Streaming chart stops updating at 11:00 ET in Japan, alerts not generated
Author: bentonjj
Creation Date: 10/14/2016 6:29 AM
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bentonjj

#1
If I activate a strategy in the Strategy Monitor on a symbol with 1 minute bars, will the Strategy Monitor update the symbol's bars every minute then run the strategy, or does a streaming chart for the symbol have to be open so the bars update? If a chart window does not have to be open, can the strategy be run live against an entire data set, generating buy/sell alerts for all symbols in the data set? And if so is the starting capital and position size setting used in the portfolio back test used during the live run?
Sorry for all the questions but I did read the user and programing guide cover to cover but not too much coverage on live intraday trading.
So far the testing I've done did not generate any trade alerts when running live, either running a single symbol or entire data set in the Strategy Monitor, or running a strategy on a streaming chart. But when I go back and run a back test on the previous day, it shows several buys and sells marked on the chart, but when the strategy was running live on the same data no alerts were generated.
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Eugene

#2
Hi,
Which platform (WLP or WLD) and version are you using?

Also if it's WLP, how are you using it outside the U.S.? Please create a support ticket to verify your Fidelity WLP entitlement. Thanks.

QUOTE:
So far the testing I've done did not generate any trade alerts when running live, either running a single symbol or entire data set in the Strategy Monitor, or running a strategy on a streaming chart.

Most likely, your strategy does not generate alerts for one of the reasons covered in this Wiki FAQ: Alerts are not triggered.
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Cone

#3
QUOTE:
will the Strategy Monitor update the symbol's bars every minute then run the strategy
Yes.

QUOTE:
does a streaming chart for the symbol have to be open so the bars update?
No.

QUOTE:
can the strategy be run live against an entire data set, generating buy/sell alerts for all symbols in the data set?
Yes, that's the main idea for using the S. Monitor.

QUOTE:
And if so is the starting capital and position size setting used in the portfolio back test used during the live run?
See User Guide: Reference > Data Panel > Position Size Control > Operational difference between the Strategy Monitor and Backtester. We recommend that you use a Raw Profit mode setting for live trading. For example, if you use 10% equity sizing, and your account is $55,000, you'd set a $5,500 raw profit size for that day.
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bentonjj

#4
Ok thanks good info. Using WLP, I noticed when streaming to a chart the chart stops putting new bars after a couple hours, and gets "stuck" updating just the last bar. For example the streaming chart will update normally from 9:30AM ET until about 11:00AM ET, and the bar at 11:00AM will include the high and low for the rest of the trading day. I think the problem could be that the timeout was not extended on my account so once it times out no alerts can be generated. The button at the top still shows "Logout from Fidelity" but get prompted to login when trying to do certain things, like the software still thinks I'm logged in but actually not. I submitted a message to Fidelity to check the timeout on the account.
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bentonjj

#5
Ok don't want to get too far ahead of myself and will work on getting the alerts thing figured out first but got a question I'm wondering about after reading the section on deciding if the Strategy Monitor or Streaming Charts should be used. Say for example someone had $100,000 and wanted to monitor 100 stocks for certain conditions (100 symbols in the data set used by the strategy in the Strategy Monitor) during the trading day, and open up to five $20,000 positions at once, would portfolio simulation mode have to be used for this? Seems raw profit mode could possibly try and open 100 positions at the same time if all 100 symbols in the data set generated a trading signal around the same time. I'm sure the broker would reject the extras due to not enough cash, but if you had more than the $100,000 you want to have exposed in the account seems you could open more positions than you wanted to. Could a global variable be set to monitor the number of open positions? (strategy code bump the counter when opening a position and bump it down when closing one, except if over the limit then just pass on opening a position).
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Eugene

#6
Please reuse an existing thread or start a new one if a question is different (and it does) from the original topic. We try to maintain the forum easily searchable and putting unrelated questions into one thread makes it complicated. Thank you.
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bentonjj

#7
Ok thanks. I think I figured out part of the problem. Looks like whenever the strategy runs (i.e. every minute) the alerts window is cleared, so only alerts from the prior minute are shown. Turning on auto-staging or auto-place will take action on the alerts before they are automatically cleared a minute later. Had Fidelity check my account and they said the timeout value is automatic for anyone that has access to WLP. But somehow the streaming Strategy Chart will get stuck at 11:AM ET and keep expanding the same minute bar for the rest of the day. The 11AM bar will have a high/low/volume that occurred the rest of the trading day. As far as the Strategy Monitor the one order that was placed before 11AM was filled (in the paper account), but all orders after that were showing cancelled. Looks like a connection issue I'll have to work out with Fidelity.
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Eugene

#8
It's pretty strange that building new bars freezes at 11:00 AM ET. I couldn't recall such bug reports before so this issue may have to do with your environment. Is this happening on all your computers or just one is affected?
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bentonjj

#9
Tried it on multiple computers. Once thing I want to try is change the local time zone to match east coast time. Since I'm currently in Japan, it just so happens that 11AM ET is midnight Japan time. Maybe the local time rolling into a new day could be somehow causing it. If that does not work going to stand up a virtual machine in the Amazon cloud. That would eliminate my local ISP having anything to do with it since WLP would be running from the VM located on the east coast with a fast internet connection and relatively close to the Fidelity servers. If I were to live trade this is the way I would be doing it, running the software from a VM hosted in the cloud, not a personal PC.
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Eugene

#10
The non-U.S. time zone may have to do with it. This is a good clue. I'd try to change the TZ to ET first (but running the WL6 VM in a cloud is a popular usage pattern anyway).
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Cone

#11
EST is UTC-5, but EDT is UTC-4 (currently). Tokyo is UTC+9

Consequently, at 11:00 (AM) EDT, UTC time is 15:00. Add 9 hours to 24:00 = Date change. It's a high probability bet that the time zone is the problem, which would be noticeable [at different times] for local zones UTC+5 and greater.
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bentonjj

#12
Ok thanks. Looks like changing the time zone did the trick.
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Eugene

#13
Thanks. Added a note to the Open Issues list.