So I have a building block strategy built for 60 minute intervals on TQQQ and QID. This morning the backtest shows it should've executed a trade but my brokerage account shows no trades for the day. I have my strategy monitor set to Streaming Bars and to have a 60 minute refresh rate
The bottom position is the one that should've executed today
And here's my strategy monitor log for the day
The bottom position is the one that should've executed today
And here's my strategy monitor log for the day
Rename
You're not showing the trade times. Let's start there. For example, if the trade is on the open at 09:30, the order should have been placed entered yesterday when the signal occurred on the last bar.
Ok, is the trade times the timestamp in the Order Manager?
Unfortunately my task scheduler restarted my wealth-lab so I cannot show you the orders from yesterday :( but I can provide you with anymore information you need
Unfortunately my task scheduler restarted my wealth-lab so I cannot show you the orders from yesterday :( but I can provide you with anymore information you need
We're comparing it with the backtest - the first image you posted has the times cut off. Make the columns wider so that we can identify the times that that trades should have occurred in the backtest (and therefore in live trading).
Also, based on the run times shown in the S. Monitor, you're local time zone is CST, right?
Also, based on the run times shown in the S. Monitor, you're local time zone is CST, right?
Oh I'm sorry here's the backtest with the widened columns. And yes sir I am in the Central Time Zone
Okay, it's the QID trade at 12:30.
It's clear from the S. Monitor log that there was a problem updating the data - every hour showed "No Updates for 2 Symbols". That looks like a bug since without a doubt there should be data for those symbols.
I'll take a look at 60-minute bars processing with the TD Ameritrade provider on the next session (Tuesday). It appears that you were using Streaming Bars, so we'll start there.
Since you're only updating 2 symbols every hour, "Polling" is a good option too. Give that a try for the next session, pending the Streaming Bars investigation.
It's clear from the S. Monitor log that there was a problem updating the data - every hour showed "No Updates for 2 Symbols". That looks like a bug since without a doubt there should be data for those symbols.
I'll take a look at 60-minute bars processing with the TD Ameritrade provider on the next session (Tuesday). It appears that you were using Streaming Bars, so we'll start there.
Since you're only updating 2 symbols every hour, "Polling" is a good option too. Give that a try for the next session, pending the Streaming Bars investigation.
Will do. Thank you for taking your time to help!
Hey Cone, not sure if it helps but here's the trading log for this morning using the Polling data option instead of Streaming Bars.
I wasn't able to detect a problem with Streaming Bars with 60 minutes or any interval during market hours. I have some observations, however...
o Al least today, TD wouldn't return premarket (historic) bars for the current day.
o TD streaming is including odd lots - historic charts should only contain full-lot trades to match provider's historic bars. We'll change that in the next update.
o TD Streaming Bars do not function during the premarket. I vaguely recall that, but it should be noted in the User Guide. (Maybe it's just today after a holiday, so we'll have to see if that persists.)
o Polling updates faster than Streaming Bars.
At least for just a handful of symbols, Polling was able to update and run the strategy within 2 seconds of the end of bar, whereas there is a typically 6 second delay with Streaming Bars.
Based on this, I'd definitely use Polling for a handful of symbols at TD Ameritrade.
o Al least today, TD wouldn't return premarket (historic) bars for the current day.
o TD streaming is including odd lots - historic charts should only contain full-lot trades to match provider's historic bars. We'll change that in the next update.
o TD Streaming Bars do not function during the premarket. I vaguely recall that, but it should be noted in the User Guide. (Maybe it's just today after a holiday, so we'll have to see if that persists.)
o Polling updates faster than Streaming Bars.
At least for just a handful of symbols, Polling was able to update and run the strategy within 2 seconds of the end of bar, whereas there is a typically 6 second delay with Streaming Bars.
Based on this, I'd definitely use Polling for a handful of symbols at TD Ameritrade.
Ok great!
From my log I just sent, does it look like everything is working correctly on my end?
From my log I just sent, does it look like everything is working correctly on my end?
What log? Where did you send it?
Sorry I meant the log from Message #7 up above
QUOTE:No, it does not. The 09:30 pass (10:30 EST) returned no data.
does it look like everything is working correctly on my end?
What were the red-redacted dates?
Please confirm that you have TD Ameritrade "checked" in Data Manager > Historical Providers and that your refresh token is valid. It must be because I can see that the initial load came from "TD Ameritrade".
Depending on the redacted dates, it doesn't make sense that you get an update with one request and then not with a data request done in the very same way (polling).
Yes, TD Ameritrade is checked in the Historical Providers Tab and my TD Ameritrade Token is valid.
Apologies for the redacted areas, at that moment I thought it was the account number for some reason. Here's the log with no red below.
See Log below this message
Also, here is what I am currently seeing in the home tab of my Data Manager Window.
Apologies for the redacted areas, at that moment I thought it was the account number for some reason. Here's the log with no red below.
See Log below this message
Also, here is what I am currently seeing in the home tab of my Data Manager Window.
After further investigation in the log, it looks like the monitor was able to execute a market close order. Although, every previous api call comes back with 0 symbols.
These are my guesses:
1. My Historical providers need to be updated daily, which I had not done before.
2. My application is not receiving the TD Ameritrade intraday api requests correctly. Although, that shouldn't be a problem, since I'm on Build 11 for the TD Ameritrade Extension and Build 32 for Wealth-lab.
I highlighted the executed part in green
These are my guesses:
1. My Historical providers need to be updated daily, which I had not done before.
2. My application is not receiving the TD Ameritrade intraday api requests correctly. Although, that shouldn't be a problem, since I'm on Build 11 for the TD Ameritrade Extension and Build 32 for Wealth-lab.
I highlighted the executed part in green
QUOTE:You need to select the 60 minute interval to see the details there.
so, here is what I am currently seeing in the home tab of my Data Manager Window.
You don't really need to "update" - WealthLab does this automatically when you need the data. The thing is that it looks like it's updating for the previous day, but then you're not getting any new data for "today".
How have you configured the Data Range Settings in the Strategy Monitor configuration?
My Data Range is set to: All Data,
Scale is set to: 60 Minute,
Filter Pre/Post Market is checked,
"Use Polling" is selected,
Streaming Provider is set to TD Ameritrade
Scale is set to: 60 Minute,
Filter Pre/Post Market is checked,
"Use Polling" is selected,
Streaming Provider is set to TD Ameritrade
It shouldn't be a problem with "All Data", but try something different. Please try 500 most-recent bars?
If you need more for the strategy's seed data, go ahead, but generally when you're trading, it's best to keep the amount of data to a minimum so that strategies run more quickly, less resources required, etc.
Edit -
I was able to duplicate the problem when using "All Data".. so this appears to be the issue.
If you need more for the strategy's seed data, go ahead, but generally when you're trading, it's best to keep the amount of data to a minimum so that strategies run more quickly, less resources required, etc.
Edit -
I was able to duplicate the problem when using "All Data".. so this appears to be the issue.
Will do.
I will keep you updated if there's anymore issue with the log, but since you were able to replicate my error, it sounds like you have found the problem.
Thanks for the help, Cone!
I will keep you updated if there's anymore issue with the log, but since you were able to replicate my error, it sounds like you have found the problem.
Thanks for the help, Cone!
Thanks for discovering the issue. It made me look at polling from TD Ameritrade. Even with 30 symbols, all updates occur and the strategy is finished in less than 2 seconds of end-of-bar. It's quite the discovery that polling is actually the preferred update method for TDA - even for 1 minute bars - despite our old habit of favoring Streaming Bars, which don't arrive until 5 or 6 seconds after the minute mark (for TDA).
Are you having success loading N-bars?
Are you having success loading N-bars?
Unfortunately I don't think so, Here's my log and current Strategy monitor Settings.
Log
Strategy monitor settings
Log
Strategy monitor settings
This is too bizarre. Could we meet on a Zoom call so that we can go through it together? Please send a message to zoom@wealth-lab.com with a day/time you're available (during market hours).
Absolutely. Sorry this is so complicated, I hope its not something I should've figured out on my own.
No worries!
For future reference, the problem here was that the data feed was delayed 15 minutes, so the S. Monitor wasn't receiving an up-to-date bar. That won't work! :)
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