MultiCharts: Trading Software for Automated Trading and Backtesting

I'm interested in automating Futures Options orders. Very simple concept, goes something like this:

On a chart of two data symbols, where Data1 is a Futures Options symbol, July Treasury Bond CALL option of Strike Price 136 (USN14 C136)

And Data2 is the underlying Futures contract (USU14).

- for example...

If Close of Data2 crosses over certain Price
then BUY 1 (USN14 C136).

Is that possible in MultiCharts, and could it be transmitted and successfully executed in Interactive Brokers account?

Hello Freakendorf,

That is possible to do that.

Your trading series is always the main data series (data1).
You can add second, third, etc. data series (subcharts) with XXX instrument and XXX resolution to your chart.
The same can be done in Portfolio Trader.
In the script the subcharts’ data (DataN) can be accessed from the code and the calculation can be based on the subcharts’ (data seriesN) data.
for ex. buy next bar at close of data2.
In MultiCharts the second data series is added using Format tab->Instrument->Add.
In Poftfolio Backtester the second data series is added using the vertical Data columns.

For more information please see TJ's post #4 in [FAQ] Multiple time frame, Multi-Data Analysis

Thanks, Henry!

Here's the problem: only very few random trading signals are being generated, and in many cases even none at all. Despite trying various combinations of time frames and bar intervals, most of the obvious signals are absent from the historical chart.

I'm trying to understand the reason behind that. Does it have to do with the fact that the futures options instruments (Data1), which is supposed to generate the signals is very thinly traded?! But then again, why should that be a factor in generating the signals?!

By replacing Data1 with a Futures contract instead of the Options, signals seem to be generated as expected!

So, what do we make of that and how can you generate trading signals for Futures Options in this case?

Any suggestions?

For MultiCharts it does not matter whether you have Futures Option or regular Futures on your chart. The studies are being calculated on the data you have on your chart. If the conditions in the code are not being met then the orders are not being generated. Please refer to the following article to learn how to study this situation.

The referenced article and the method are very useful, but not in this case. We are not talking about orders not being sent to brokers, but rather not being generated at all in the historical chart when a strategy is applied - even though conditions are met.

The puzzle I'm facing is that just by changing the Instrument of Data1 from Option to Futures contract, the correct trading signals immediately appear on the historical chart as they're supposed! This suggests that it has something to do with how actively traded Data1 instrument is. But I'm not sure of that. For instance, if a signal is generated based on a condition met in Data2, but there are no trades taking place at this moment in the thinly-traded Data1 instrument (no bars forming), would an "Arrow" indicating a signal still appear on the Data1 chart showing that a trade has taken place?! - or the market had to be actually trading at this moment for that to happen?

Here's the code, if any one can duplicate and see if proper signals are generated:

Data1 is OZBQ14 C136 (10 Ticks)
Data2 is USU14 (1000 Ticks) - But these resolutions could be changed if needed.
In the attached image of the chart, notice the absence of any trade signals in Data1, despite the repeated crossover of the Close of Data2 to the Price (the dotted yellow horizontal line).

Looking forward for the explanation, any suggestions or solutions.

The puzzle I'm facing is that just by changing the Instrument of Data1 from Option to Futures contract, the correct trading signals immediately appear on the historical chart as they're supposed!

Given that your data 1 is not very active compared to data 2, have you tried using the Recalculate reserved word together with IOG? For more, see how signals are calculated.

The referenced article and the method are very useful, but not in this case. We are not talking about orders not being sent to brokers, but rather not being generated at all in the historical chart when a strategy is applied - even though conditions are met.

Freakendorf, the article is not only about "orders not being sent to brokers", but also about "why an order was not generated in backtesting". You can debug your code using the provided in the article code sample.

In the future please do not create a new thread for the same question.