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Investor/RT
What's New in Version 7.1 Rev. 5
The new features and miscellaneous enhancements outlined below were
introduced in the 7.1 Version.
Product Enhancements for
Version 7.1.5
Release Date: March 29 2004
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Time & Sales
Windows Performance Improvements
Two new preference settings have been added to the Time & Sales
Preferences to enable T&S displays to be handled more efficiently for
instruments with massive numbers of ticks or those with very fast
trading such as the ES futures. The first preference is called "Scroll
Rate" expressed in seconds (and fractions of a second) that controls the
frequency at which new ticks are scrolled into the window. The Scroll
Rate preference may be left "unchecked" in which case every tick is
scrolled into the T&S window the instant it arrives. When checked, and
if a non-zero seconds number is specified, e.g. 1.25, Investor/RT will
collect incoming ticks efficiently in real-time and will scroll the
newly collected ticks into the T&S window every 1.25 seconds. Updating
the window contents every second or so rather than "tick by tick"
results in a major reduction in processing overhead for the time and
sales window. While the time and sales window is open, the setting can
be adjusted by right-clicking in the window. The new scroll rate takes
effect immediately. You can turn the Scroll Rate checkbox on or off at
any time to suite your needs. For instruments that can trade at rates
exceeding one trade per second, the Scroll Rate option will enable the
time and sales window to show you the flow of ticks with substantially
less processing overhead than the "dynamic" scrolling of ticks.
The second preference is the "All Trades or Last N Trades" option. When
Last N Trades is checked, Investor/RT will initially load, for N set to
1000 for example, only the last 1000 ticks into the time and sales
window when it is initially opened. After that, Investor/RT will allow
the number of ticks collected and available for review to grow until
there are 3 times N (3000) ticks. At that point, the window will cease
allocating additional memory for new ticks. The ticks available for
review will then be trimmed back to the last 1000 and tick
collection/display will resume. When the 3000 tick slots are filled
again, the process repeats. When the Last N Trades option is used, you
can always scroll back and review at least the last N ticks, and often
many more than that. This option is designed to conserve memory and
reduce processing overhead associated with memory management overhead of
huge tick data collections for actively trading instruments. If the All
Trades choice is selected instead, the time and sales window will
operate as it did before, allocating more memory as needed to enable you
to scroll back through all ticks collected for the instrument. Note that
the window title of the time and sales window shows the amount of memory
in use.
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Scan Result
Quotepages Retain Preferences
When a scan opens (or updates) a quotepage with new scan results,
Investor/RT now does a better job of retaining the user's preferences
for the resulting quotepage. For example, highlighted data columns are
retained as a scan runs periodically to update a quotepage. Each scan
has an associated quotepage name, normally the same name as the scan
itself. If desired, a different name may be specified in the setup
window for the scan. If the scan's quotepage is not already open when
the scan runs and the scan determines that there are results to display,
Investor/RT will open the quotepage using the saved preferences (colors,
column highlighting, sorting etc) for that quotepage. Thus each scan can
now have its own result quotepage preferences if desired. Prior to this
improvement, all scan result quotepage inherited the default quotepage
preferences. These preferences were then updated to reflect the user's
requested output format, however, there was no control over the color
scheme and other quotepage properties on a scan by scan basis.
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Miscellaneous Fixes
and Minor Improvements
The highlight status of each column in a quotepage is now
retained when the quotepage is saved. The same improvement was made to
remember highlighted columns in portfolio windows. To highlight a column
in a quotepage or portfolio, right-click on the column heading and use
the popup menu.
In the RTL setup window, in the list of tokens on the right side of the
window, Investor/RT now recognizes the right-click on a token name as a
request to edit the preferences of the token. Formerly, a double-click
was necessary to edit the preferences of a token.
In the RTL setup window, the "T" button (Template Menu) has a new entry
for adding a comment into the RTL formula. This menu choice insert the
text / * comment * / into the RTL formula entry box at the cursor. You
can then double-click on the word comment and begin typing the actual
comment. Any text in RTL formulas preceded with a slash asterisk and
ended with asterisk slash is treated as commentary.
The Order Desk window was made resizable to enable more instruments or
more open positions to be displayed if desired.
The "Send Email" window now allows a user-specified destination email
address. Choose "Other..." from the list of preset destination addresses
and enter the address to whom the message should be sent. The window may
now be used to send short messages to any destination.
The Scheduler now supports new actions for deleting tickers in a
quotepage, importing a list of tickers from a file, and restarting
Investor/RT.
A memory leak was fixed in the trading system backtesting function.
Trading system rules that contained formulas of the form IND(expression)
where IND is any technical indicator token and expression is another
indicator token or some "array expression", were causing memory leaks
during the backtesting process. Some examples of expressions having this
side effect are: "LRS(BOLD)" or "MA(RSI)" or "RSI( (HI + LO + CL *
2)/4)".
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DATE and TIME RTL
Historical Tokens
RTL tokens DATE and TIME refer to the date and time of particular
bars. These are historical tokens which means that can take a numeric
qualifier, e.g. DATE.1 refers to the date of the previous bar, TIME.5
refers to the time of the bar 5 bars ago. Date and Time values are
expressed as numbers of the form YYMMDD (date) and HHMM.SS (time). Note
that TIME is typically zero for daily, weekly, monthly data. TIME is
generally a whole number, e.g. 931 for the 9:31 a.m one minute bar.
However, if periodicity is not a whole number of minutes, e.g. a 90
second periodicity, the TIME token value take on a fractional value
where the numbers to the right of the decimal represent the number of
seconds, e.g. 931.30 or 934.30. The TIME token has been in the RTL
language for awhile, sometimes called the "backtesting time" token. In
it's current form TIME is more flexible since you can now make reference
to the time of bars in the past using the .n historical qualifer in
scans, signals and custom indicators.
Here is a simple example of using the DATE token to make sure you don't
have any gaps in your daily historical data. Every Friday, after the
close and after posting of historical data, you can run a scan on the
.All Symbols quotepage with a formula such as:
DATE != 040312 AND DATE.5 != 040308;
Of course the numeric date values in the formula would have to change
each week, but this simple scan, when run on Friday Mach 12, 2004
verifies that the last bar on file is indeed for March 12 and that the
fifth daily bar back has the expected date of March 8, 2004 (Monday).
The scan finds any symbols that may be missing bars for some reason. You
can then use the data download window to fetch daily historical data on
that list of symbols if needed.
You can use the expression DATE.n%100 to get the day of the month for
the nth bar back.
Use (DATE.n/100)%100 to get the month number (1 thru 12) for the nth bar
back.
Using the TIME token similarly, TIME.n%100 gives the minute number (0
thru 59) for the nth bar back and TIME.n/100 gives the hour number for
the nth bar back. If you need the seconds for the nth bar back, use (TIME.n
* 100)%100. The seconds will be in the range 0 to 59.
Note that when using RTL with tick or ticks/bar periodicity, the bars
will have times that correspond to the time of the last tick included in
the bar.
The former implementation of TIME is now called BTIME for "Backtest TIme".
The BTIME token, now considered obsolete, cannot be qualified
historically. Existing scans that reference TIME should work exactly as
before.
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Chart Scale Font Size
Preference Added
The traditional chart preferences "Options" tab now has a Font
Size preference (small, medium, or large). When using File: New: Chart
to create a new chart window, the default setting for scaling font size
will be used. Prior to this enhancement all new charts created using
File: New: Chart were initially set to small font. Scale font size can
still be modified for open charts on a pane by pane basis using the
Scale Preferences window. The scale for all panes in a chart window can
now be adjusted from the chart preferences "Options" tab.
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Technical Indicator Presets and Recalculation Frequency
Enhancements were made to save the recalculation type and
frequency for each technical indicator preset. Indicator presets are
often used to create buttons in chart windows to toggle the indicator
on/off. Prior to this enhancement, the indicator added to a chart always
took on the "default" recalculation preference. To take advantage of
this new feature, you must "re-save" any presets for which you want
something other than the default recalculation frequency. To accomplish
this, add the indicator to your chart, edit the indicator's preferences,
setup the recalc option at the bottom of the indicator preferences
window, and then use the "Preset" button at the bottom left of the
window, choosing "Save As" and the preset name.
Related improvements were made to the Chart Definition Export feature of
Investor/RT to assure that the recalculation preferences for preset
indicators are exported in each chart definition. This improvement
assure that when an Investor/RT user imports a chart definition
including presets from another source that the recalculation preferences
of the preset indicators are exactly the same as the source system.
Prior to this improvement, presets imported from another source would
default to the recipient's default recalculation preferences.
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Setup: Instruments
Keyboard Shortcuts
The Setup: Instruments window has been enhanced with a variety of
keyboard shortcuts designed to enable this window to be used more
effectively by power users without having to alternate between using the
mouse and the keyboard. All of the shortcuts require holding down the
Alt key (Apple/Command key on Macintosh) while striking a letter. Here
are the things you can do now using the keyboard when the Setup:
Instruments window is the focus (front) window:
Alt-A Opens the Alarms Setup Window for the current ticker symbol.
Alt-space Open an Instrument Selection window for choosing a ticker to
operate upon. Continue typing the first few letters of the ticker you
want until it is identified, then press the return/enter key to select
the symbol and close the instrument selector. Pressing esc key dismissed
the instrument selector. Alt-/ (Alt-slash) is equivalent to using the
mouse to click the "..." button.
Alt-S Opens the Session Setup window for the currently shown trading
session. Alt-S is equivalent to using the mouse to click the "Session
Setup" button.
Alt-I Toggles the Monitor Intraday checkbox on/off. Alt-I is equivalent
to using the mouse to check/uncheck the Monitor Intra-day checkbox.
Alt-V The V is the v in "Advanced". Alt-V toggles the Advanced button,
alternately showing and hiding the Advanced setup options. Alt-V is
equivalent to using the mouse the click on the Advanced toggle button.
Alt-D Delete the current ticker symbol (instrument). Alt-D is equivalent
to click the "Delete" button with the mouse.
Alt-C Cancels (dismisses) the Setup Instruments windows, just as the esc
key does. Alt-C is equivalent to clicking the Cancel button with the
mouse.
Alt-M Modifies (or Adds) the current ticker symbols, just as the
enter/return key does.
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Quick Quote Window
Keyboard Shortcuts
The quick quote window has been similarly enhanced to support
Alt-Key shortcuts for operating each of the toggle buttons that reside
in the upper left corner of the quick quote window. The quick quote
window can be opened from the keyboard using Alt-/ (Command-/ on
Macintosh). Then type the first few letters of the ticker to identify
the instrument, then use for example, Alt-C to open a chart, or Alt-N to
display the news for the instrument. Here is the complete list of
shortcuts that are in effect when a quick quote window is the focus
(front) window.
- Alt-C Chart the Instrument.
- Alt-S Setup the Instrument.
- Alt-A Alarms for the Instrument.
- Alt-N News for the Instrument.
- Alt-T Trading Notes for the Instrument.
- Alt-P Portfolio Positions for the Instrument.
- Alt-I Info on the Instrument.
- Alt-U Quotepages for the instrument (note, Alt-Q is the Investor/RT Quit
command).
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Highlighting of Current Price in Vertical Scale Area
A new traditional chart preference has been added to enable the
current price of an instrument to be highlighted in the vertical scale
area of the chart. The vertical scale "price box" has an inverted
appearance with the background color being the scale text color and the
price text drawn in the chart's background color. The highlighted price
moves up and down dynamically as prices change, always displaying the
last trade price of the instrument in the chart pane.
There is a global preference setting in Setup: Preferences: Charts:
Traditional Charts in the "Options" tab that governs whether newly
created charts will show the highlighted price in the vertical scale
area. Initially, this new setting will default to on. This means that
new charts you create will, by default, have the new price display.
Existing charts saved prior to the introduction of this feature will
not. For existing charts, this option can be adjusted on a chart by
chart basis by accessing the any chart's preferences and adjusting the
new checkbox in the "Options Tab".
In the MS Windows version of Investor/RT, users should be aware that the
movement of the price display box in the scale area will be temporarily
suspended while the user is operating a menu of choices related to a
"list button" or "list edit button" anywhere in Investor/RT. The
suspension is necessary since any movement of a price box in any chart
has an unfortunate side effect of dismissing such list selection menus.
This is a MS Windows specific side effect, Macintosh versions of
Investor/RT are not affected. The actual price value displayed inside
the price box will continue to update in realtime as price change during
a list selection activity. Only the movement of the box up or down the
scale is suspended momentarily while the menu selection is completed. If
you click on a list or list edit button to make a menu selection but do
not actually make a selection within 15 seconds, Investor/RT will allow
price box movement to resume. The next price change that causes a price
box movement will then dismiss the menu. In practice, selecting an item
from a pull down menu list is something accomplished within a few
seconds so most users will not notice any operational change. The user
interface change here is that when vertical scale price highlighting is
active in any open chart window, there is a possibility that a menu left
open for more than 15 seconds will be dismissed. Should this occur,
simply click the list button or list edit button again and make your
selection.
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New Backtesting
Reports for Spreadsheet Use
A new checkbox labeled "Spreadsheet Reports" has been added to
the "Backtest Report Options" section of the Backtest Setup window. This
option generates three spreadsheet-friendly reports. They are designed
to give the user the ability to quickly and easily manipulate (sort,
etc.) the backtest results in external spreadsheet programs without
first having to remove a lot of the extraneous text. These reports are
provided in tab-delimited format, with a header row at the top.
The first report provides the same information as the "Detail Each
Day/Trade/Bar" section of the Day by Day Report and is given a name of "TS_DAY_SS.txt"
where TS is the name of the trading system. The second report provides
the same information as the "Detail Report", and is given a name of "TS_DTL_SS.txt".
The third report provides the same information as the "One Line Summary
Report" and is given a name of "TS_OLS_SS.txt".
These reports are not displayed in Investor/RT when the backtest
completes, but they are created and placed in the "Admin" folder. These
tab-delimited reports can be opened easily in any spreadsheet program
such as Excel. They can then be sorted quickly on columns such as
profit, trades, date/time, etc.
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myTrack Tick Data Downloading
Users of the myTrack Edition of Investor/RT can now download
historical tick data as needed for charting, backtesting, etc. Tick data
downloading is supported either directly from charts having tick or
ticks per bar (tickbar) periodicity, or from the data download window.
For longer term historical tick data downloading it is recommended that
downloading be down after market hours. Even multi-day tick data
downloads during trading hours can take a long time to complete. The
reception of the tick data is interwoven with ongoing reception of
real-time quotes and the newly downloaded ticks are merged into the very
few seconds as the current day's ticks are retrieved. Tick data
downloading is necessary to refresh charts with tick and tick/bar, or
time interval periodicities that are not whole numbers of minutes, e.g.
a 30 second chart.
In doing the research to implement this capability, it was discovered
that the myTrack specification now allows up to 700 requests to be
active at one time, a substantial increase over the former limit of 300.
myTrack users can thus track more symbols at one time, or can
temporarily open larger quote pages to update current prices as needed.
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Three New
Database Utilities for News, Trading Notes
Two new initialization commands have been added to the Control: Database
Utilities Menu. The Initialize Trading Notes command can be used to
clear the contents of the trading notes database. A substantial number
of trading notes can be created automatically over time by alarm
conditions and backtesting runs that log position entry and exits as
notes for the trading system symbol. The Initialization can also repair
a database that will not verify properly due to problems in the trading
notes area in cases where restoring the most recent backup is a less
desirable alternative than keeping the present database while losing all
trading notes.
The Initialize News Database is comparable to using the "Delete All News
and Compact Database" button in the Setup: Preferences: News window.
However, this new Initialization command uses a faster method. The new
method can also repair a database with problems in the news area in
cases where restoring the most recent backup is a less desirable
alternative than keeping the present database while losing all archived
news.
A "Compress Trading Notes" utility function has been added. This utility
will compact the trading notes database to minimal size while retaining
trading notes for all ticker symbols except trading system ticker
symbols. Each trading system has an associated trading system ticker
symbol(instrument) with ticker symbol $name, where name is the name of
the trading system. These instruments are created automatically by
Investor/RT during backtesting and are assigned security type "Cash".
During backtesting trading notes may be added to this $name instrument
to record the actions of the trading system on specific bars during
backtesting. Since these trading notes are of a temporary nature and can
be recreated by rerunning the backtest, the compress trading notes
utility will remove all such trading notes and compact the trading notes
database. See the related item "Backtesting/Optimization Speed
Increased" below for further information concerning trading notes for
trading system symbols. If you want to preserve trading notes for
trading system instrument during the compress process for any reason,
change the security type of your trading system(s) instruments to a
security type other than "Cash" and the notes will be preserved after
compression.
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Scheduling MetaStock Imports
"Import MetaStock Data" is a new "action" that can be added to a
schedule. When setting up the action, you enter or browse to specify the
path to a folder containing Daily Historical MetaStock Files you wish to
be imported. All files in the designated folder will be imported and
merged with any data already on file for each ticker. The designated
folder must contain an XMASTER or MASTER file that serves an a directory
for the historical files present in the folder.
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Backtesting/Optimization Speed Increased
Recent stress testing of Investor/RT backtesting (and
optimization) features revealed that the creation of trading notes for
the trading system's ticker symbol adds substantial overhead to the
backtesting process. While this overhead may not be noticeable when
backtesting a single ticker symbol, increased backtesting times are
especially evident when testing a large universe of symbols. The trading
notes denote every trade entry and exit made on any symbol during the
backtest run. A new checkbox option has been added to the backtest setup
to make the production of trading notes optional. If the "Trading Note
Each Trade" option is checked in the backtest setup, the chart produced
by the backtest (if requested) has a trading notes indicator for marking
the bars where trading activities occurred. By eliminating the
production of the trading notes, substantial reductions in backtest run
times were observed. The trading notes production has thus been made an
option in the Backtest Setup window. We recommend turning off the
trading notes if you do not plan on using them. Your backtests,
especially on large numbers of symbols will run substantially faster.
Investor/RT now measures the time it takes to run the backtest and
reports "Backtest Duration" at the top of the "Day by Day Report".
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New RTL
Tokens RWI, RWIL - Random Walk Indicator
The Random Walk Indicator produces a high and low line. In RTL
the high line is the RWI token and the low line is RWIL token. For more
information on the Random Walk Indicator click here.
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Trading System
Development Improvements
There have been extensive improvements in the backtesting area in
the 7.1 release.
Show Latest Reports Button
A button has been added to the "Backtest Output Options" of
the Backtest Setup window. This button will recall the set of reports
that were produced last time the backtest was run. The reports that will
be shown will reflect those that are currently checked. This gives the
user a convenient way to recall the last reports without having to
either re-run the backtest, or perform a "File: Open" on each report.
New "Required Bars" Setting
The "Backtest Period" section of the Backtest Setup window now
has a new "Bars Required" setting. Prior to this release, an additional
50 bars were unconditionally loaded prior to the beginning of the
backtest period. The reason these 50 extra bars were loaded was in order
to have properly calculated values for indicators that required
additional bars. However, 50 bars could be excessive for some systems
(resulting in more processing than was necessary), and too little data
for other systems (resulting in invalid indicator values for certain
indicators requiring more that 50 bars). The user can now specify how
many bars are to be pre-loaded, based on the requirements of the signals
involved in the systems rules. Any existing systems or new systems will
have ab initial value of 50 bars.
Buy and Hold Statistics
The Day by Day report has been enhanced with Buy and Hold
Statistics, both on an overall basis, as well as on a "per day" and a
"per bar" basis. In the "Miscellaneous Stats" section of the report, Buy
and Hold statistics are provided on both a $ and % basis. "Buy & Hold
($)" represents the cumulative $ gain / loss of all the symbols tested
over the period tested. "Buy & Hold (%)" represents the percent change
of all the symbols tested, over the period tested. The quotepage tested
can be thought of as an index, and these buy and hold statistics can be
though of as the $ gain and the % change over the period tested of that
index.
Each individual day and bar now has two new columns providing the $ and
% buy and hold statistics for that day/bar. These buy and hold
statistics, in combination with the "Market Bias" statistics, can be
especially helpful in evaluating the performance of a system in relation
to the cumulative performance of the symbols tested.
Consolidated Summary Report - Format Change
The format of the Consolidated Summary Report has changed in
two ways. First, the data column now aligns itself on the decimal, as
opposed to left aligned. This makes it easier to compare the magnitude
of adjacent values. Also, negative numbers are now represented in
parenthesis $(40.25) as opposed to $-40.25. This is consistent with the
Day by Day report.
Detailed Report - Format Change
The format of the Detailed Report has changed to a more
columnar representation. In prior releases, each trade action was
explained in a sentence format such as "BUY STOP 100 RNWK to cover at
5.87 with a gain of $12.25.". The information given in this action
column has been split up into 6 smaller columns. These columns are not
titled "Action", "Qty", "Symbol", "Price", "Total", and "Profit". By
splitting the information into aligned columns, specific data is easier
to locate and extract from the report, and can be better handled by an
external spreadsheet tool such as Excel.
More Compact Reports
When backtesting a quotepage of symbol, both the Detailed Report,
as well as the Symbol Summary section of the Consolidated Summary Report
present information on a symbol by symbol basis. In prior release, lines
were included in these reports unnecessarily for symbols that did not
produce any trades during the backtest period. This has been improved so
that only symbols that produced at least one trade are listed in these
reports. This enhancement reduces the size of the reports, and makes it
quicker and easier to locate information within the reports.
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New Chart Button Type for Changing Chart Appearance Settings
The chart "Button" indicator has been enhanced with a new button
type that allows the user to quickly change the appearance of the
button's chart based on the appearance settings of some other chart. See
the complete list below of the chart appearance preferences that are
applied.
The new chart button purpose setting is called "Chart Appearance". The
button setup includes a single chart name or a comma delimited list of
chart names (for a menu button). When the button is clicked or when a
chart name is chosen from the button's menu, Investor/RT will extract
certain appearance settings from that chart and apply them to the
subject chart that owns the button. Any saved chart can serve as the
source for the appearance settings. If you want, you can create your own
set of "profile" charts, simple charts that serve as containers for the
appearance settings you wish to apply elsewhere. You can take any
existing chart that has the appearance you want and use the "Save As"
command to save it under a name such as "Profile 1". You can eliminate
all but one pane in the chart and eliminate all indicators if you like.
All the appearance preferences can be hosted by a single pane chart
having only one instrument. Note that once you have setup chart buttons
that reference a particular chart name, e.g. Profile 1, you can make
modifications to the appearance of Profile 1 later. After saving the
changes for Profile 1, the modified settings will take effect the next
time you use a button to switch to the Profile 1 appearance.
The appearance settings that are applied are listed below:
1. Pixels Per Bar
2. Lookahead Bars
3. Chart Color Scheme (foreground/background color, gridline color, pane
title background/foreground)
4. Multi-link color
5.Various appearance related settings:
a. gridlines on/off
b. hollow/solid upcandles
c. hollow/solid histogram
d. candle border on/off (and candle border color)
e. mouse feedback on/off
One click or menu selection from a chart appearance button can transform
a chart's appearance quickly, saving the time required to perform
multiple steps in a chart preferences window.
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