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10.1 Release Notes

Trevor Harnett
posted this on April 06, 2010 15:45

  • Support for Rithmic/Zen-Fire Trading Platforms
  • Direct Brokerage Support for Interactive Brokers
  • Efficiency Improvement Using Invisible Instruments
  • New Indicator: Woodie's CCI (RTL WCCI)
  • New Indicator: Two Array Statistics (RTL TAS)
  • New Indicator: ATR Stop (RTL ATRS)
  • New Indicator: Empirical Mode Decomposition (RTL EMD)
  • New Indicator: QuoteBoard
  • Data Retention Options Simplified
  • Exporting Instrument Data in a Chart
  • File: Open: Admin File... Menu Item
  • Smart Tick Compression
  • Keyboard Shortcuts Added for Chart Scrolling
  • Miscellaneous 10.1 Fixes and Improvements

 

  • Support for Rithmic/Zen-Fire Trading Platforms
    MarketDelta 10.1 introduces support for Rithmic and Zen-Fire, high-speed electronic trading networks used by Mirus Futures, Amp Futures and other brokerages. The MarketDelta platform provides integrated access to the Rithmic and Zen-Fire networks for market data, historical data, and brokerage execution, bringing the powerful decision support capabilities of MarketDelta to clients using Rithmic or Zen-Fire brokerage accounts. Trading via Rithmic and Zen-Fire is implemented using the "Trading Order" infra-structure of MarketDelta. Trading orders are created and saved by name using the Trading Order Desk window. Trading orders can then be executed directly from the Order Desk window, or by clicking trading order buttons deployed inside MarketDelta charts; they can be triggered automatically by trading signals that fire within a chart when user-specified market conditions occur; they can be integrated into powerful trading systems created by the user with the Trading System Tools (MarketDelta tools for back testing, optimization, and deployment of automated trading systems). Initially, MarketDelta trading orders for Rithmic or Zen-Fire support Buy and Sell order actions for order types: market, limit, stop, stop limit. Cancel Order, Cancel All Orders, and Open Order/Position Status Requests are also supported via the Trading Order setups. A "Revise Order" order action is supported; it enables the user to submit revisions to open stop orders, limit orders and stop limit orders. Both order quantity and stop/limit prices may be revised. The revise order works well in conjunction with charts that contain Reference Lines that the user designates as the stop or limit price with an associated user variable. The user can set his stop price and limit price V# variables by dragging the appropriate reference lines to the desired price points in the chart. Then trading orders (e.g. a sell stop order) that reference the V# variable(s) are submitted and become open orders. Later, the user can drag and drop either the stop or limit line as desired and submit (e.g. via a click on a chart button) a Revise order to adjust the stop and/or limit price. Mouse click selection of stop and limit prices is also supported. When a trading order with this setup is submitted, the chart prompts for the stop or limit price. The user clicks in the vicinity of the desired price to see a price ladder of nearby prices and picks the precise stop or limit price from this list.

    Fill reports and order status updates are handled by MarketDelta, updating the Trade Position Size (TR_POS) and Trade Fill Price (TR_FILL) quotepage columns and RTL variables. All order fills are recorded automatically in the MarketDelta Portfolio corresponding to the Rithmic or Zen-Fire account name in use. The user creates a portfolio account with the name of their brokerage account; the portfolio window will update in real-time as positions are opened and closed, showing gain/loss and other data about each open position. Support for other order types, e.g. Limit if Touched, Market if Touched orders will be added later in the beta testing period. The trading order architecture of MarketDelta is a foundation; it is an infra-structure for conveying brokerage orders to a brokerage destination. We will build on this foundation in future releases, adding user-interface components and brokerage strategy setups to further simply various kinds of user-directed trading. Videos on using the trading capability can be found at http://www.screencast.com/users/MarketDelta/folders/Trading.
  • Direct Brokerage Support for Interactive Brokers
    Version 10.0/10.1 introduces direct-to-broker support for IB. Users of the IB Edition of MarketDelta may now create and execute Trading Orders with destination "Interactive Brokers" and those orders will be conveyed directly to TraderWorkstation. Fill reports and order status updates are handled by MarketDelta, updating the Trade Position Size (TR_POS) and Trade Fill Price (TR_FILL) quotepage columns. New to the direct-to-brokerage implementation for IB users is that all fills are now recorded automatically in the MarketDelta Portfolio corresponding to your IB account. For example, you wish to "paper trade" using an IB account DU12345, you create a portfolio account with that name and it will update in real-time as positions are opened and closed. Initially, MarketDelta supports Buy, Sell, and Sell Short order actions and order types: market, limit, stop, stop limit, market on close, limit on close. During initial beta testing deployment of these new trading features trading orders will be permitted only on IB paper trading account. Those interested in live trading using MarketDelta trading orders during the beta testing period please contact Linn Software after having thoroughly tested these trading methods using a paper trading account.

    At present the new direct-to-broker support for the "Interactive Brokers" destination is limited to users running IB/TWS as their data source.

    Direct-to-Broker trading order destinations will be expanded over time to include additional data sources that support brokerage execution. Support for mixing brokerage configurations with real-time data sources that do not have built-in brokerage capability are also planned, e.g. using Interactive Brokers trading order execution while MarketDelta is configured for DTN IQFEED or eSignal. In general, future plans include tighter integration of brokerage activity across all aspects of MarketDelta and the addition of user-interface components and brokerage strategy setups to further simply various kinds of user-directed trading. We welcome feedback and recommendations from customers as we move forward in this area.
  • Efficiency Improvement Using Invisible Instruments
    The MPD Indicator within multi-pane charts runs MUCH more efficiently when bars of the MPD periodicity and instrument are added invisibly to the chart. MPD then uses those invisible bars without having to load data each time it calculates. The net effect is a much more efficient MPD. Prior to version 10.1b8, the user was responsible for adding these invisible bars to the chart and ensuring that they were setup properly. Now, MarketDelta will automatically add these invisible bars to the chart with the proper setup. In short, the user now will get the most efficient implementation of MPD each time without needing to be concerned with adding additional bars/instruments to the chart. This is a very convenient enhancement for user of the MPD indicator.
  • New Indicator: Woodie's CCI (RTL WCCI)
    An Indicator titled Woodies CCI has been added to the library of technical indicators. This indicator implements the WCCI as described here: www.woodiescciclub.com.
  • New Indicator: Two Array Statistics (RTL TAS)
    A new indicator called Two-Array Statistics has been added to the library of Technical Indicators. This indicator allows the user to compute a variety of statistics historically between any two arrays of custom indictors, including: Slope, R-Squared, Correlation, Product, Ratio, Difference, and Sum.
  • New Indicator: ATR Stop (RTL ATRS)
    A new indicator titled ATR Stop has been added to the library of technical indicators. ATR Stop helps define the current trend. The indicator plots a line/dot above the prices bars when a downward trend is detected, and a line/dot below the bars when an upward trend is detected. These lines are commonly used as trailing stops. This indicator is commonly used as a exit tool rather than an entry technique. When price crosses the ATRS value, the trend reverses and VSTOP moves to the other side of price.
  • New Indicator: Empirical Mode Decomposition (RTL EMD)
    A new indicator titled Empirical Mode Decomposition Indicator (EMD) has been added to the library of technical indicators. The Empirical Mode Decomposition Indicator (EMD) helps identify whether a market is in a cycle or trend mode. This indicator is discussed in the article titled "Empirical Mode Decomposition" in the March 2010 Issue of Stocks and Commodities magazine, by John F. Ehlers and Ric Way. According to the article, when the Trend Component rises above the Average Peaks, the market is in an uptrend, when it is below the Average Valleys, the market is in a downtrend, and when it is between the two, the market is in cycle mode.

    The EMD indicator has 4 optional components: the Bandpass Filter (or cycle component), the Trend Component, the Average Peaks, and the Average Valleys. The inputs include price, period, delta, and fraction. The price defaults to High + Low / 2. The period should reflect the cycle period (or frequency) of the market being studied and defaults to 20 bars. The delta should be set to half the bandwidth with common values of 0.1 to 0.5. The fraction is the fraction of the average peaks and valleys used to display the upper and lower limits for the trend component. This value is subjective and can be adjusted to fit your trading style. For swing trades that prefer to trade in cycle mode, a larger fraction might be used such as 0.25.

    For more information on this indicator, please refer to the March 2010 Issue of Stocks and Commodities magazine, by John F. Ehlers and Ric Way.
  • New Indicator: Quoteboard
    A new indicator titled Quoteboard has been added to the library of technical indicators. The QuoteBoard allows the user to display columns of price and volume data on multiple symbols within a multi-pane chart. The QuoteBoard has extended capabilities including automatic sorting of the price rows within each symbol, hot/cold color shading or custom coloring of each row, price or tick display options, auto-sorting of symbols based on % Change, and much more. The QuoteBoard allows users to plot key Market Profile price values, OHLC, Pivot Levels (daily, weekly, monthly), all in a single column with automatic sorting and coloring.  A video about this can be found at http://www.youtube.com/watch?v=otDOIPXeW6I.
  • Data Retention Options Simplified
    For most MarketDelta users, the Setup: Instruments (Symbols) window no longer offers checkboxes for daily, weekly, or monthly data retention. The recommended settings of daily data retention, no weekly and no monthly data retention will be used. These have long been the recommended settings, suitable for most users of MarketDelta. Weekly and monthly charts utilize the underlying daily historical data to draw the weekly or monthly bars. We are removing these options because they can be confusing; some mistakenly assume that it is necessary to retain separate weekly or monthly historical data in order to view weekly or monthly charts.

    MarketDelta is capable of producing monthly, weekly, or daily charts from 1925 to present when there is adequate data on file. While daily bar data is hard to come by going back that far, long term weekly or monthly data for equities, indexes or continuous futures contracts can be imported for analysis. The weekly or monthly data retention options are useful for this purpose. You may want to retain only a few years of daily bars, a decade of weekly bars and several decades of monthly bars. This reduces data storage requirements compared with keeping many decades of daily bars, although storage savings are insignificant except when a very large universe of symbols is involved. Generally, the weekly/monthly options are of little interest to futures traders. We are simplifying the user interface while keeping these seldom needed retention options available to any MarketDelta user who wishes to use them via a configuration setting. Any user who has made weekly or monthly data collection a default setting (see Setup: Preferences: Instruments) will continue to see the three retention options in the Setup: Instruments window.

    Alternatively, you may wish employ the recommended default settings, but utilize weekly/monthly retention on only certain symbols. This can be accomplished by adding a setting to the configure.txt file. Add the line:

    EnableWeeklyMonthlyRetention=TRUE

    to the configuration file (File: Open: Configuration File) and Save the file (Ctrl-S or File: Save: Save). Thereafter daily, weekly, and monthly retention check boxes will be available once again for specifying your preferences for any symbol.
  • Exporting Instrument Data in a Chart
    Instrument data of any periodicity contained in a multi-paned chart may be exported to text now by right-clicking inside the chart window and choosing Export: Instrument Data. The Export submenu is new in 10.1, allowing export of any indicator data or instrument data in the chart. If there are multiple instruments inside the chart, a list of them will appear for selection. If there is only one instrument in the chart or if a particular instrument is selected in the chart when you do the Export: Instrument Data command, that instrument will be exported without prompting.
  • File: Open: Admin File... Menu Item
    The File: Open submenu now has an Admin File... menu item that will start the file selection process at the MarketDelta Admin folder. On Windows XP, the Admin directory is located in the installation folder, typically named investrt, located in the Program Files directory. On Windows 7 and Vista, the Admin folder is located in the LinnSoft directory within the C:\Users\username directory, where username is your Windows 7/Vista user login. The File: Open: File... menu item starts the file selection process at the mostly recently accessed directory, while File: Open: Admin File... simply makes the Admin folder the starting location for opening a file. When using the File: Open: File or the File: Open: Admin File... menu items, if you hold down the Ctrl Key, navigation will begin at the install folder on XP, or at the local Mktdelta folder on Windows 7/Vista. Finally, on the main toolbar, the "Open Group" button also serves as an Open File button if you hold down the Ctrl Key while clicking on it. File selection begins at the install folder on XP, or at the local Mktdelta folder on Windows 7/Vista.
  • Smart Tick Compression
    MarketDelta 10.1 introduces Smart Compression of Tick Data. This optional feature can be enabled in Setup: Preferences: Historical Data. Check or uncheck the box titled "Use Smart Compression of Tick Data". When Smart Compression is enabled, ticks are stored in the MarketDelta database in a more compact form by consolidating the trading volume for ticks which occur at the same time, price, bid and ask. The consecutive ticks are stored as one consolidated tick having a trading volume representing the cumulative volume of the component ticks.

    Our tests with financial futures tick data show Smart Compression reduces the stored tick count consistently by over 85%. Similarly, actively traded equities showed a 50-70% reduction. This reduction in tick counts leads to reduced storage requirement on the database, reduced memory footprint for tick-based charts, and reduced processing time when opening charts that use tick data. Smart Compression has a widespread beneficial impact on the performance and functionality of MarketDelta: more tick data can be stored in the database, Market Profile and Multi-paned charts load and process much faster, databases verify and backup faster, backtesting and optimization of trading systems run faster, etc. For example, a futures trader having a tick data retention setting of 3 days could retain 20 days of tick data using less space on the database by enabling this feature.

    When Smart Compression is enabled, there are some aspects of MarketDelta that are adversely affected; this is why Smart Compression is optional. One obvious impact is for ticks/bar periodicity, where actual tick count is used to construct each bar. If ticks/bar charts are a part of your analysis, such charts will reflect compressed ticks/bar and will not reflect the actual trade count per bar. All other periodicities (Volume Bars, Range Bars, all fixed time interval bars) will be identical whether Smart Compression is enabled or not. Advanced volume functionality such as the Profile Indicator (Volume at Price / Delta at Price), the Volume Breakdown Indicator (Delta per Bar), and VWAP will be computed correctly when Smart Compression is enabled. Some of results choices for the Volume Breakdown (VB) Indicator are affected when Smart Compression is enabled. This includes any VB based on Trades instead of Volume, and any VB setup with a result that is based on tick counts. Tick count results include: Total Trades/Ticks; Average Size; Big Trades %; Average Buy Size; Average Sell Size; Buy Trades/Ticks; Sell Trades/Ticks.
  • Keyboard Shortcuts Added for Chart Scrolling
    You may setup function key shortcuts for scrolling multi-paned charts left or right one bar at a time. This has been a requested alternative to having to repeatedly click the scrollbar. The Scroll Left and Scroll Right actions are extensions to the chart toolbar. In Setup: Preferences: Keyboard Shortcuts, choose "Toolbar / Chart" as the Action and pick "Scroll Left" or "Scroll Right" from the list of chart toolbar actions for your shortcut. If you setup F2 as Scroll Right, for example, you may then scroll the chart so it is positioned at some starting date and time in the past; then tap F2 repeatedly to bring one new bar at a time into view.
  • Miscellaneous 10.1 Fixes and Improvements
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    Layout Toolbar now permits empty layouts to be saved.
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    Fundamental data items "Short Interest" and "NAICS" (industry classification code) are now available on IQFEED for display in quote pages. Either column may also be used in RTL formulas.
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    Configuration variables were added. Use "AutoAddTempInvisInstruments=false" to turn off automatic addition of temporary invisible instruments. The default is true, the invisible instruments improve multi periodicity efficiency, when the Profile indicator and/or MPD indicator is used. For IB users, use "IBHistoricalPacingInterval=15" to allow 15 seconds between each IB backfill request. Default is 10 seconds. IB users with a DTN MA subscription have no pacing restrictions.
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    Various tweaks for Windows 7/Vista were made. Pinned toolbars now align perfectly with their associated windows (as they long have on Windows XP). The position, size, and maximized state of the main MarketDelta task window is now properly re-instated at startup.
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    Windows users will see a warning message if memory usage reaches an abnormally high level. The default warning level is 250MB, far beyond the memory footprint normally required by MarketDelta. Users with memory intensive workspaces can increase this threshold if the warning is bothersome. Use the configuration file variable "MemoryUsageWarningMB=300" for example to set the threshold to 300. If you see this warning consult with support to diagnose the cause of such abnormally high memory usage requirements.
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    A bug was fixed in the Layout Toolbar. The Layout in effect when quitting was being retained as the startup layout only if the "Automatically Save Layout Changes" option was on for the layout. When this option was off, the "Last Session Layout" was mistakenly established as the active layout the next time MarketDelta is started.
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    Clicking on a ticker symbol inside a chart quoteboard indicator will change the current chart to that symbol. This makes it very convenient to use the quoteboard as quickly changing symbols in the rest of the chart. If you set the multi-linking color of the chart to black using the color box at the lower right corner of the chart window, the chart becomes locked; symbol substitutions from multi-link operations or quoteboard clicks are disabled.
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    A configuration variable was added to allow Windows users to specify whether the crosshairs show the price level near the intersection point of the crosshair, the new default behavior, or show the price level at the far right of the horizontal crosshair line near the price axis as in prior versions. Users who prefer to see the price at the vertical scale can open the File: Open: Configuration File; add this line to the bottom and save the file (Ctrl-S).

    ShowPriceAtCrossHair=false
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    A configuration variable was added for limiting the size of historical data arrays. The configuration variable, MaxMemoryArraySize, defaults to zero, meaning no limit. If MaxMemoryArraySize is set to a number, this number is multiplied by 1 million to set the limit on the size of historical data arrays. In prior versions of MarketDelta, a limit of 10 million could be imposed by checking a box in the Historical Data preferences window. Setting MaxMemoryArraySize=10 in the configure.txt configuration file has a similar limiting effect. When a limit is specified, attempts to open charts that call for millions of ticks to be loaded will fail if the tick data collection size exceeds the limit. The recommended setting is 0, no limit. If you are experiencing out of memory conditions, setting a limit of say 10 (million) will alert you to the chart that may be requesting too much memory before the out-memory condition actually arises.
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