Trading on Range Bars

Created at 19 Oct 2023, 13:04
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acrigney

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Joined 25.05.2017

Trading on Range Bars
19 Oct 2023, 13:04

Guys I am trying to run my usual bots on Range Bars e.g Ra5 or 5 ticks in the range with limit orders. But I am getting an error. Technical error with no details as to why.

I thought it might have been the distance the limit order is taking is tool small, I have tired 1 pip and 3 pip targets.

Is there anything extra I should know about running bots on Range bars. I am using the OnTicks event, should I be using OnBars?

@acrigney
Replies

PanagiotisChar
20 Oct 2023, 05:33 ( Updated at: 20 Oct 2023, 05:35 )

Hi there,

If you help us reproduce this, we might be able to spot the issue for you

@PanagiotisChar

acrigney
20 Oct 2023, 05:41

RE: Trading on Range Bars

Thanks mate the problem was that on Range bars I could not use expiry times for my orders. Also on backtesting I could not run all of my ML models in parrallel that use time bars, I have an ensemble of models for them. But I guess they would work on live though but I can't really have bots that you can backtest and bots that you can't. But the Range bar model looks really good on the backtest and I can still ensemble it with other models., I am using a model generaled on the 5 tick range with almost 2 years of data.

PanagiotisChar said: 

Hi there,

If you help us reproduce this, we might be able to spot the issue for you

 

@acrigney

acrigney
24 Oct 2023, 11:50

RE: RE: Trading on Range Bars

acrigney said: 

Thanks mate the problem was that on Range bars I could not use expiry times for my orders. Also on backtesting I could not run all of my ML models in parrallel that use time bars, I have an ensemble of models for them. But I guess they would work on live though but I can't really have bots that you can backtest and bots that you can't. But the Range bar model looks really good on the backtest and I can still ensemble it with other models., I am using a model generaled on the 5 tick range with almost 2 years of data.

PanagiotisChar said: 

Hi there,

If you help us reproduce this, we might be able to spot the issue for you

 

Thanks mate are you saying that I should be able to use orders with expiry times on Range charts? And with backtesting on a 5 pip range, will I get all of the data as my bots missed most of the trades on live that I got during backtesting.

@acrigney

PanagiotisChar
25 Oct 2023, 06:01

Hi there,

I didn't say anything as your problem is still not clear to me. I would be able to advise you only if I am able to easily reproduce the issue.

@PanagiotisChar

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