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Herman --
The statement below "C=C+ATR(3);" reminds
me:
In the past, I've had a lot of trouble with "self
modifying" arrays outside of loops. So, I've ruled them out of my
code altogether. Are there any "hard and fast" rules as to when
and when not you can do it? I've tried "x=x+k*Ref(x, -1);", and
received unpredictable results (sometimes worked -- sometimes
not).
TIA.
-- Keith
Herman wrote:
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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