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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