Hi Guys,
I use IQFeed to receive NYSE Volume up/down indices to provide one of
my exit scenarios, however there has been a difference between real
trading results and the backtest. I trade intraday on 5 minute bars.
My code is as follows:
SetForeign("Vind.z");
downv = C;
RestorePriceArrays();
SetForeign("Vina.z");
upV = C;
RestorePriceArrays();
Vdir = upv-downv;
Sell = Ref(Vdir,-1)<Ref(Vdir,-2);
Cover = Ref(Vdir,-1)>Ref(Vdir,-2);
The downv and upv variables are set be be based on closing prices,
however the Sell/Cover only refer to the previous bar, or the bar
before that, so there should be no look-ahead problems between real
trading and backtest.
I paint my exit bars white, and at the time of the exit in the real
trade, I do not remember seeing this exit bar being white, only much
later when I verified my real trades with backtested trades later in
the day. It was white at that time, however.
I am thinking that for some reason, perhaps Amibroker is not updating
the foreign tickers as quickly as the main ticker (@NQ#). Is this
possible? That I could not be getting quotes from a foreign ticker in
time to base the trading decision?
If this is possible, is there anything than can be done to get them
updated in time? I already have those tickers (Vina.z and Vind.z) as
open charts in Amibroker, with the setting 'RequestTimedRefresh( 1 )'.
Any help is much appreciated.
Adrian
