ahhh, yes you may have a problem using Ox etc. I forgot because I
don't use any traditional TA functions so for me there is no problem.
In your case you may be able to redefine OHLC arrays at the top of
your code, like so:
Plot(C+ATR(3),"",6,1);
C = C+ATR(3);
Plot(C,"",4,1|styleDots);
You'll see that the first plot produces the exact same plot as the
second one which uses a redefined C.
However there may be a reason why redefining the OHLC is not
recommended - you may have to ask support what problems this may have.
best regards,
herman
Monday, March 12, 2007, 5:24:02 PM, you wrote:
> Great to know it's on the suggestion
list, Herman. Now, how would I go
> about "substituting" the OHLC array with
OxHxLxCx", example? Also,
> will this allow spike elimination without
the need to rewrite from
> scratch AB builtin functions like "ATR"
or would i still have to
> recode the ATR function from scratch
using the newly substituted
> OxHxLxCx array?
> --- In amibroker@xxxxxxxxxps.com, Herman <psytek@xxx> wrote:
>> Hi g,
>> What you are really dreaming of is a
user programmable
> data-preprocessor. This is on the
suggestion list.
>> Alternatively you can pre-process
your data by substituting the OHLC
> arrays with Ox, Hx, Lx and Cx. Where the
x variables are preprocessed
> values of OHLC.
>> btw, I prefer to process/filter
Real-Time quotes using Static
> Variables instead of OHLC arrays, its
much faster.
>> herman
>> Monday, March 12, 2007, 4:18:31 PM,
you wrote:
>> > Thanks for all suggestions, and
would be great to hear about other
>> > creative/unique ideas too of how
others are getting around this common
>> > problem.
>> > Yes, Ray, futures data is much
cleaner compared to ETF and stock data
>> > from IB.
>> > Herman, here's an idea I have
been using to filter spikes:
>> > Validbar=O-L<Percentile(O-L,390,99)
AND H-O<Percentile(H-O,390,99);
>> > It seems to work OK. Whats kind
of annoying, however, is that you have
>> > to deal with spikes "in your
code" as opposed to having some AB
>> > built-in settings (like in QT)
to remove spikes from data BEFORE they
>> > are operated on by your code or
get charted. That way you dont have to
>> > rewrite your code to take care
of spikes and rewrite basic AB built-in
>> > functions everytime you use a
new function. example: I have to recode
>> > the ATR function from scratch to
be able to use it while eliminating
>> > spikes. And yes Im aware i could
run IB through QT and use QT's
>> > built-in spike-removal
functions, but what if i dont wanna use QT?
>> > Would be great if someone can
point out a better way..Thanks a lot
>> > g
>> > --- In amibroker@xxxxxxxxxps.com, Herman <psytek@> wrote:
>> >> You have to write your code
so these spikes do not harm you, I have
>> > had spikes of $1000 or greater.
>> >> You can simply ignore prices
that fall outside the normal range, ask
>> > for confirmation, average a few
quotes, etc.
>> >> Welcome to the real world of
Real-Time SAutomated Trading
>> >> best regards,
>> >> herman
>> >> Monday, March 12, 2007,
3:14:19 PM, you wrote:
>> >> > I'm using AB with IB
datafeed and get spikes every now and then
> on SPY
>> >> > 1-minute bars. Today i
got a huge spike low of ~$40 while SPY
> trades
>> >> > ~$140. My AB-based
autotrading system started giving out
> totally bogus
>> >> > buy/sell signals. I
understand that if a spike occurs in my
> datafeed,
>> >> > i will not be able to
use AB's QuoteEditor to fix the spike for
> 3 bars
>> >> > since the spike is in
the plugin cache. During this time, all the
>> >> > damage will already be
done.
>> >> > In the absence of a
built-in spike removal tool in AB, what is the
>> >> > best way to prevent
spikes from affecting an AB-based autotrading
>> > system?
>> >> > Thanks a lot
>> >> > g
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