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Dennis,
like you I'm looking at 24 hour futures. Specifically the S&P E-mini
right now. I consider the open the 16:30 night session start and close
the 16:15 day session end the following day. I have my database
intraday settings set up as such.
Clearly AmiBroker has this info because it plots vertical session
lines at the session break each day.
You are very probably right Dennis, and I need to hard code some kind
of time checking mechanism to reset my indicator to zero each session
start... I just intuitively thought AFL might have a hardcoded set of
flags like this already.
Thanks
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Sidhartha70,
>
> AB database settings allow you to filter the data based on market open
> hours. I don't think AB knows when a holiday or half day is. The
> charts skip them simply because there was no trades when the market
> was closed, so no data.
>
> However, I am charting Futures contracts which trade almost 24 hours a
> day, so I do not filter anything at the database level except
> weekends. I take all trade data and do my own filtering. For many
> indicators, the extra after hours trading smoothes out the indicators
> for the start of the regular trading day. Those trades after hours in
> response to news do influence the next days trading. Many indicators
> have time domain factors and will behave badly if they are given a gap
> at the open. Resetting is just like a gap for some indicators. You
> must carefully pick the reset state values --and it may depend on the
> open price.
>
> BR,
> Dennis
>
> On May 20, 2008, at 1:56 PM, sidhartha70 wrote:
>
> > Dennis,
> >
> > you are absolutely right... that's exactly what I do mean. 1
> > instrument... with an indicator run across a large time series (i.e. 1
> > year)... and each new trading day (session) resetting the indicator.
> >
> > Dennis, I've eyeballed your code and I think I know what's going on.
> > My only question is, given the charts I can see before my eyes,
> > AmiBroker clearly knows when a session begins, when it's a weekend or
> > a holiday etc... because it plots the graphs perfectly as defined.
> >
> > On that basis is really necessary to re-code it...? Are there not some
> > flags (booleans) within AFL that signify things like the starting bar
> > of a session, each and every session...?
> >
> > Sorry if I sound off base here... like I say I've come from C#
> > world!!!
> >
> >
> >
> > -- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
> >>
> >> Dingo, Sidhartha70,
> >>
> >> Sorry, I thought the question about starting the indicator over each
> >> trading session (ie., trading day).
> >>
> >> BR,
> >> Dennis
> >>
> >> On May 20, 2008, at 12:48 PM, dingo wrote:
> >>
> >>> IMHO you should seriously read thru the list of functions in the
> >>> help file.
> >>> And you should do this at least twice per year.
> >>>
> >>> Look at the "stocknum" param in the following:
> >>>
> >>> http://www.amibroker.com/guide/afl/afl_view.php?id=141
> >>>
> >>> You can test to see if the result is = 0 which will indicate the
> >>> start.
> >>>
> >>> d
> >>>
> >>>> -----Original Message-----
> >>>> From: amibroker@xxxxxxxxxxxxxxx
> >>>> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of sidhartha70
> >>>> Sent: Tuesday, May 20, 2008 12:29 PM
> >>>> To: amibroker@xxxxxxxxxxxxxxx
> >>>> Subject: [amibroker] Re: Resetting an indicator at the start
> >>>> of a session
> >>>>
> >>>> Dennis,
> >>>>
> >>>> Thank you. I will take a look at the code.
> >>>>
> >>>> First question... goodness. Is there a really easy way to know if
> >>>> we
> >>>> are at the start of a session...?? A flag of some sort that gets
> >>>> set
> >>>> at the start of the session...?
> >>>>
> >>>> Sorry, I come from C# world...
> >>>>
> >>>> Thanks
> >>>>
> >>>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
> >>>>>
> >>>>> Hello,
> >>>>>
> >>>>> Here is a snippet of AFL from my system that is concerned
> >>>> with what
> >>>>> you are looking for. Sift through it and see if it gives
> >>>> you any ideas.
> >>>>>
> >>>>> // Generate the Holiday mask so we don't backtest trading
> >>>> or use in
> >>>>> volume calculations
> >>>>> Holiday = 1;
> >>>>> for(i=0; StrExtract(HolidayList,i)!=""; i++){Holiday &=
> >>>> BarDates !=
> >>>>> StrToNum(StrExtract(HolidayList,i));}
> >>>>> Halfday0 = 1;
> >>>>> for(i=0; StrExtract(HalfdayList,i)!=""; i++){Halfday0 &=
> >>>> BarDates !=
> >>>>> StrToNum(StrExtract(HalfdayList,i));}
> >>>>> Halfday = Halfday0 | BarTimes <= 130000;
> >>>>> // Major US equity markets open/close markers
> >>>>> MarketOpen = Holiday AND Halfday AND BarTimes >= 93000 AND
> >>>> BarTimes <=
> >>>>> 160000;
> >>>>> FirstTradeBar = Cross(MarketOpen,.5);
> >>>>> LastTradeBar = Cross(.5,MarketOpen);
> >>>>> // Market volume valid mask
> >>>>> ValidVolBars = MarketOpen AND Halfday0;
> >>>>> // Time of day to place trades mask
> >>>>> EntryTimes = TimeNum() >= TradeBeg AND TimeNum() <= TradeEnd-
> >>>>> TradeEnd2; //time of day to place new trades
> >>>>> EntryTimes &= HalfDay & Holiday;
> >>>>> ExitTimes = TimeNum() >= TradeBeg AND TimeNum() <=
> >>>> TradeEnd; //time of
> >>>>> day to place exits
> >>>>> ExitTimes &= HalfDay & Holiday;
> >>>>> // Go flat at end of day bar
> >>>>> LastDayTradeBar = Cross(TimeNum() >= TradeEnd,.5) |
> >>>> Cross(0.5,HalfDay);
> >>>>>
> >>>>> BR,
> >>>>> Dennis
> >>>>>
> >>>>> On May 20, 2008, at 11:17 AM, sidhartha70 wrote:
> >>>>>
> >>>>>> Herman et al,
> >>>>>>
> >>>>>> any thoughts on this...?
> >>>>>>
> >>>>>> Thanks
> >>>>>>
> >>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@>
> >>>>>> wrote:
> >>>>>>>
> >>>>>>> Herman,
> >>>>>>>
> >>>>>>> thanks for this. very interesting.
> >>>>>>>
> >>>>>>> however, exactly what i'm trying to do is completely reset an
> >>>>>>> indicator at the beginning of each session. the
> >>>> indicator is forming
> >>>>>>> part of an oscillator, so i want to cumulative a value
> >>>> over over each
> >>>>>>> session, and then reset it to zero.
> >>>>>>>
> >>>>>>> is there an easy way of doing that?
> >>>>>>>
> >>>>>>
> >>>>>>
> >>>>>>
> >>>>>> ------------------------------------
> >>>>>>
> >>>>>> 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:
> >>>> http://www.amibroker.com/devlog/
> >>>>
> >>>> For other support material please check also:
> >>>> http://www.amibroker.com/support.html
> >>>> Yahoo! Groups Links
> >>>>
> >>>>
> >>>>
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> >>>> Version: 8.0.100 / Virus Database: 269.23.21/1456 - Release
> >>>> Date: 5/20/2008 6:45 AM
> >>>>
> >>>
> >>>
> >>> ------------------------------------
> >>>
> >>> 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:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> > Yahoo! Groups Links
> >
> >
> >
>
------------------------------------
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For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
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