Sent: Sunday, August 05, 2007 3:53 AM
Subject: Re: [amibroker] Second thoughts on Static arrays --whole problem set
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.
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: