ta-lib doesn't calculate incrementally and may give wrong result

I use ta-lib to implement some common used indicators such as RSI and MACD in my ftap system. I implemented the indicators to recalculate all data values on update. That's to say, the indicators don't calculate incrementally, which is a feature widely supported by MetaTrader indicators. This works fine in both back testing and live trading. In back testing, as I said in my another blog, the indicators only recalculate only once for each back testing, so there is no performance penalty. And in live trading, the indicators recalculate on all data when necessary, that's fine because performance is not an issue for non-HFT trading (CPU is far much faster than net connection).

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2015/11/14 13:14 · 2 Comments

Enable DLL import in MetaTrader 4

This article will explain how to enable DLL import in MT4.

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2015/11/12 06:38 · 4 Comments

Oanda fxTrade upgraded to 64 bits transaction ID

Oanda has upgraded fxTrade transaction ID to 64 bits. I checked my order history on my practice account, the order IDs were 32 bits at 2015. Oct. 24, and the orders I sent today, Oct.31, are already 64 bits.

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2015/10/31 01:20 · 0 Comments

The evolution of technical indicator system in ftap

In my ftap algorithm trading system, indicator system is the most revised module among all of the other modules. This may be out of your surprising, but indeed I myself didn't expect that too. The other modules, such as the back testing system, the robot system, work quite stable and don't need very much revision. But indicator system is different. After more indicators are added, there are more needs and requirement and the system needs to change over time to get better abstraction and encapsulation.

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2015/11/13 02:04 · 0 Comments

Charting in MetaTrader for my indicators written in C++

As you have noticed from my other blogs, I created my ftap algorithm trading system, which is full featured back testing and trading system. I also created a lot of indicators in the system (there are about 31 indicators at the time of writing). Some indicators are “standard”, such as moving average, RSI, MACD, which are simple wrappers of ta-lib. Some indicators are wrote by me, inspired by the ideas on the internet. The indicators are great in back testing but there are some big problem.

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2015/09/26 06:20 · 1 Comment

The extra tools used in ftap algorithm trading system

ftap algorithm trading system is a standalone console program which works alone and perfectly. However, I never stop improving my working productivity. So I created serveral tools to simplify my life and increase my productivity.

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2015/09/10 06:03 · 0 Comments

The evaluation functions in ftap

Evaluation functions, or objective functions, or criteria, or benchmark functions, are used in optimizing and walk forward analysis to select to “best” back testing result. There are various evaluation functions, each one has its advantages and disadvantages. In this article I will list all evaluation functions I implemented in my ftap algorithm trading system, and I will give my opinion on the advantages and disadvantages of each function.

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2015/11/19 10:59 · 0 Comments

A first look of a stationary RSI indicator

In this article I will give an introduction to a stationary RSI indicator, and provide the C++ code download. To be in brief, the stationary RSI has almost no difference to the standard RSI.

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2015/11/18 08:06 · 1 Comment

My process and criteria on algorithm trading strategies

Though I haven't found any workable strategies to run on my live account yet at the time writing, I have built some regular process and criteria on hunting algotrading strategies. In this article I will introduce the process and criteria to share experience and collect your any feedback.

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2016/02/06 06:17 · 0 Comments


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