IQFeed and Strategy Monitor -> No alerts

Gamba

#1

12/3/2013 3:38 PM

I tried to get external symbol from IQFeed. Here it is the OEX.XO. This works fine in Backtest but does not work in StrategyMonitor. See attached a simple strategy, which runs on daily data. You need an IQFeed daily dataset with index OEX.XO.

The strategy should generate an alert for every symbol you run it. This works in backtest but no alert is created in SM, why?

There are no errors in the logfile. After backtest I can click on an alert and the chart shows me the correct ROC-caculation for the index, so I guess something else in SM is wrong.

You need to change time-exit variable if you test the strategy on other days, the simple logic is only for testing purposes:

CODE:
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I tried to get external symbol from IQFeed. Here it is the OEX.XO. This works fine in Backtest but does not work in StrategyMonitor. See attached a simple strategy, which runs on daily data. You need an IQFeed daily dataset with index OEX.XO.

The strategy should generate an alert for every symbol you run it. This works in backtest but no alert is created in SM, why?

There are no errors in the logfile. After backtest I can click on an alert and the chart shows me the correct ROC-caculation for the index, so I guess something else in SM is wrong.

You need to change time-exit variable if you test the strategy on other days, the simple logic is only for testing purposes:

[code]using System;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	/// <summary>
	/// Bug in IQFeed?
	/// </summary>	
	public class MyStrategy : WealthScript
	{	
		private static int TIME_BASED_EXIT = 4;
		
		protected override void Execute()
		{		
			ClearDebug();		
			
			// -----
			// External Symbols
			// ----- 
			Bars sp100Index = null;
			if (this.GetDataSetName().StartsWith("IQ"))
			{
				PrintDebug("Using IQFeed for external symbols...");
				//sp100Index = GetExternalSymbol("IQ_D1 - Indizes", "OEX.XO", true);
				sp100Index 	= GetExternalSymbol("OEX.XO", true);
			}
			else  // Yahoo or other data-provider
			{
				PrintDebug("Using !Yahoo for external symbols...");
				sp100Index 	= GetExternalSymbol("^OEX", true); 
			}
					                                                           
			
			// -----
			// DataSeries
			// -----
			ROC rocStockSeries	= ROC.Series(Close, 200);
			ROC rocIndexSeries	= ROC.Series(sp100Index.Close, 200);
					
			
			// -----
			// Plotting
			// -----
			PlotStops();
			ChartPane rocPane = CreatePane(30,true,true);
			PlotSeries(rocPane, rocStockSeries, Color.LightSteelBlue, LineStyle.Solid, 1);
			PlotSeries(rocPane, rocIndexSeries, Color.SteelBlue, LineStyle.Solid, 1);
			DrawHorzLine(rocPane, 0, Color.Gray, WealthLab.LineStyle.Dashed, 1);					
			
			
			for(int bar=250; bar<Bars.Count; bar++)
			{
				AnnotateBar(bar.ToString(), bar, false, Color.Black);
				
				if (IsLastPositionActive)			
				{
					Position p = LastActivePosition;
                     
					if (p.PositionType == PositionType.Long)
					{
						// Time-Based-Exit
						if (bar+1 - p.EntryBar >= TIME_BASED_EXIT)                  
						{
							SellAtMarket (bar+1, p, "X-LONG_TIMED"); 
						}
					}
				} 
				else if (LastActivePosition == null)  
				{
					// -----
					// LONG ENTRY 
					// -----
					if( rocIndexSeries[bar] > 0)         
					{
						Position newP = BuyAtMarket (bar+1, "E-LONG");
					}
									
				}
			}
		}
	}	
}[/code]

Eugene

#2

12/3/2013 4:25 PM

Got alerts in the SM when using at least 4 different providers (not IQFeed though) as sources of external symbol data for this script. Not sure what I'm doing wrong, although I believe that picking IQFeed (if I had it installed) won't make any difference.

Gamba

#3

12/4/2013 1:48 AM

Eugene, I cannot agree.

I tested on two different computers with the same result using WL 6.6.13 on 64Bit-Windows ...
no signal in SM but during backtest it seems to work.

At the moment I have an test account at IQFeed, but I don't think this would change anything.

How does GetExternalSymbol work?
Is it using all datasets for looking up the right symbol or only the one with the same provider of the current dataset?
Do I have to synchronize bars after getting the symbol with Synchronize(Bars)? I tried this, but doesn't seem to work either.

Update: If the symbol and/or dataset for IQFeed is not available WL crashes and closes at once without any messages.

Eugene

#4

12/4/2013 2:16 AM

QUOTE:
I tested on two different computers with the same result using WL 6.6.13 on 64Bit-Windows ...
no signal in SM but during backtest it seems to work.

I'll take a closer look, having installed IQFeed.

QUOTE:
Update: If the symbol and/or dataset for IQFeed is not available WL crashes and closes at once without any messages.

I disagree. First, WL just displays a runtime error at the bottom of the Editor. No relation to IQFeed at this point in time since here WL is traversing through the DataSets. However, I presume that some data provider (probably not installed on my machine - or I'd be able to reproduce) might be causing the crash for you. Which data provider extension do you have installed? The complete list, especially developed by 3rd parties, might shed some light on this.

QUOTE:
Is it using all datasets for looking up the right symbol or only the one with the same provider of the current dataset?

The answer is in the QuickRef. Both ways are supported.

Gamba

#5

12/4/2013 2:41 AM

No error message only a clean crash. Here is my list of installed data-providers, but will this solve my initial question?

Aronow Software LLC Watchlist Provider
ASCII Files
BBFree Static
EODScalingProvider
Excel provider
Forexite
FRED fundamental
Google finance
IQFeed
Market Sentiment
MetaStock Format Data
MSN
PiTrading
QuoteMedia
Random provider
ThinkNUm fundamental
TradingBlox
WL4 Files
Yahoo! Finance

Hope Cone or someone else could test it with IQFeed and WL 6.6. At the moment it is a bug for me.

Eugene

#6

12/4/2013 3:00 AM

QUOTE:
No error message only a clean crash.

Have the same providers installed and even more. Nothing ever crashes.

Eugene

#7

12/4/2013 3:11 AM

Gosh, I just noticed that your script is using GetDataSetName in the Strategy Monitor. As stated in the documentation for GetDataSetName, it is not supported in the SM. This will not work properly as your script will always take the external symbol's data elsewhere (e.g. Yahoo).

On developing a workaround (to what essentially is a workaround itself, as GetDataSetName is not a Wealth-Lab method), you might find these threads useful:

How to get the name of the current dataset in a strategy, reply #4
Simplify Daily Decision Making: Export Performance Charts Out Of WLD, reply #10

Gamba

#8

12/4/2013 6:36 AM

With deleting GetDataSetName nothing changed. There are still no alerts in SM. WL crashes, when Symbol oder DataSet for IQFeed is not there. This is indeed a problem!

But .... after changing the follwoing line it seems to work:

CODE:
Please log in to see this code.

Thank you Eugene for leading me to the right location. On the other side I sometimes have the dim feeling that the support is quite hard to get for such easy things. WL could be so a nice piece of software ...

Eugene

#9

12/4/2013 7:58 AM

Re: support is quite hard to get for such easy things.

Please correct me if I'm wrong, but your post gives zero hints about that commented-out line. How should technicians know that you're having trouble with it?

QUOTE:
I tried to get external symbol from IQFeed. Here it is the OEX.XO. This works fine in Backtest but does not work in StrategyMonitor. See attached a simple strategy, which runs on daily data. You need an IQFeed daily dataset with index OEX.XO.

The strategy should generate an alert for every symbol you run it. This works in backtest but no alert is created in SM, why?

There are no errors in the logfile. After backtest I can click on an alert and the chart shows me the correct ROC-caculation for the index, so I guess something else in SM is wrong.

You need to change time-exit variable if you test the strategy on other days, the simple logic is only for testing purposes:

I think you'll agree with me that should you have mentioned that factor, suggesting that a technician needs to uncomment it, maybe getting supported would become easier? So your post gave no reason to even notice that line (which usually happen to be leftover/debug lines in users' code):

CODE:
Please log in to see this code.

I had the impression that it's the 2nd (active) GetExternalSymbol call that fails. And regarding the commented out line, this has been a known issue for a year now with a workaround available:

Open Issues > (6.4) (98370) A GetExternalSymbol overload failure in Strategy Monitor

Hint: again, paying a visit to the Wiki can save from beating the dead horse. ;)

Size:

Color:

Re: support is quite hard to get for such easy things.

Please correct me if I'm wrong, but your post gives zero hints about that [u]commented-out[/u] line. How should technicians know that you're having trouble with it?

[quote]I tried to get external symbol from IQFeed. Here it is the OEX.XO. This works fine in Backtest but does not work in StrategyMonitor. See attached a simple strategy, which runs on daily data. You need an IQFeed daily dataset with index OEX.XO.

The strategy should generate an alert for every symbol you run it. This works in backtest but no alert is created in SM, why?

There are no errors in the logfile. After backtest I can click on an alert and the chart shows me the correct ROC-caculation for the index, so I guess something else in SM is wrong.

You need to change time-exit variable if you test the strategy on other days, the simple logic is only for testing purposes:[/quote]

I think you'll agree with me that should you have mentioned that factor, suggesting that a technician needs to uncomment it, maybe getting supported would become easier? So your post gave no reason to even notice that line (which usually happen to be leftover/debug lines in users' code):

[code]if (this.GetDataSetName().StartsWith("IQ"))
         {
            PrintDebug("Using IQFeed for external symbols...");
            //sp100Index = GetExternalSymbol("IQ_D1 - Indizes", "OEX.XO", true);
            sp100Index    = GetExternalSymbol("OEX.XO", true);
         }[/code]

I had the impression that it's the 2nd (active) GetExternalSymbol call that fails. And regarding the commented out line, this has been a known issue for a year now with a workaround available:

[link=http://www2.wealth-lab.com/WL5WIKI/OpenIssues.ashx]Open Issues[/link] > (6.4) (98370) A GetExternalSymbol overload failure in Strategy Monitor

[i]Hint:[/i] again, paying a visit to the Wiki can save from beating the dead horse. ;)

Gamba

#10

12/4/2013 9:21 AM

Eugene, I always look for open issues and searching the forums. But sometimes you did not find everthing or you miss a link or something else. I guess that should be recognized by WL-Support.

We are paying for support and I think we deserve a friendly and helpful place to post our questions. Support should always be open for questions of novice and advanced users and should give the users a good feeling regarding their software they use.

Thanks again for being so patient and for your help..
Holger

Cone

#11

12/4/2013 10:00 AM

fwiw, I looked at this yesterday and saw the commented line, which lead me to believe that you already were working around the open issue; therefore I had nothing else to offer.