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Joseph Biran
____________________________________________
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Dennis Brown
Sent: Sunday, August 12, 2007 2:39 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Bad tick removal technique found
The Amibroker AFL library.
On Aug 12, 2007, at 4:23 PM, J. Biran wrote:
>
> 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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>
>
> 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:
> 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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