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I added a suggestion #1117 that would keep me in business with AB and
likely generate more pro sales.
Dennis
On Aug 1, 2007, at 11:39 PM, Dennis Brown wrote:
> 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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