|
PureBytes Links
Trading Reference Links
|
Thanks TJ. I appreciate your guidance on this.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> I understand and I get your point, but for purpose of long-term
backtesting
> of future contracts, it is actually better and more realistic not to use
> continuous contract at all.
> Instead use original contracts and switch between contracts based on
> current month/year. That way it is possible to more realistically
> account for rolling contract into new month series.
> Using that approach no more than 6 month per individual contract
series is needed.
>
> The code for contract series switching should be something along
these lines (simplified a bit):
>
> n = Name(); // assumes ESxy format where x is delivery month, y is
one digit year
>
> mcode = StrMid( n, 2, 1 );
>
> startyear = endyear = StrMid( n, 3, 1 );
>
> switch( mcode )
> {
> case "H": // march contract
> startyear = endyear - 1;
> startmonth = 12;
> endmonth = 3;
> break;
>
> case "M": // junecontract
> startmonth = 3;
> endmonth = 6;
> break;
>
> case "U": // september
> startmonth = 6;
> endmonth = 9;
> break;
>
> case "Z": // december
> startmonth = 9;
> endmonth = 12;
> }
>
> startdatenum = 10000 * (100 + startyear ) + 100 * startmonth + 15;
// aribitrary switch date: 15th of delivery month
> enddatenum = 10000 * (100 + endyear ) + 100 * endmonth + 15; //
aribitrary switch date: 15th of delivery month
>
> dn = DateNum();
>
> // filter out buy/sell signals so they only appear inside valid
period and we exit position after valid period is over
> Buy = OriginalBuy AND ( dn >= startdatenum AND dn <= enddatenum );
> Sell = OriginalSell AND dn > enddatenum;
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "sidhartha70" <sidhartha70@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Saturday, December 06, 2008 12:25 PM
> Subject: [amibroker] Re: Speed Issues
>
>
> > TJ,
> >
> > Thanks for your assitance here.
> > As I explained the reason I made the number so large was to make sure
> > I captured ALL of IQ Feed's 1 Min data AND daily data. I accept that I
> > could have made the number 1mil instead of 2mil and achieved the same
> > objective. However, for purposes of longer term intraday backtesting,
> > I see no alternative other than to change the registry setting and
> > load more bars than recommeneded.
> >
> > Anyway, this is all a learning process. Because most of us don't
> > understand how AB manages data as intimately as you, we are not aware
> > of how a larger DB critically effects performance (due to CPU cache
> > being overloaded). Perhaps it's worth spelling this out a little more
> > detail so that we are all 'in the know'.
> >
> > I have now decided to have one large DB for longer term backtesting
> > where live performance is not critical... and a much lighter weight,
> > smaller DB for live trading.
> >
> > Thanks again.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
> >>
> >> The original poster ignored recommended settings, ignored
> >> warnings displayed by AmiBroker, used registry hack to
> >> disable 500k bar limit and entered 20x more than recommended
> >> "number of bars" for 1-minute IQFeed database (2 million bars
> > instead recommended 100k)
> >>
> >> If you load 40 tonnes onto Ferrari it won't go. And that's no
surprise.
> >>
> >> Always, I mean ALWAYS use recommended settings (as presented in
> > tutorials
> >> and videos) and it will work perfectly.
> >>
> >> As with any machine, any equipment, etc, if you load 20x more than
> > manufacturer recommends
> >> you can expect it to run at least 20x slower or not run at all.
> >>
> >> Best regards,
> >> Tomasz Janeczko
> >> amibroker.com
> >> ----- Original Message -----
> >> From: "monitorit" <monitorit@>
> >> To: <amibroker@xxxxxxxxxxxxxxx>
> >> Sent: Saturday, December 06, 2008 3:34 AM
> >> Subject: [amibroker] Re: Speed Issues
> >>
> >>
> >> > Hi
> >> > May I ask how many tickers are being continuously updated
during live
> >> > market hours? This would include the number of tickers that were
> >> > exposed to an AA or were displayed on a chart since the current
> >> > session of AB started + any additional tickers displayed in the
> >> > realtime quote window (at least in my experience and with another
> >> > data provider). Do you notice any problem after market hours when
> >> > all the data is already local?
> >> > I've given up trying to keep >30+ tickers live
> >> > (with some days better than others.. ? d/t velocity of market
> >> > activity or something else between AB -the internet - and my
> >> > provider) but don't see a problem with chart redraws just the data
> >> > update gets delayed. Even when I switch to a different ticker -
> >> > redraw is quick - but the last bar can be several minutes old
on a 1
> >> > min chart.
> >> >
> >> > Dan
> >> >
> >> >
> >> > --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@>
> >> > wrote:
> >> >>
> >> >> Hi All,
> >> >>
> >> >> Just when I think I seem to have got to the bottom of speed
issues
> >> > for
> >> >> live trading with AmiBroker... I find myself needing a little
more
> >> > advice.
> >> >>
> >> >> I have 4 charts... each chart has a total chart timing of about
> >> > 0.045
> >> >> secs.
> >> >>
> >> >> However, the 4 charts in total, have a total redraw time of
between
> >> >> 0.5 - 0.65 secs.
> >> >>
> >> >> Does this sound reasonable...?? Not quite sure how we get 0.5 from
> >> >> 0.045 * 4....? If not, any ideas where the extra redraw time is
> >> > coming
> >> >> from...?
> >> >>
> >> >> Second... I'm finding AB, again, very difficult to use for live
> >> >> trading with this kind of redraw speed. What can I do to make it
> >> >> faster...?? Any ideas....? (for reference ALL charts have the
> >> >> following line at the end of their code, SetBarsRequired( 1000,
> >> > 200 );)
> >> >>
> >> >> TIA
> >> >>
> >> >
> >> >
> >> >
> >> > ------------------------------------
> >> >
> >> > **** IMPORTANT ****
> >> > This group is for the discussion between users only.
> >> > This is *NOT* technical support channel.
> >> >
> >> > *********************
> >> > TO GET TECHNICAL 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
> >> >
> >> >
> >> >
> >>
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > *********************
> > TO GET TECHNICAL 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
> >
> >
> >
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL 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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|