Re: [amibroker] Re: Real time indicators using GETRTDATA, AmiBroker Email List Archive

On 8/14/07, Tomasz Janeczko <groups@xxxxxxxxxxxxx> wrote:

Hello,

Please tell me what is the purpose of sending the same post to support and to the list?

Are you trying to double my work or what????

If you are sending to support - ALLOW ME TO ANSWER. Bombarding us (actually only me

because Marcin is on vacation now) with multiple copies of the same thing is bad idea.

Some facts because you are mixing things:
1. AmiBroker fully supports TICK data (it displays as many ticks as data vendor provides,
if there are 50 trades in one second it will display 50 trades).
Granularity of timestamp has NOTHING to do with that as in every application
tick data usually have SAME timestamp for multiple ticks happening in given second
or any other granular interval.

2. The timestamp you see is displayed in 5 second increments but what you can not
see in tick data that ticks also have their unique tick number and they are differentiated
by it if timestamp is the same.
Again - MANY ticks may have same timestamp in TICK mode. This is normal and present
in all applications.

3. AddToComposite is DIFFERENT STORY.
As it is impossible to match tick numbers from one symbol to another (DIFFERENT INSTRUMENTS
have VERY DIFFERENT trading activity and 10th tick for symbol XYZ happens on completely
different time thant 10th tick for symbol ABC.

THEREFORE AddToComposite MUST use timestamp to match-and-align data coming
from DIFFERENT tickers. Now *AddToComposite* resolution is limited to 5 seconds.

As to the formula itself, I wrote you that I did not test it.

You can easily modify it, to remove "crazy values".

Replace
tn = Now( 4 );

with:
tn = LastValue( Second() );

Also use the original code, not one with foreigns. The only change really needed
is using different flags:

tn = LastValue(Second());
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", atcFlagEnableInIndicator );
AddToComposite( askdarray, "~BA_"+Name(), "H", 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: Tuesday, August 14, 2007 3:43 AM

Subject: Re: [amibroker] Re: Real time indicators using GETRTDATA

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: