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Thats not what I see, I see IB sending out data every 0.3 seconds (eg http://www.linnsoft.com/qa/a/108.htm )
So if I get 3 ticks coming in at tadeprice 1000 in the same 5second interval even when I am in tick mode all I see is volume increasing, if I go in and actually try to access those ticks in AB I find they have been joined up into one 5 second bar, ie theres no way I can work on those trades eg if they were 3 trades of 1 + 4 + 10 all I have to work on with analysis is a volume of 15, I can't separate out the 1 + 4 + 10 if they occur in the same 5 seconds at the same price??
Is that correct?? Or am I totally off the mark here...??
On 8/14/07, R4 InvestGroup <R4.InvestGroup@xxxxxxxxx
> wrote:
James,
but it cant really go below 5 seconds can it? I've just switched over to the profession edition so i'm trying to work it out... >> It is not as difficult as you think! AB is supporting tick data. In other words if you have tick data you will see every tick, trade as a different bar on chart.
IB does *not* support tick data, their finest data resolution is 5 second. That's all. You can't make shorter perdiods from IB data than 5 seconds. Try to collect true tick data and you will see how it looks like.
M.
On 8/14/07, Graham <
kavemanperth@xxxxxxxxx> wrote:
AB just uses what data it is supplied with
If your data supply is 5 second then that is what AB will use.
-- Cheers Graham Kav AFL Writing Service
http://www.aflwriting.com
On 14/08/07, james <jameswillia@xxxxxxxxx> wrote:
> > > Hi, > > I'm beginning to think what I want to do is impossible in AB because its not really a tick based real time charting program at all its a 5second real time charting program so you cant really manipulate any data below the 5second resolution anyway because AB just amalgamates it together.... Is this correct??
> > Cheers, James. > > > > > > On 8/14/07, james <
jameswillia@xxxxxxxxx> wrote: > > Hi Tomasz or anyone, > > > > I didn't realize the smallest time period in AB was 5 seconds.... > > > > The formula didn't seem to work setting the arrays to = 0 , as only the last value ended up in the composite, I assume because of the reset in the addtocomposite defaults, so I set the arrays to equal the composites
> > > > This seems to work ok except it gets strange values in all fields when there is more than one tick / entry in a five second time period in the original ticker..... any ideas?? eg if I look in quote editor in original ticker and there is only one entry in a 5 second period in matches in the composite, if there is more than one entry per 5 second in original ticker I get crazy values in composite...
> > > > Is it possible to match the number of fields to the original, eg if there are 3 entries in a five second period in the original ticker to have 3 entries in the composite?? Any that way capture indivual trade sizes as well (up to resolution that IB provides anyway)....
> > > > > > tn = Now(4); > > ltn = StaticVarGet( "LastTimeNum"); > > > > if( ltn != tn ) > > { > > StaticVarSet( "LastTimeNum", tn );
> > > > bidarray = Foreign("~BA_", "L" ); > > bidarray[ BarCount - 1 ] = GetRTData("bid"); > > askarray = Foreign("~BA_", "H" );
> > askarray[ BarCount - 1 ] = GetRTData("ask"); > > > > sizearray = Foreign("~BA_","V"); > > sizearray[ BarCount -1 ] = GetRTData("tradevolume");
> > > > lastarray = Foreign("~BA_","C"); > > lastarray[ BarCount -1 ] = GetRTData("last"); > > > > AddToComposite( lastarray, "~BA_","C", atcFlagDefaults | atcFlagEnableInIndicator );
> > AddToComposite( sizearray, "~BA_","V", atcFlagDefaults | atcFlagEnableInIndicator ); > > AddToComposite( bidarray, "~BA_", "L", atcFlagDefaults | atcFlagEnableInIndicator );
> > AddToComposite( askarray, "~BA_", "H", atcFlagDefaults | atcFlagEnableInIndicator ); > > } > > > > > > Cheers, James. > > > >
> > On 8/13/07, Tomasz Janeczko <groups@xxxxxxxxxxxxx> wrote: > >
> > > Hello,
> > > > > > You should call GetRTData for bid and ask and store using AddToComposite: > > > > > > Appropriate code should look as follows (I DID NOT TEST IT - I am writting off hand)
> > > - it will create 5 second bid/ask "bars". > > > High will hold ask, Low will hold bid. > > > > > > === Code that generates array > > >
> > > tn = Now(4);
> > > ltn = StaticVarGet( "LastTimeNum"+Name() ); > > > > > > if( ltn != tn ) > > > { > > > > > > StaticVarSet( "LastTimeNum"+Name(), tn );
> > > > > > bidarray = 0; > > > bidarray[ BarCount - 1 ] = GetRTData("bid"); > > > > > > askarray = 0; > > > askarray[ BarCount - 1 ] = GetRTData("ask");
> > > > > > AddToComposite( bidarray, "~BA_"+Name(), "X", atcFlagDefaults | atcFlagEnableInIndicator ); > > > > > > AddToComposite( askdarray, "~BA_"+Name(), "H", atcFlagDefaults | atcFlagEnableInIndicator );
> > > } > > > > > > ================ > > > To use them somewhere lese use: > > > > > > askarray = Foreign("~BA_"+Name()", "H" );
> > > > > > bidarray = Foreign("~BA_"+Name()", "L" ); > > > > > > > > > Best regards, > > > Tomasz Janeczko > > >
amibroker.com > > > > > > ----- Original Message ----- > > > From: james
> > > To: amibroker@xxxxxxxxxxxxxxx > > > Sent: Monday, August 13, 2007 3:19 AM
> > > Subject: Re: [amibroker] Re: Real time indicators using GETRTDATA > > > > > > > > > Tomasz, > > > > > > could you point me in the right direction in how to code something to do this in real time, or is it impossible at the moment??
> > > > > > Cheers, James > > > > > > > > > On 8/13/07, treliff <
treliff@xxxxxxxxx> wrote: > > > >
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