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Sidhartha70
You said:
I consider the open the 16:30 night session start and close
the 16:15 day session end the following day.
To find the first bar of a session consider:
barsSinceStart= BarsSince(TimeNum()>Ref(TimeNum(),-1)+1499)+1;
// this says barsSinceStart==1 when this bar is 15 or more minutes
after the prior bar. It will be 1 whenever this is true [ie, no
trade for 15 or more minutes... if you change the > to == 1500 it
will be when exactly 15 miinutes. check your bar times as you may
have to change this constant - read TimeNum() and DayofYear() ].
Now are there any qpFeed users out there who can help me with my last
two posts re data problems?
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@xxx>
wrote:
>
> 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@> 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
> > >>>>
> > >>>>
> > >>>>
> > >>>> No virus found in this incoming message.
> > >>>> Checked by AVG.
> > >>>> 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
> > >
> > >
> > >
> >
>
------------------------------------
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
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