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Jerry,
Thanks for the suggestion, I will look into it again.
I run eSignal for a data feed and it is supposed to be the most
reliable one. I keep tabs on other realtime trader's experiences,
and it is. However, I get bad ticks constantly in AB for high volume
issues like SPY. eSignal cleans up most of the bad ticks in a few
seconds, but about 10-20% of them are never fixed. Bad ticks are
easy enough to ignore when trading by eye on a chart, because the
brain can spot the absurdity of the tall spike that only happens for
an instant without a volume spike and ignore it.
However, I have some quite complex indicator calculations that are
about the equivalent of 50 normal indicators. Some key calculations
that drive everything are based on the highs and lows of a 1 minute
bar. The bad ticks throw the calculations off by a factor of two.
It takes AB about 3 seconds to do my calculations for just 1000
bars. If I can run the database 12 or more times faster than the 1
minute bars, then I can run a simple algorithm that finds and removes
the bad ticks in realtime, then feed the clean 1 minute bars to the
rest of the calculations. It also lets me do things like running
clean volume bars off the same database.
Also if AFL had static arrays, I could break up my calculations and
not recalculate everything all the time which kills the UI
responsiveness for drawing trend lines in realtime.
I use the TimeFrameSet(60) after cleaning up the bad ticks which
turns everything into 1 minute bars. That works for everything
except the window still thinks it is in 5 second bars. All studies
that are hand drawn end up being relative to the 5 second bars (and
prices) that are implied, but not displayed, and not my 1 minute
bars. This means that the studies shift left one bar on the screen
every 5 seconds, while the price bars that I am plotting are shifting
left one bar every minute. This makes the studies march left 12
times faster than the data I was trying to draw a trend line for.
So TimeFrameSet() does not really take you to a new timeframe as far
as the chart pane is concerned, nor for drawing studies.
My OHLC does not change unless I do a force backfill, which fixes
some bad tick data. If your provider is fixing bad ticks on the fly
with AB, it might be affecting your charts.
I have been ignoring all the little gotchas while I was developing
the indicators to trade from. Now that my indicators are close to
done, I started worrying about the little gotchas that would ruin my
actual ability to execute successfully. I was counting on the little
things being cleaned up by now, or finding a work around over the
course of my one year development. AB is close to doing what I need,
but I don't know how to get from here to there. I have boasted about
how good AB was to a lot of realtime traders who are waiting for me
to prove it before they will use it. It looks like I will have to
eat my words now.
Dennis
On Aug 1, 2007, at 8:37 PM, Jerry Gress wrote:
> Dennis,
>
> You might want to change to Ninja Trader Charting 6.0. Has neat
> order entry
> that pops up on chart etc. Just one problem my first day of trial
> (yesterday) I had a low over 2 points diff then Amibroker(and
> exchange).
> They have not gotten back to me after sending pictures of diff.
>
> Otherwise you might want to get a different data supplier. You
> state your 5
> second drawing lines move, does your h,l,o,c also move? (See
> previous post,
> mine does).
>
> Jerry Gress
> Stockton, Ca.
>
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> Of Dennis Brown
> Sent: Wednesday, August 01, 2007 8:07 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Plotting different timeframes --help needed
>
> Ok, this approach will not work. Even though my graphs look right
> and the OHLC arrays are right, because I have to stay in the 5 second
> timeframe, studies are useless. All the lines I draw are internally
> based on the underlying 5 second timeframe and move every 5 seconds
> relative to the chart prices. Totally useless!
>
> SAD COMMENTARY:
>
> I continually try to solve problems related to my real time trading
> and have ask for help understanding how to apply AFL to the problems
> I am trying to solve. Most of the replies I get are from myself! I
> know this board is not shy to help when someone knows the answers, so
> I am left to draw an unfortunate (for me) conclusion:
>
> My selection of AB for my type of real time discretionary trading of
> one stock at a time was a mistake and I have wasted a year trying to
> make it work for me (and it is so close!). The majority of users
> seem to be using the rotational, portfolio, EOD, and swing trading
> methods (or are too inexperienced to know what they want) and that is
> where the support and development seems to be headed (I have used
> those methods before and wrote my own simple programs to do that nine
> years ago).
>
> Things that would make it possible to speed up real time analysis
> like support for static arrays have been put on the back burner due
> to lack of interest. Cleaning up the hand drawn study glitches and
> inconveniences seem to not be a priority because they have not been
> addressed.
>
> It really does hurt me to say it, because I really love the basic
> architecture of AFL and AB as a tool, and the community here, and I
> know that TJ is doing his best to satisfy the majority of his
> customer's needs, but if I am the odd man out and my trading needs
> are not the direction AB is headed, I have to face up to it and look
> for an alternative solution. :((
>
> Dennis
>
>
> On Jul 31, 2007, at 5:02 PM, Dennis Brown wrote:
>
>> Hello,
>>
>> I am totally frustrated with bad ticks getting through on my 1 minute
>> bars and messing up my indicators. I decided to try cleaning them up
>> on my own by running a 5 second database (instead of 1 minute) and
>> cleaning up the bad ticks with a Median(c,2) statement --I would have
>> used ticks, but I can only get a couple of hours worth of ticks in
>> 100,000 bars of SPY and I need several days of 24 hour data.
>>
>> I filtered the 5 second data, assigned it to OHLC, and then used the
>> TimeFrameSet(60) to create clean OHLC arrays.
>> I have to leave the overall timeframe at 5 seconds all the time for
>> the filter to work, but I want to display and work in 1 minute bars.
>>
>> When I plot it out, the bars are 1 minute bars, but the time scale at
>> the bottom of the chart is set for 5 seconds per bar.
>>
>> I want to know how I can also get the time scale to display in 1
>> minute bars?
>>
>> Or is there a completely different approach that is better?
>>
>> Thanks,
>> Dennis
>
>
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> Please note that this group is for discussion between users only.
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> To get support from AmiBroker please send an e-mail directly to
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> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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Please note that this group is for discussion between users only.
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For other support material please check also:
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