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Tomasz and Daniel,
Excellent points about the advantages of ATC vs hidden memory arrays.
On the other side, when the purpose of the hidden arrays is just to
hold a temporary array value between AFL passes that have a short
life span of perhaps a minute, and if you are creating dozens of
them, not having a "file system" copy of data to read is of no more
consequence than not having a filesystem copy of any other AFL array
that is destroyed every pass. There could be some debug value as
confirmation that you are actually creating them.
With the memory only "hidden" arrays, there might need to be a simple
way to "flush" all the saved arrays for a "pane" from memory, either
as a logical and automatic consequence of AB, and/or via a single
explicit AFL command.
The purpose of the proposal is to speed up AFL by saving results that
do not need to be recalculated. ATC/Foreign have all the required
functionality to do this. With the hint by Tomasz (thank you) about
SetBarsRequired() at the END of the AFL, part of the speed problems
is solved. The only reason to do a more limited version of ATC/
Foreign functionality (in some form) is to cut down on the extra
overhead to get the maximum speed improvement. It is only worth
doing if it can be done in a way that will make the this
functionality at least twice as fast as regular ATC/Foreign. I need
to test that actual difference in generating and reading a normal
array and ATC/Foreign now to see how much could be gained. I will
report it soon.
Best regards,
Dennis Brown
> Hello,
>
> Foreign() is hand optimized and generally very fast - generally
> speaking it's speed is
> 70%..80% of memcpy() so I am afraid "signatures" would not give any
> advantage considering
> the fact that you need to add special bookkeeping for them.
>
> And your comment regarding "hidden" nature of static variables is
> very true and that
> is one of my concerns.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "liberte721" <daniel.laliberte@xxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, August 05, 2007 4:36 PM
> Subject: [amibroker] Re: Second thoughts on Static arrays --whole
> problem set
>
>
>> Tomasz,
>>
>> Thanks for your reply and explanation. I have a couple other ideas,
>> and then I'll resume my usual silence. :)
>>
>> The use of Foreign to import an array might be optimized by a quick
>> comparison of the "signature" of the array with that of the current
>> symbol. If they are identical, then no translation would be
>> necessary. By the "signature", I mean something like a
>> combination of
>> the barcount, date/time range and timeframe, but since internal bars
>> might be missing, there should be a way to normalize the data and
>> mark
>> it as normalized. This might be more complex than it is worth.
>>
>> The additional "symbol" entries that ATC creates provide one other
>> advantage for users - these symbols can be viewed or removed
>> manually.
>> In contrast, runtime memory would tend to fill up with invisible
>> static arrays requiring some other way to view and remove them.
>>
>> Daniel LaLiberte
>>
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
>> wrote:
>>>
>>> Daniel,
>>>
>>> ATC are NOT saved to disk unless cache needs to be flushed to the
>>> disk,
>>> so disk access has nothing to do with the problem.
>>>
>>> There are two areas that affect speed
>>> 1) the most important - ATC by default requires ALL bars to be used
>>> so your formula is not executed in QuickAFL mode
>>> 2) Foreign needs to be done to sychronize length/date stamps with
>> currently selected symbol
>>>
>>> First point can be easily resolved by adding
>>> SetBarsRequired at the END of the formula.
>>> Doing so, overrides any automatically calculated bar requirements
>>> and
>>> you will be able to shorten the number of bars used and turn on
>> QuickAFL
>>> even if ATC is used.
>>>
>>> For example adding
>>> SetBarsRequired( 1000, 0 );
>>> at the end will make that the formula will require 1000 prior bars
>> and 0 future bars.
>>>
>>> This should give large boost in speed if you are using many
>> thousands of bars.
>>>
>>> Second point is unevitable - see my previous response.
>>>
>>> Best regards,
>>> Tomasz Janeczko
>>> amibroker.com
>>> ----- Original Message -----
>>> From: "liberte721" <daniel.laliberte@xxx>
>>> To: <amibroker@xxxxxxxxxxxxxxx>
>>> Sent: Sunday, August 05, 2007 8:09 AM
>>> Subject: [amibroker] Re: Second thoughts on Static arrays --whole
>> problem set
>>>
>>>
>>>> Dennis,
>>>>
>>>> I believe what you are asking for is different from the ATC and
>>>> Foreign functionality since you do not want the persistent disk
>>>> storage that ATC provides. I think that point might have been
>>>> missed
>>>> in previous discussions. You said:
>>>>
>>>> "Because AFL is so fast working with arrays, It seems that it
>>>> should
>>>> be possible to just save an array in memory in a high speed way,
>>>> then
>>>> recall it to repopulate the array instead of recalculate the
>>>> array if
>>>> the AFL determines that the data would not have changed since
>>>> the last
>>>> pass."
>>>>
>>>> So you want in-memory arrays that continue to exist outside of a
>>>> single AFL script execution, but are not persistent to disk. In
>>>> other
>>>> words, if you close the AB session and reopen, then you do not
>>>> expect
>>>> your static arrays to have survived. I think the term "static
>>>> arrays"
>>>> is appropriate, analogous to "static variables" that are also not
>>>> persistent. I'd be happier if static variables also could just
>>>> store
>>>> arrays as well as non-array values.
>>>>
>>>> It does seem that this form of static array memory should be
>>>> nearly as
>>>> fast as the temporary arrays that live only within a single script
>>>> execution. They should merely occupy a different part of the AB
>>>> memory space. I agree this would be very valuable for me as well,
>>>> provided they were fast.
>>>>
>>>> Maybe ATC and Foreign functions effectively work this way by not
>>>> saving to disk unless you actually save them explicitly (or
>>>> implicitly
>>>> if you enable that). If so, then it is not clear where the time
>>>> goes.
>>>> Maybe there is a way to optimize the use of these arrays to avoid
>>>> time-frame translation, for example.
>>>>
>>>> Daniel LaLiberte
>>>>
>>>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
>>>>>
>>>>> Tomasz,
>>>>>
>>>>> First let me thank you for your patients in explaining this one
>> more
>>>>> time. It makes a very good post for the benefit of others.
>>>>> Yes, I am aware of everything you explained because you had
>> explained
>>>>> it before and I listened and tried out the ideas.
>>>>>
>>>>> I sent you a direct email through support #39911 on May 16 for
>> which
>>>>> I received no reply (and none was technically required). I will
>>>>> quote it:
>>>>>
>>>>> "I am taking this subject off the yahoo board now because I don't
>>>>> think anyone can help but you.
>>>>> It can go back on the board when there is a solution that will
>>>>> work.
>>>>>
>>>>> I took your advice and made all the changes you suggested to
>> speed up
>>>>> my AFL.
>>>>> The functionality of the AFL is working nicely, behaving just
>>>>> as it
>>>>> should.
>>>>>
>>>>> However, instead of running 10 times faster, now it runs twice as
>>>>> slow as before.
>>>>>
>>>>> I have narrowed the problem down to the very thing that was
>> supposed
>>>>> to speed it up.
>>>>>
>>>>> 1. When I use the ATC & Foreign functions the number of bars
>>>>> required goes from 3518, 0 to 1000000, 1000000.
>>>>> This looks like it turns off fast AFL and slows all normal
>>>>> processing by requiring all the bars. I have 77,000 data bars
>>>>> total.
>>>>> I do not know if this is intentional or a bug.
>>>>>
>>>>> 2. The ATC function is slow, but I only do it once per bar (1
>> minute).
>>>>>
>>>>> 3. The foreign function which is done every time is slow also
>>>>> (relative to normal arrays).
>>>>> It takes .04 seconds each and I need dozens to replace the missing
>>>>> static array functionality.
>>>>> Perhaps this is also due to the 1000000 bars.
>>>>>
>>>>> Without being able to have persistent arrays that are as fast as
>>>>> normal arrays I will not be able to achieve my trading goals for
>> very
>>>>> many years until computers speed up by 10x. That is the same as
>>>>> never to me. I wish I could just declare some variables to be
>>>>> Persistent or Static and be done with it. It is easy for me to
>> say,
>>>>> but perhaps it is not so easy for you to do. However, being able
>> to
>>>>> successfully use the methods discussed on the board opens up a
>> lot of
>>>>> extra possibilities due to the extra speed possible with AFL.
>>>>>
>>>>> I appreciate any help you can give in this matter."
>>>>>
>>>>> As I want a workable solution to my problem and want to use AB
>> for my
>>>>> project (I would be trading this already using my AB system if I
>> had
>>>>> a solution), I will state the fundamental problems I face clearly
>>>>> together here (instead of disjointed posts like before) and then
>>>>> perhaps a solution might occur to you or somebody else. Please
>>>>> forgive the length and complexity of this post.
>>>>>
>>>>> Background:
>>>>>
>>>>> My trading system is very simple in principle. AFL calculates a
>>>>> complex indicator, I draw manual trend lines, and I place manual
>>>>> trades on a single stock or ETF at a time. It is day trading,
>>>>> so I
>>>>> only have a few seconds to trigger my trade when the conditions
>>>>> are
>>>>> right. My AFL allows rapid manual selection of different
>> timeframes
>>>>> via a parameter, and selects the proper volume bar settings
>>>>> dynamically for different ETFs or stocks. The program
>> automatically
>>>>> runs through many timeframes to select trade trigger possibilities
>>>>> for me to consider.
>>>>> 1. There is a heavy compute environment --several seconds of AFL.
>>>>> 2. The environment is highly interactive --drawing trend lines.
>>>>> 3. Seconds count for placing trades.
>>>>>
>>>>> First Problem set:
>>>>>
>>>>> Under heavy compute loads (when AFL time is greater than refresh
>>>>> rate), AB stops responding to the UI.
>>>>>
>>>>> Workarounds:
>>>>>
>>>>> The only way I can get some UI functionality back is to set the
>>>>> refresh rate to one second longer than the AFL compute time.
>> Then I
>>>>> can get UI functionality back, but with many delays.
>>>>> I also have a ParamToggle() to turn off most indicator processing
>> so
>>>>> that I can interact with the UI better at times (but I lose my
>>>>> indicator plot references).
>>>>> This is a partially effective workaround that I could limp along
>> with.
>>>>>
>>>>> Requested solution:
>>>>>
>>>>> Realizing that the root problem is that the UI functions only run
>> (or
>>>>> initiate) in between AFL passes, I looked for a way to do less
>>>>> processing on each pass. The AFL load could be much less most of
>> the
>>>>> time because I only need to calculate everything when a new bar is
>>>>> added.
>>>>> I thought of two possibilities:
>>>>>
>>>>> 1. Ask for an AFL function that is essentially DoUserInterface().
>>>>> Then put AFL into an infinite loop and put these commands at
>>>>> appropriate places. Since this is backwards from the way the AFL
>>>>> appears to work, I did not make this suggestion.
>>>>>
>>>>> 2. Ask for arrays that keep their data between AFL passes. I
>> tried
>>>>> using ATC for this. It functioned like it was supposed to, but
>>>>> was
>>>>> too slow to be a practical solution. I understand the reason they
>>>>> are so slow, and that is because they are a true static permanent
>>>>> array. However, what I wanted was only for a normal array to be
>>>>> saved between passes. They only need to be identified by which
>> pane
>>>>> they are associated with (could be part of the internal name).
>> They
>>>>> are only valid between new bars (same array size). Changes to
>>>>> symbol, timeframe, parameters, etc., can be detected in the AFL
>>>>> and
>>>>> the array updated. I know this can be done, because I did it for
>> the
>>>>> ATC version I wrote and everything worked perfectly (just not
>>>>> faster). Because AFL is so fast working with arrays, It seems
>>>>> that
>>>>> it should be possible to just save an array in memory in a high
>> speed
>>>>> way, then recall it to repopulate the array instead of recalculate
>>>>> the array if the AFL determines that the data would not have
>> changed
>>>>> since the last pass.
>>>>>
>>>>> There may be another possible solution that I have not thought of
>> and
>>>>> I would love to hear it.
>>>>>
>>>>> Second Problem set:
>>>>>
>>>>> Because this is a realtime trading system, decisions have to be
>> made
>>>>> from raw data which contains bad ticks that may fool the system.
>>>>> Volume bars are used in the system, and must be able to change
>> volume
>>>>> per bar on different AFL passes.
>>>>> Built-in timeframe or volume settings do not allow the
>> flexibility to
>>>>> address these
>>>>>
>>>>> Workarounds:
>>>>>
>>>>> A tick database is too large to have enough history for the
>>>>> indicators. Running a database of 5 seconds for a basic 1 minute
>> bar
>>>>> (or equivalent for volume bars) allows for reasonably effective
>>>>> bad
>>>>> tick removal and volume bar generation. History can be just 60K
>>>>> bars. Bad ticks are removed and volume bar settings are
>>>>> determined
>>>>> using the 5 second bars. Arrays are built up using
>> TimeFrameSet() to
>>>>> get the actual bars used for indicator calculations and graph
>> plots.
>>>>> This approach works really well, however, there is one big problem
>>>>> with it.
>>>>>
>>>>> Even though I can display all my price and indicators in the
>>>>> timeframe I desire, I can not draw studies that align to that
>>>>> timeframe. All studies are drawn in the pane relative to 5 second
>>>>> bars. This workaround is not acceptable for trading.
>>>>>
>>>>> Requested solution:
>>>>>
>>>>> #1117 Make an AFL way to set the timeframe of the drawing studies
>> to
>>>>> match the OHLC array created by TimeFrameSet().
>>>>>
>>>>> Of course implementing this has a general benefit of giving an
>> almost
>>>>> infinite number of time/volume/range bars settings via AFL and
>>>>> parameters.
>>>>>
>>>>> Please consider the problems (not just proposed solutions) and
>> advise
>>>>> if other possibilities come to mind for solutions.
>>>>>
>>>>> Thank you very much for your patients and consideration,
>>>>>
>>>>> Dennis Brown
>>>>>
>>>>>
>>>>> On Aug 4, 2007, at 6:16 AM, Tomasz Janeczko wrote:
>>>>>
>>>>>> Dennis,
>>>>>>
>>>>>> I explained it many times:
>>>>>>
>>>>>> 1. You can not simply "KEEP" the array from previous execution
>> and
>>>>>> reference it directy becase:
>>>>>> a) previous execution may be on different symbol/different time
>>>>>> frame/different zoom level leading
>>>>>> to DIFFERENT NUMBER OF ELEMENTS in the array and different
>>>>>> TIMESTAMPS of array bars.
>>>>>>
>>>>>> 2. Because of (1) the only way to implement "static array" is to:
>>>>>> a) store not only array BUT also TIMESTAMPS with every bar
>>>>>> b) during reading perform timestamp checking and
>> synchronization so
>>>>>> referenced array data is aligned
>>>>>> with current execution data
>>>>>>
>>>>>> If those two were not implemented you would NOT be able to use
>>>>>> "static arrays" at all.
>>>>>>
>>>>>> 3. Functionality already exists
>>>>>> a) Point 2a - storing arrays with timestamps is exactly what
>>>>>> AddToComposite ALREADY DOES
>>>>>> b) Point 2b - reading arrays with timestamps and aligning is
>>>>>> exactly what Foreign ALREADY DOES
>>>>>>
>>>>>> 4. Implementing dedicated "static" array functions would
>>>>>> a) give NO SPEED ADVANTAGE over AddToComposite/Foreign
>>>>>> b) give only "the impression" that it is something else and
>>>>>> "faster" than ATC/Foreign while it would
>>>>>> be FALSE impression.
>>>>>>
>>>>>> Summary:
>>>>>> a) functionality already exists
>>>>>> b) no speed advantage over existing functionality
>>>>>>
>>>>>> So here are the functions you are asking for:
>>>>>>
>>>>>> function StaticVarArraySet( Varname, array )
>>>>>> {
>>>>>> AddToComposite( array, "~SA_"+VarName, "C", atcFlagDefaults |
>>>>>> atcFlagEnableInBacktest | atcFlagEnableInExplore |
>>>>>> atcFlagEnableInIndicator | atcFlagEnableInPortfolio );
>>>>>> }
>>>>>>
>>>>>> function StaticVarArrayGet( VarName );
>>>>>> {
>>>>>> return Foreign( "~SA_"+VarName, "C" );
>>>>>> }
>>>>>>
>>>>>> Best regards,
>>>>>> Tomasz Janeczko
>>>>>> amibroker.com
>>>>>> ----- Original Message -----
>>>>>> From: Dennis Brown
>>>>>> To: amibroker@xxxxxxxxxxxxxxx
>>>>>> Sent: Saturday, August 04, 2007 5:26 AM
>>>>>> Subject: [amibroker] Second thoughts on Static arrays
>>>>>>
>>>>>> Hi,
>>>>>>
>>>>>> The more I have thought about static arrays for my AFL needs, the
>>>>>> more I see that what I am looking for is a quite limited
>>>>>> implementation.
>>>>>>
>>>>>> Static arrays would have low overhead and give the speed needed
>>>>>> just like regular arrays. The primary need is to avoid re-
>>>>>> computing complex things all the time that only need to be
>> computed
>>>>>> under certain conditions or perhaps once per new bar. This
>> allows
>>>>>> far richer AFLs to be developed for real time trading, while
>>>>>> improving the responsiveness of the UI interaction under heavy
>>>>>> compute conditions. The life of a static array is fleeting.
>>>>>>
>>>>>> Static arrays are not permanent like ATC, and do not have the big
>>>>>> overhead. Static arrays as I envision them, would have to be
>>>>>> updated via the user AFL program whenever a change in environment
>>>>>> caused the data to become invalid --like changing the symbol or
>> the
>>>>>> timeframe --or even adding a new bar (which changes the array
>>>>>> size). Having static arrays like this would allow breaking the
>> AFL
>>>>>> into two parts --the fast part that needs to run for every
>> second,
>>>>>> and the part that needs to run once per compressed timeframe,
>>>>>> volume, or range bar.
>>>>>>
>>>>>> I am sure there are technical issues involved, or TJ would have
>>>>>> already provided them since they are so useful for speeding up
>> AFL.
>>>>>> First rule of making programs fast is pre-compute everything
>>>>>> possible and not inside a loop. AFL is one big loop.
>>>>>>
>>>>>> Perhaps what I am looking for are not technically "static" arrays
>>>>>> in the normal sense. Maybe I need to call them by a different
>> name
>>>>>> for the suggestion box. Perhaps there is an even easier way to
>>>>>> address this need with a new AFL syntax: keep(myArray);
>>>>>>
>>>>>> Comments anyone?
>>>>>>
>>>>>> Dennis Brown
>>>>>>
>>>>>
>>>>
>>>>
>>>>
>>>>
>>>> Please note that this group is for discussion between users only.
>>>>
>>>> To get support from AmiBroker please send an e-mail directly to
>>>> SUPPORT {at} amibroker.com
>>>>
>>>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>>>> http://www.amibroker.com/devlog/
>>>>
>>>> For other support material please check also:
>>>> http://www.amibroker.com/support.html
>>>>
>>>> Yahoo! Groups Links
>>>>
>>>>
>>>>
>>>>
>>>>
>>>
>>
>>
>>
>>
>> Please note that this group is for discussion between users only.
>>
>> To get support from AmiBroker please send an e-mail directly to
>> SUPPORT {at} amibroker.com
>>
>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>>
>> For other support material please check also:
>> http://www.amibroker.com/support.html
>>
>> Yahoo! Groups Links
>>
>>
>>
>>
>>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
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