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THANKS. This is a great starting point for me.
Before I spend a lot of time to develop this
only to find out at the end that it eats up
too much CPU time, can you estimate how much
time this routine uses? (maybe by "Display chart
timing (Advanced)" with and without).
Joseph Biran
____________________________________________
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx On Behalf Of tycanadian2003
Sent: Tuesday, August 08, 2006 10:42 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Reading in trades from a CSV file
Hi all,
I have solved my problem...not sure if it's the most efficient
solution but here's some code that does what I want it to do (sorry if
the formatting for posting in a forum is lousy, but it's late and I
don't feel like going through it all to make it pretty :) ):
SetOption("PriceBoundChecking",False);
PositionSize = 10000;
trades = fopen( "C:\\Documents and
Settings\\Administrator\\Desktop\\IEC\\TestTradesAmi.csv", "r" );
Buy = 0;
Short = 0;
if ( trades )
{
count = 0;
while ( ! feof( trades ) )
{
string = fgets( trades );
if ( count != 0 )
{
symbol = StrExtract(string, 0);
symdate = StrExtract(string, 2);
firstslashindex = StrFind(symdate, "/");
symmonth = StrToNum(StrLeft(symdate,firstslashindex - 1));
secondslashindex = StrFind(StrRight(symdate,StrLen(symdate) -
firstslashindex),"/") + firstslashindex;
symyear = StrToNum(StrRight(symdate,4));
symday =
StrToNum(StrMid(symdate,firstslashindex,secondslashindex -
firstslashindex - 1));
symlongshort = StrExtract(string,1);
symentryprice = StrToNum(StrExtract(string,3));
if(symbol == Name())
{
m = Month();
y = Year();
d = Day();
dt = DateTime();
for(i=0; i < BarCount; i++)
{
Buy[i] = 0;
Short[i] = 0;
if(m[i] == symmonth AND d[i] == symday AND y[i] ==
symyear)
{
if ( StrFind(DateTimeToStr(dt[i]),"9:30") )
{
if (StrFind(symlongshort,"Long"))
{
Buy[i] = 1;
BuyPrice[i + 1] = symentryprice;
}
if (StrFind(symlongshort,"Short"))
{
Short[i] = 1;
ShortPrice[i + 1] = symentryprice;
}
}
}
else
{
Buy[i] = 0;
Short[i] = 0;
}
}
}
}
count++;
}
fclose(trades);
fclose(symout);
}
timetohold = Optimize("Bars_To_Hold",1,1,25,1);
Sell = BarsSince(Buy) == timetohold;
Cover = BarsSince(Short) == timetohold;
--- In amibroker@xxxxxxxxxxxxxxx, "J. Biran" <jbiran@xxx> wrote:
>
>
> It seems other people already solved similar problems with which
> I am still struggling with.
>
> How would I go about a simpler problem (just one symbol):
> reading an external CSV file with trade(s) information (i.e
> date/buy(sell) entry time/buy(sell)price/exit time /exit price
> 1 line per trade) and plotting arrows on the proper price bar
> at the given price?
>
>
>
> Joseph Biran
> ____________________________________________
>
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On
> Behalf Of dingo
> Sent: Tuesday, August 08, 2006 4:05 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: Reading in trades from a CSV file
>
> This may give you some ideas.
>
> http://finance.groups.yahoo.com/group/amibroker/message/65181
>
> d
>
>> -----Original Message-----
>> From: amibroker@xxxxxxxxxxxxxxx
>> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of tycanadian2003
>> Sent: Tuesday, August 08, 2006 5:10 PM
>> To: amibroker@xxxxxxxxxxxxxxx
>> Subject: [amibroker] Re: Reading in trades from a CSV file
>>
>> Hi there,
>>
>> Thanks for the reply, it does provide some insight for me. I
>> am familiar with the Buy/Sell/Short/Cover and
>> BuyPrice/Shortprice...arrays, and you were correct in that
>> the hard part seems to be making it remotely efficient :).
>> Ideally I'd like to read every ticker, trade type
>> (long/short), date, and entryprice into arrays within
>> AmiBroker and then as the backtester iterates over each
>> symbol, it would check these arrays for any occurrence of the
>> symbol, and for each occurrence it finds it will look at the
>> corresponding dates and append a "1" in the "Buy" array for
>> that date as well as the proper BuyPrice.
>>
>> Any further suggestions on how to accomplish this or make it
>> faster are most welcome!
>>
>> Thanks again for the reply.
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "Metasan" <amibroker@> wrote:
>>>
>>> That can be implemented by writing code to modify
>> Buy/Sell/Short/Cover
>>> and BuyPrice/SellPrice/ShortPrice/CoverPrice
>>> arrays.
>>>
>>> The difficult part is converting date to bar index number.
>>> The code below will be very very slow since you have to
>> loop through
>>> all bars for all trades in your file for all symbols, but may give
>
>>> your some ideas:
>>>
>>> // loop through every line of the file:
>>> // assume that ticker, month1, day1, year1, buyprice1 are
>> the fields
>>> from the file
>>>
>>> if(ticker == Name())
>>> {
>>> m = month();
>>> y = year();
>>> d = day();
>>> for(i=0; i<BarCount; i++)
>>> {
>>> if(m[i] == month1 and d[i] == days and y[i] == year1)
>>> { Buy[i] = 1; BuyPrice[i] = buyprice1; }
>>> }
>>> }
>>>
>>> --- In amibroker@xxxxxxxxxxxxxxx, "tycanadian2003" <tyrules@>
>>> wrote:
>>>>
>>>> Hi,
>>>>
>>>> I'm trying to read in trades from a CSV file, whose format is :
>>>>
>>>> TICKER,(LONG OR SHORT),DATE,ENTRY PRICE,EXIT PRICE
>>>>
>>>> This part I can kind of do (I know how to read and write to
files).
>>>> However, I'd like to use this data in backtests for a few
thousand
>>>> symbols with intraday data. My confusion comes when I'm trying
to
>>>> figure out how to read in all the data from the CSV file and then
>>>> use it to generate buy and sort signals in the backtester. i.e.
>>>> if a line in my CSV file is:
>>>>
>>>> INTC,Long,08/08/2006,17.40,17.45
>>>>
>>>> I want to be able to extract that information in my AFL code,
>>>> and as I'm backtesting through many symbols, when the backtester
>>>> gets to INTC, I want it to have a BUY signal for INTC on
>>>> 08/08/2006 with a buy price of 17.40.
>>>> In case you're interested, I'm backtesting to try to
>>>> optimize the best time of day to exit my trades since
>>>> I recently subscribed to an intraday data service.
>>>>
>>>> Efficiency may also be an issue, but for now I'd just love
>>>> for it to work. Can anyone help me get started?
>>>> I know how to open the file and grab the strings,
>>>> but that's about it.
>>>>
>>>> Thank you very much!
>>>>
>>>> Tyler
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