Changes to #F for IB, Vertical Ruler Fib, DYO Above,Below, Nearest, DYO simbroker, QnA

March 16 , 2005

@Ensign_H: Welcome to the Wednesday class with Ensign developers.

16:35 @Ensign_H: One of the noticeable changes for today's upgrade deals with the continuation #F symbol implemented by Ensign for the benefit and use by those on the IB data feed, or using the Ensign Internet selection because they do not have a data feed.

16:36 @Ensign_H: Let me explain this a bit more.

6:36 @Ensign_H: #F is a substitution for the trade month and year, and is the continuation symbol suffix on the eSignal data feed. So one can follow ES #F instead of ES M5 on the esignal feed, and the symbol will auto roll from one expiring contract to the next in the month of expiration (or earlier)

16:38 @Ensign_H: Esignal has a published roll out schedule on their web site, and for many popular symbols such as AB, ES and NQ the roll date used by esignal is the 3rd Friday minus 8 days.

6:39 @Ensign_H: For the month of March, then the 3rd Friday is the 18th, and going back 8 days means eSignal continuation symbol of ES #F, NQ #F, and AB #F all followed the H5 month on the 9th, and rolled to the M5 symbol on the 10th. In Ensign we have attempted to offer a similar continuation symbol for use by our IB customers. IB users can enter on their Setup | Manager symbol list ES #F, NQ #F, ER2 #F, and EUR #F type of symbols.

6:40 @Ensign_H: In the past, Ensign Windows sees the #F, and RESOLVES the #F to the particular symbol month and internally we ask the IB TWS to send data for ES M5 and attach this data flow for ES M5 back to update the ES #F symbol on a quote page or on a chart. So to the user, it looks like IB also has a continuation symbol though in reality they do not.

16:42 @Ensign_H: When it comes to refreshing the ES #F symbol for IB users, we have had another challenge to deal with. Our data source for refresh is DTN Market Access, where Ensign Software BUYS the data for our IB users and Ensign Internet users to have and use to fill in back data.

16:43 @Ensign_H: Until very recently DTN Market Access did not have a composite continuation data base. They have ONLY had the individual contract month database, so when the IB user refreshed ES #F chart, again Ensign Windows resolved the #F to be M5 and requested the June contract data set to use to merge into the chart.

16:45 @Ensign_H: This is great, except when we get to a roll date like last March 10th. One day the chart is resolving to H5 data refresh and the next day it is resolving to M5 data set, and if the refresh quantity was large enough to overlay earlier days then there was the gottcha of having M5 data replace the H5 data already in the chart.

6:46 @Ensign_H: for many this was annoying to replace better H5 data with thinner M5 data. The 03-16 version will attempt to improve on that issue by changing the refresh request to use the new DTN continuation symbol database. For most symbols we have checked this seems to be an improvement on the situation. Now when you request ES #F to refresh we go get the @ES# data set which is the DTN Market Access continuation symbol.

16:48 @Ensign_H: Let me show what the chart refresh for ES #F looks like

16:50 @Ensign_H: Now when I compare this with the eSignal symbol refresh I do see a difference on March 10th. The eSignal chart has rolled to M5 for the 10th, and the DTN Market Access chart is still on H5 for the 10th and rolled to M5 on the 11th that is why there is a gap up on the start of mar 11th on this chart.

6:52 @Ensign_H: I just got off the phone with the manager of DTN Market Access and explained how it would be preferred by users of their data base to have roll dates that are consistent with eSignal roll dates. They are open to the suggestion and request and will probably have those roll dates in effect by June.

16:54 @Ensign_H: So it would be less confusing to all of you who talk to each other to have DTN Market Access roll ES on the same 3rd Friday - 8 the same as esignal uses.

6:54 @Ensign_H: Now, in checking a couple other symbols, such as NQ we see that the symbol has not yet rolled to M5. This is confusing to the end user to be unsure if the symbol is still on H5 or is now on M5. In Ensign we have resolved the NQ #F to be the M5 contract already because of the entry in our Setup | Symbol Properties which is 3rd Fri - 8.

16:56 @Ensign_H: DTN says they will get right on the NQ to get it rolled to M5, and then consider adopting the eSignal roll schedule which we encourage for the sake of consistency

6:57 @Ensign_H: anyway, the 3-16 will refresh using the new DTN Market Access continuation data base, but not all symbols have rolled on the dates you would hope or expect them to roll. We ask for your patience in this matter as we and DTN iron out the dates when to roll. What we all can expect is that come June, this roll out issue should be behind us and all works much smoother.

6:59 @Ensign_H: Of course, you can avoid the roll issue altogether by using specific contract months in your Setup | Manager list instead of the invented #F continuation symbol.

16:59 @Ensign_H: One advantage of the #F is the roll is automatic so you do not have to make any symbol adjustments to your workspaces and quote pages.

17:00 @Ensign_H: Do we need any further discussion on this matter? any questions I have not answered?

17:00 Randy: NO Changes for Constant tick based Charts.. backfills 100k limit right?

17:01 @Ensign_H: if you use IB and use #F continuation symbols, then everything just discussed applies to constant tick charts too.

17:01 Kent: Do you have documented anywhere the symbols which the #F is available?

17:02 @Ensign_H: Kent, #F will resolve to a specific month for every symbol you have listed in the Setup | Symbol Properties table.

17:02 @Ensign_H: Perhaps the better question is whether the DTN Market Access has a refresh for every possible symbol and that I do not know the answer to. If there is no refresh, you will see the message on the chart caption of 'No Data Found'

17:03 @Ensign_H: in that case, kindly e-mail with the symbol details and which data feed you use so I can investigate and look for a workaround or other solution. Also it helps to be told the current roll schedule entry you have for the symbol in the Setup | Symbol Properties table.

7:04 @Ensign_H: If all of this is not something you want to deal with, you could elect to subscribe to eSignal feed where their continuation symbols and continuation refresh database are pretty well established and sound. We are just trying to give more value to the IB feed by implementing a similar continuation symbol and refresh

RetiredTrader: to be sure I understand, on IB at rollover if using ES #F I do not have to do anything to continue on with the new contract

17:06 @Ensign_H: that is correct, but you should be aware of whether the data being presented is the current month or the next month

17:07 @Ensign_H: right now for example on NQ there is about a 7 point difference in price

17:07 @Ensign_H: you would hate to be looking at a H5 chart thinking it was M5 symbol and place stops at the wrong price because you used the wrong month in your order

17:07 hobo4: on IB no data found sometimes comes up on $tick-NYSE, then starts working later?

7:08 @Ensign_H: hobo, the message is correct because there is not refresh for that symbol

17:08 hobo4: ok

17:08 @Ensign_H: IB has some symbols that are not covered in the symbol universe for refresh with DTN Market Access.

ADDED COMMENTARY:

8:25 @Ensign_HA: hi... buffy, I had a thought about the DTN Market Access continuation issue where some symbols have not rolled yet and what I think I will do is make it a property for the chart for IB users that is the box is checked is tries to use the continuation symbol and if the option is unchecked it refreshes with the resolved month symbol. That way I will rest better while on vacation that the user can control symbol by symbol which type of refresh is requested.

18:27 @Ensign_HA: so probably will get implemented, tested, and reposted yet tonight - thx bye

18:46 @Ensign_HA: for the NQ #F chart, I first refresh with continuation but did not like the last few days being H5 still - so on the chart property from I unchecked the Continuation option box and refreshed again for 3 days and now it gets the M5 data and overwrited the H5 data and the chart is much better

18:47 @Ensign_HA: will leave continuation unchecked and just not refresh very far back so the good continuation stays in place. when the Continuation box is checked it will use DTN continuation symbol for refresh. when unchecked it will refresh with the specific month #F resolves to according to Ensign roll schedule.

18:48 @Ensign_HA: eventually such a choice should be obsoleted by DTN getting a better roll schedule implemented to match esignal's roll dates.

7:09 @Ensign_H: Some changes to Ensign since last week are new features to allow a Design Your Own (DYO) form to control execution and settings on the Sim-Broker form.

17:10 @Ensign_H: That is kind of cool to use the DYO to set stops or issue Buy at Market commands to the Sim-Broker. Then Sim-Broker does the trading on the chart in real-time and logs the transactions.

17:11 @Ensign_H: This is a good way to let the system be automated and see how well it does without manually writing down the trades or manually clicking the Sim Broker buttons to place an order.

17:12 @Ensign_H: Another small change regards holding the Shift key down when you click elsewhere to finish drawing a draw line.

17:12 @Ensign_H: In the past holding down Shift when you finish the line would snap the line to being horizontal. The change was to also support snapping the line to vertical, depending on whether the line is closer to vertical or closer to being horizontal.

17:13 @Ensign_H: Another change was if you open a panel such as a workspace panel, charts panel, templates panel or times panel

17:14 @Ensign_H: and press CTRL-J, the program will upload images of those panels.

17:15 @Ensign_H: and the Formations draw tool has a couple more selections.

17:16 @Ensign_H: The Risk | Reward selection is a cool little tool that uses 3 point, A, B, C

17:16 @Ensign_H: Point A (start point) is where you entered your trade, then drag to point B where your stop is located, then move to point C which is your exit objective and click.

17:17 @Ensign_H: The vertical ruler will show these 3 points and label the A-B part as Risk and show the Dollar amount that would be lost.

17:17 @Ensign_H: The A-C part is labeled Reward and the dollar amount is shown.

www.dacharts.com/qtips/lp-formation-tool.htm

www.dacharts.com/qtips/risk-reward-tool.htm

17:19 @Ensign_H: thanks buffy, you are quicker than me

17:20 @Ensign_H: those examples are better and the Vertical Ruler is a great tool to use by those who want a vertical line whose length is a fixed number of points in length. This is often used by the Larry Pesavento crowd as a Natural Harmonic distance to watch for wave height.

17:22 @Ensign_H: I am ready for an open question and answer session

17:22 taku: in the pivot computation for S1 S2 S3. do S2 and S3 need to be used in reverse order. I ask because when I look at the screen is S1 seems to be in the middle S2 a few pixels higher and S3 much lower on the screen.

:24 @Ensign_H: taku, the S1, S3, and S3 are calculated on different parts of the bars prices, such as some from the bar range and mid point and others from where the bar closed. So it is possible for the lines to be near each other or even out of price sequence

17:24 taku: aaah that is the answer thanks again

17:25 @Ensign_H: this is all still correct and the labels tell you which formula the line is calculated from.

7:26 Acqua: Using IB, what happens to the historic data prior to the current quarter if using the specific contract months?

17:27 @Ensign_H: acqua, using the enhancement put in the 03-16 Beta, the refresh data will be composite for ticks, and intra-day as in the ES #F chart example I posted earlier, the data is now M5 back to March 11th, and then ahead of that it is H5 data....and I guess if we go back to December, around the 11th, it then becomes Z4 data

17:28 @Ensign_H: now we do not have this implemented for Daily refresh yet, DTN is still working on the daily continuation refresh. So the work round is if you need great continuation daily data, you can download it from Ensign web site

17:29 @Ensign_H: using Internet Services, first tab, History drop down box.

17:29 @Ensign_H: this data is continuation back several years and was last updated 03-08 by me. Download the files you want, then open the daily chart. If it is not current then refresh 1 week to bring it current. DO NOT refresh more than 1 week because you do not want the M5 data set which is thinner the farther back in time you go to replace the great continuation bars you downloaded.

17:31 @Ensign_H: Click on menu Setup | Manager and be sure the History selection for auto-refresh is not more than 1 week

17:31 Acqua: thanks Howard

17:31 @Ensign_H: good to have covered that point via this additional discussion.

17:32 @Ensign_H: any more questions? if not we will end the class.

17:32 TOC: @Ensign_H, Howard, Above, Below and Nearest have been interesting features, keeps the focus on the most relevant support and resistance areas, good for ADD sufferers like me

17:32 @Ensign_H: yes TOC those are powerful and helpful DYO choices. Do you have an example of how you used them to show the class

17:33 TOC: still tinkering, but will show as example of how to use...sure

17:33 @Ensign_H: Let me discuss these DYO selections TOC is talking about

7:34 @Ensign_H: if you have several numbers in a set of Global Variables, such as [15] through [19] are holding 5 values from Support and Resistance levels tool, the DYO feature can be used to return the level price in the set that a current bar price is nearest to, of the price in the set that the current bar price is nearest and also above, or nearest and also below.

17:36 @Ensign_H: if the set of prices are in GV [15] through [19] the set size is # = 5 and the price to test with needs to be in the GV ahead of the set.

17:36 @Ensign_H: so put the test price in [14] and the DYO selection will return the answer

17:37 @Ensign_H: in the TOC chart I see he is using this feature to make certain support and resistance levels have addition highlight or markers

17:37 @Ensign_H: for example the green line labeled 2S has a gray bar on it near the right edge of the chart. Looks like this line got the gray highlight when the prices became nearer this line than the other lines in the test set.

17:39 @Ensign_H: glad to see some of the advanced features in the program being put to good visual use.

17:39 @Ensign_H: you do good work TOC, I have complemented you on your chart graphics many times.

17:40 TOC: thanks

17:40 @Ensign_H: that reminds me one of our patrons submitted an updated WoodieCCI4 template that builds on the WoodieCCI3 template we had on our web site.

17:40 @Ensign_H: So the Woodie CCI web page has been updated, and the WoodieCCI3 template has been replaced with the WoodieCCI4 template.

www.ensignsoftware.com/help/woodies.htm

17:41 @Ensign_H: Thanks for coming to class today.... next week Kimball will conduct the class and give training on more of the Basics of using Ensign.,