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Interesting...
On the US markets, I have definately noticed different behavior
based on different times; most notably from 11:30 to 14:00...
This is when the "luch bunch" comes in to screw everything up.
>> actually a good time to exit bad trades since they usually
"buck the trend"...
Good hunting!
Walt
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> Thanks Walt, however it seems my off the cuff code I wrote in the
> email works well with minor mods.
>
> What I am trying to do in the bigger picture is set up an intraday
map
> of volume and volatility.
> I did a long handed code to isolate the time zones and then average
> the volumes over all the data for each time zone. However because
long
> hand method it is not flexible for changing the timeframe periods.
>
> first I created a composite of the stock group
> UseTrade = TimeNum() <= ValueWhen( Cross( TimeNum(), 160001 ),
TimeNum() );
>
> function tick( price )
> { ticks = round( Min( price, 0.1 )/0.001 + Max( ( Min( price, 0.5
> )-0.1 ) ,0 )/0.005 + Max( price-0.5 ,0 )/0.01 ); return ticks; }
>
> // ticks are for the ASX market pricing structure
>
> function price( ticks )
> { prices = Min( ticks, 100 )*0.001 + Max( ( Min( ticks, 180 )-
100 ) ,0
> )*0.005 + Max( ticks-180 ,0 )*0.01 ; return prices; }
>
> Hc = tick(H)-tick(L)+1;
>
> Vc = V*C/1000;
> Buy=1;
> Comp="~ASX100";
> AddToComposite(Hc*usetrade,Comp,"H",1+2+4+16);
> AddToComposite(Vc*usetrade,Comp,"V",1+2+4+16);
> AddToComposite(1*usetrade,Comp,"I",1+2+4+16);
>
>
>
> then plotted this for the composite ticker
>
> numdays = Cum(DateNum()!=Ref(DateNum(),-1));
>
> p0 = TimeNum()<100000;
> p1 = TimeNum()>=100000 AND TimeNum()<103000;
> p2 = TimeNum()>=103000 AND TimeNum()<110000;
> p3 = TimeNum()>=110000 AND TimeNum()<113000;
> p4 = TimeNum()>=113000 AND TimeNum()<120000;
> p5 = TimeNum()>=120000 AND TimeNum()<123000;
> p6 = TimeNum()>=123000 AND TimeNum()<130000;
> p7 = TimeNum()>=130000 AND TimeNum()<133000;
> p8 = TimeNum()>=133000 AND TimeNum()<140000;
> p9 = TimeNum()>=140000 AND TimeNum()<143000;
> p10 = TimeNum()>=143000 AND TimeNum()<150000;
> p11 = TimeNum()>=150000 AND TimeNum()<153000;
> p12 = TimeNum()>=153000 AND TimeNum()<160000;
> p13 = TimeNum()>=160000 AND TimeNum()<163000;
> p14 = TimeNum()>=163000;
>
> VOI = V;//OI;
>
> V0 = Cum( IIf( p0, VOI, 0 ) );
> V1 = Cum( IIf( p1, VOI, 0 ) );
> V2 = Cum( IIf( p2, VOI, 0 ) );
> V3 = Cum( IIf( p3, VOI, 0 ) );
> V4 = Cum( IIf( p4, VOI, 0 ) );
> V5 = Cum( IIf( p5, VOI, 0 ) );
> V6 = Cum( IIf( p6, VOI, 0 ) );
> V7 = Cum( IIf( p7, VOI, 0 ) );
> V8 = Cum( IIf( p8, VOI, 0 ) );
> V9 = Cum( IIf( p9, VOI, 0 ) );
> V10 = Cum( IIf( p10, VOI, 0 ) );
> V11 = Cum( IIf( p11, VOI, 0 ) );
> V12 = Cum( IIf( p12, VOI, 0 ) );
> V13 = Cum( IIf( p13, VOI, 0 ) );
> V14 = Cum( IIf( p14, VOI, 0 ) );
>
> Vsum = V0*P0 + V1*P1 + V2*P2 + V3*P3 + V4*P4 + V5*P5 + V6*P6 +
V7*P7 +
> V8*P8 + V9*P9 + V10*P10 + V11*P11 + V12*P12 + V13*P13 + V14*P14;
>
> Vcum = Vsum/numdays;
>
> mycolor=IIf(Hour()<12, colorBlue,
> IIf(Hour()>=12 AND Hour()<14,colorRed,
> IIf(Hour()>=14 AND Hour()<16,colorGreen,
> colorBlack)));
>
> Plot(Vcum, "Vchange", mycolor, styleArea);
>
>
> However I want to vary the timeframe on screen so need something
mre flexible
> I started using a loop structure but can't seem to get my head
around
> how to work it with the loops on bars and intervals
>
> numdays = Cum(DateNum()!=Ref(DateNum(),-1));
> numint = (6*60+15)*60/Interval();
> Tx = TimeNum();
> x = 0;
> timex = 100000 + int(Interval()*x/3600)*10000 + (Interval()*x/60)%
60*100;
> p[0]=0;
>
> for(x=1;x<=numint;x++)
> {
> p[x] = Tx[x]>=timex[x-1] AND Tx[x]<timex[x];
> }
>
>
>
>
> On Sat, 12 Mar 2005 13:22:58 -0000, hairy_mug <WSCHWARZ@xxxx> wrote:
> >
> >
> > I'll give you a hand if you can spell out the requirements...
> >
> > if <condition>
> > then <step>
> >
> > ...don't need syntax, just steps...
> >
> > walt
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx>
wrote:
> > > The ASX has a market auction similar to pre-open to determine
the
> > > official close price. The closing is then timed against ticker
> > > alphabet to stagger them, like market opens. Then ther are the
after
> > > market trades beyond this time. It gets more complex as on the
last
> > > trade day of each month the auction time is longer.
> > > So normal close would be between 4:05 and 4:08pm, then at month
end
> > > 4:10 to 4:13pm. These times for example of what happens.
> > >
> > > I want to include the actual last trades of official market, and
> > > exclude any further after amrket trades/transfers. There are no
> > trades
> > > between 4:00pm and the auction close. Of course there are also
cases
> > > of no trades after 4pm.
> > >
> > > Can anyone help with how to write this in AFL.
> > > something like
> > >
> > > LateTrade = timenum()== valuewhen( cross( timenum(), 160001 ),
> > timenum() );
> > > UseVol = V * LateTrade;
> > >
> > > just not sure how to make certain all the above requirements are
> > met.
> > >
> > > TIA
> > >
> > > --
> > > Cheers
> > > Graham
> > > http://e-wire.net.au/~eb_kavan/
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> http://e-wire.net.au/~eb_kavan/
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