|
PureBytes Links
Trading Reference Links
|
Hello,
The loops (for/while/do) , functions in AFL are only parsed once then all iterations / calls are executed using
in-memory tree-like binary representation, without going to source code again.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Mike" <sfclimbers@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, June 12, 2009 4:04 AM
Subject: [amibroker] Re: my vwap + standard deviation bands - very slow
> Tomasz may have done any number of optimizations, including the possibility of producing intermediary byte code to be executed by
> the AA engine, any of which could negate the following reply.
>
> But, historically an interpreted language would be executed line by line in the order that it appears in the file, iterating
> through loops as it goes.
>
> That being the case;
>
> Yes, AB would run through the code up until Loop1 and then perform the loop before going on.
>
> No, it would not matter where you put the declarations. Technically you would be increasing memory use sooner than necessary, but
> you would eventually require that memory anyway and it would take a whole lot of declarations before it became a problem.
>
> The caveat is that if the declarations are only conditionally required, then it would likely be better to declare them within the
> conditional body such that the declaration does not get evaluated at all when the condition is not met.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>>
>> Thanks guys ... on the weekend I will try performance counter etc on shakers code and then compare the speed to some other
>> version .... I might come back with more questions then.
>>
>>
>> What I am asking here is .... if I use code:
>>
>> Array1
>> Array2
>>
>> Loop1 (references Array 2 and produces Array3)
>>
>> Array 4;// dependent on variable from loop i.e. array3
>> Array 5;// independent of loop
>> Loop2
>> Array6;//
>> Array7;//independent of loop
>> Array8;//dependent on Array6,7 and Loop2
>>
>> Will AB run through the code up until Loop1 and then perform the loop before going on?
>>
>> OR will it calulate all 'standalone' arrays before starting the first loop AND does it matter i.e. does it slow the code down if
>> I put Array5,6 and 7 anywhere in the code when I could put it at the start?
>>
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
>> >
>> > People talk about AFL execution, and how important it is to understanding AFL, but I can't find a reference to it anywhere ...
>> > possibly I haven't tried hard enough.
>> >
>> >
>> > My best understanding so far is:
>> >
>> > - arrays are contiguous in disc memory (AB uses this somehow to effieciently process the data)
>> > - arrays are 'othoganal' (stacked on top of one another in operating memory ... so AB gets a performance hit out of this as
>> > well?)
>> > - maths operations are fast in array processing because of above?
>> >
>> >
>> > so, my rules of thumb:
>> >
>> > - rearrange the maths to express the maths using basic operands as far as possible (+- */)?
>> > - code is executed sequentially?
>> >
>> > As you can see there is a lot to learn!
>> >
>> > Looking at shake1r's code I am not certain when the arrays or loops will be executed.
>> >
>> > If I put AvgPrice=(O[i] + H[i] + L[i] + C[i])/4;
>> > outside the loop will it be executed first (as an array) and then the loop will reference the array elements thereafter.
>> >
>> > AvgPrice = (O + H + L + C)/4;
>> >
>> > for( i= 0; i < BarCount; i++ )
>> >
>> > { AvgPrice[i] = 0;
>> >
>> > etc
>> >
>> > }
>> >
>> > Presumably if AvePrice array doesn't come first then when we get to the loop the syntax will fail (AvePrice not initialized?)
>> >
>> > If I am using the above type of code in an indicator (assuming that arrays can be created first and referenced in a loop
>> > second) what happens when a new bar arrives in the chart (say I am using RT data) ... now the array has an extra value ... how
>> > does the code know to recalculate (execute?) the AFL and how often does it do that?
>> >
>> >
>> > Another question:
>> >
>> > When do we have to intialize a variable to zero at the start of the code and why e.g.
>> >
>> > is there really a need to start with
>> >
>> > SumPriceVolume=0;
>> > totVolume=0;
>> > Vwap2=0;
>> > ddev=0;
>> > newdayindex=0;
>> > Variance =0;
>> >
>> > Thanks,
>> >
>> > brian_z
>> >
>> >
>> > - --- In amibroker@xxxxxxxxxxxxxxx, "shakerlr" <ljr500@> wrote:
>> > >
>> > > I just created the following code to calculate the VWAP + std deviation bands, but have found that it is extrememly slow. I
>> > > posted the original code to the amibroker study site and was wondering if anyone has any suggestions to speed it up for
>> > > display on 1 minute charts.
>> > >
>> > > Also, I noticed that if I DO NOT USE:
>> > > SetBarsRequired( 1000, 0 );
>> > >
>> > > The bands show up incorrect...(sometimes expanding/shrinkking as I scroll on the 1 minute chart)
>> > >
>> > > Note that I have about 100000 bars in my stock/ticker being studied...so that may be the reason it is slow...
>> > >
>> > > ----
>> > > /// VWAP code that also plots standard deviations...if you want a 3rd...it
>> > > should be fairly simple to add
>> > > //
>> > > // NOTE: the code is SLOOOOWWWW...can someone help speed it up?
>> > > // I tried my best, but can't really do much with the two for-loops...
>> > > //
>> > > // LarryJR
>> > >
>> > >
>> > > SetBarsRequired( 1000, 0 );
>> > >
>> > > // this stores true/false based on a new day...
>> > > newday=Day() != Ref(Day(), -1);
>> > >
>> > > SumPriceVolume=0;
>> > > totVolume=0;
>> > > Vwap2=0;
>> > > stddev=0;
>> > > newdayindex=0;
>> > > Variance =0;
>> > >
>> > > // we must use a loop here because we need to save the vwap for each bar to
>> > > calc the variance later
>> > > for( i= 0; i < BarCount; i++ )
>> > > {
>> > > // only want to reset our values at the start of a new day
>> > > if (newday[i]==True)
>> > > {
>> > > SumPriceVolume=0;
>> > > totVolume=0;
>> > > newdayindex=i; // this is the index at the start of a new day
>> > > Variance=0;
>> > > //Vwap2=0;
>> > > }
>> > > AvgPrice=(O[i] + H[i] + L[i] + C[i])/4;
>> > >
>> > > // Sum of Volume*price for each bar
>> > > sumPriceVolume += AvgPrice * (Volume[i]);
>> > >
>> > > // running total of volume each bar
>> > > totVolume += (Volume[i]);
>> > >
>> > > if (totVolume[i] >0)
>> > > {
>> > > Vwap2[i]=Sumpricevolume / totVolume ;
>> > > Vwap2temp=Vwap2[i];
>> > > }
>> > >
>> > > // now the hard part...calculate the variance...
>> > > // a separate calc from the start of each day - note it requires the vwap from
>> > > above
>> > > // also note, we calculate starting at the first bar in the new day to today
>> > > to the curent bar
>> > > Variance=0;
>> > > for (j=newdayindex; j < i; j++)
>> > > {
>> > > AvgPrice=(O[j] + H[j] + L[j] + C[j])/4;
>> > > Variance += (Volume[j]/totVolume) *
>> > > (Avgprice-Vwap2temp)*(Avgprice-Vwap2temp);
>> > > }
>> > > stddev_1_pos[i]=Vwap2temp + sqrt(Variance);
>> > > stddev_1_neg[i]=Vwap2temp - sqrt(Variance);
>> > >
>> > > stddev_2_pos[i]=Vwap2temp + 2*sqrt(Variance);
>> > > stddev_2_neg[i]=Vwap2temp - 2*sqrt(Variance);
>> > > }
>> > > Plot (Vwap2,"VWAP2",colorDarkGrey, styleLine);
>> > > Plot (stddev_1_pos,"VWAP_std+1",colorGrey50, styleDashed);
>> > > Plot (stddev_1_neg,"VWAP_std-1",colorGrey50, styleDashed);
>> > > Plot (stddev_2_pos,"VWAP_std+2",colorGrey40, styleDashed);
>> > > Plot (stddev_2_neg,"VWAP_std-2",colorGrey40, styleDashed);
>> > >
>> >
>>
>
>
>
>
> ------------------------------------
>
> **** IMPORTANT PLEASE READ ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
>
> TO GET TECHNICAL SUPPORT send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> http://www.amibroker.com/feedback/
> (submissions sent via other channels won't be considered)
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> Yahoo! Groups Links
>
>
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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/
|