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Where was the file uploaded to? Couldn't find it
Joseph Biran
____________________________________________
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Dennis Brown
Sent: Saturday, August 11, 2007 5:08 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Bad tick removal technique found
Hello All,
As promised I uploaded this AFL to the library. Just search for Bad
Tick. It also includes a section for testing out different
TimeFrameSet() and TimeFrameMode() for previewing the filtered data --
and a twist on two modes. It requires 4.99 to function properly.
Dennis
On Aug 8, 2007, at 9:48 AM, Dennis Brown wrote:
> Hello All,
>
> I am starting a new thread for this subject because the old thread
> (Second thoughts on Static arrays) got too cumbersome for this side
> issue.
>
> After a lot of head scratching and hints from TJ and others, I
> finally found a technique for removing bad ticks in a 5 second
> database while also being able to process bars at other intervals for
> real time indicators. It is so simple it is almost embarrassing.
>
> The trick is to use linked charts and pass data between them only in
> the 5 second timeframe with an ATC ticker.
>
> In essence, I have two processes running in realtime. One is running
> a simple fast bad tick removal AFL process on something like 60K bars
> of 5 second data (180ms overhead) and it passes that data to the
> second AFL process which compresses the 5 second clean data into the
> desired timeframe for indicator generation on far fewer bars, say
> 2000.
>
> First I run a 5 second bad tick removal AFL in one chart and save the
> clean OHLCV data using ATC to a single ticker symbol every AFL pass.
>
> In the linked chart, I replace the OHLCV arrays to get the clean
> OHLCV data using Foreign(). I can also put a SetBarsRequired(maxBars,
> 0) at the end of the AFL to control the size of the data arrays, or
> just let fast AFL do its thing.
>
> That is all there is to it.
>
> I will post the AFL soon, but I might have uncovered a bug and I want
> to check with support about that first.
>
> Dennis
>
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