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Dan, see replies interspersed.
On May 20, 2008, at 6:11 PM, monitorit wrote:
> Dennis
> I guess in that case you can use
>
> barsSinceStart= BarsSince(cross(TimeNum(),162000)) ;
>
> endbar will be before 4:20 and start bar will be 1st bar after it-
> should work with even short trading days, and holidays/weekends if
> prior day ends before 420 and subsequent new day starts before 12 MN
I just use what I posted and it covers all the bases and works fine.
> Thankfully, I don't trade futures. I do have a question you have
> probably tackled. My db base interval=1min, start 0930, end 1600,
> shift=0, show day session only and preferences are set at: time
> stammp of compressed id bars shows START time of interval. Trading
> day starts 930am...ends 400pm with a few trades trickling in till
> ~402. How would you get those late trades into the bar that ends my
> day (ie, the 1min,5min,etc bar that ends my day). My db Tradestation
> had a feature that let you add these to the final bar.
I would just set my end time to a minute or two later than the bell.
In my case, I keep all the trades coming during the 15 minute off time.
> Also, my db is set to 7400 bars [=19 days]. When run AA first time
> after starting AB with wait till backfill checked, all symbols will
> get every bar in the db replaced [if I use a longer db, same
> problem]. After that first run, it doesn't make a difference if
> backfill is checked or not, no backfill will be requested (I have to
> force it by right clicking the connection status). Unclear to me if
> this is an AB or data provider 'feature'. Have this problem? Does
> your data in ever fall behind during the time of day when trading
> becomes heavy... I have a problem the last half hour of the day - not
> b/o internet connection or cpu or ram (a second slower machine not
> running AB sees same ticker sym in realtime from a source I can't
> import to AB).
>
> Thaks,
> Dan
I run IQ Feed and if anything it is aggressive about backfilling every
time I start up AB. My data does not fall behind, but then I only
have one or two tickers streaming in at a time on a 5 second database.
BR,
Dennis
>
> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>>
>> Dan,
>>
>> Many times a Future trading after hours will have no trades for
> more
>> than 15 minutes. It is better to specify the exact time desired.
> In
>> my case, I also run volume and range based bars which usually have
> a
>> start time before the end of day, and span the 15 minute market
> closed
>> time period. I set all my bars for start time stamps. I have to
> be
>> careful with my time comparisons or I would miss the closing time
>> since it is the middle of a bar. Makes it tricky to specify when
> and
>> at what price to go flat for the day.
>>
>> BR,
>> Dennis
>>
>> On May 20, 2008, at 5:00 PM, monitorit wrote:
>>
>>> 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@>
>>> 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
>>> 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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