50:00
BTU    17.06.2022 10:50:00
AINC    17.06.2022 14:30:00
*** SOI    17.06.2022 11:30:00
MNRL    17.06.2022 10:40:00
MRC    17.06.2022 16:00:00
LDOS    17.06.2022 12:10:00
CRTX    17.06.2022 16:00:00
MPAA    17.06.2022 14:20:00
MPC    17.06.2022 10:40:00
BH    01.01.0001 00:00:00   // 10 Minute Data available
ISDR    17.06.2022 15:10:00
VTNR    17.06.2022 10:50:00
HNRG    17.06.2022 11:00:00
CEIX    17.06.2022 10:50:00
SWN    17.06.2022 10:40:00
SXC    17.06.2022 15:50:00
EDUC    01.01.0001 00:00:00   // 10 Minute Data available
EPM    17.06.2022 11:00:00
WHD    17.06.2022 12:10:00
USEG    17.06.2022 13:00:00
UG    17.06.2022 15:30:00
PBA    17.06.2022 10:40:00
PBT    17.06.2022 11:00:00
WNEB    17.06.2022 16:00:00
WLK    17.06.2022 11:00:00
NOG    23.06.2022 14:50:00
ADM    23.06.2022 15:00:00
*** SOI    01.01.0001 00:00:00   // 10 Minute Data available 
SRPT    01.01.0001 00:00:00   // 10 Minute Data available
PW    23.06.2022 15:50:00

Cone8

( 6.32% )

2022-06-27T12:40:59Z - 2022-06-27T12:40:59Z ago

Intraday and daily bars are different. If the intraday data doesn't have the price required to create the trade, then it won't find the trade.

For example, daily bars could have a spike that doesn't appear in the intraday data. (Note that data spikes would be a very unlikely occurrence if using Wealth-Data.)

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