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Hi Guys,
Is there an easy of telling the system to just ignore after hours data or at least remove the bars from the charts. The market I trade closes 3:30 and data until 3:20 or 3:25 is all I need.
Im using the nr7 system on a 30-minute chart and sometimes a bar appears after hours with a zero range and I need to delete that for the formula to work.
Please help.
Younus
--- In amibroker@xxxxxxxxxxxxxxx, Keith McCombs <kmccombs@xxx> wrote:
>
> Barry --
> What is it that you think you can do with a DLL that you cannot do in AFL?
>
> I believe that once you know what you want to do, if it can be done in a
> DLL then it can also be done in AFL.
>
> More than likely, it will run faster in the AFL.
> -- Keith
>
> On 2/26/2010 01:07, Barry wrote:
> >
> > Thanks for the details. The MA will be the hardest. I don't know if
> > the number of bars to omit is determinable. I looked at my database
> > and I have the time stamp based on start of time interval. If it is
> > based on tick then I am not sure what would happen if there were no
> > ticks in a bar. Then some tickers don't have 24 hour data. I just
> > looked a AGU and DIA and both have missing bars in off hours.
> >
> > I guess the cleanest way would be to use a DLL and I will give that a
> > go. I am not sure what I will do when there is no ticks in a bar. The
> > volume would be 0. And if you build the arrays based on time of day
> > then the MA calculation would be easy. Or so I think. I will find out.
> >
> > Barry
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>,
> > Keith McCombs <kmccombs@> wrote:
> > >
> > > Barry --
> > > You were perfectly clear the first time.
> > > Code for BEMAD and BEMAN, EMAs for day and night respectively:
> > >
> > > |// Barry's day and night EMAs
> > > BPD = 50; // period of 50 bars for daytime
> > > BKD = 2/(1+BPD);
> > > BEMAD[0] = *Close*[0]; // best guess for start
> > >
> > > BPN = 70; // period of 70 bars for nighttime
> > > BKN = 2/(1+BPD);
> > > BEMAN[0] = *Close*[0];
> > >
> > > ||TM = TimeNum();
> > > *for*(i=1; i<*BarCount*; i++){
> > > *if*(TM[i]>=93000 *AND* TM[i]<=161500){
> > > BEMAD[i] = BEMAD[i-1]*(1-BKD) + *Close*[i]*BKD;
> > > BEMAN[i] = BEMAN[i-1];
> > > }*else*{
> > > BEMAN[i] = BEMAN[i-1]*(1-BKN) + *Close*[i]*BKN;
> > > BEMAD[i] = BEMAD[i-1];
> > > }
> > > }
> > > ||
> > > |
> > > The MA is a little more difficult, but simplified a little if you can
> > > calculate precise number of bars to look back for the value to subtract
> > > (which bar is C[i-p]?).
> > > MA[i] = MA[i-1] + C[i]/p - C[i-p]/p;
> > > And for MA, you might also need to use SetBarsRequired().
> > > -- Keith
> > >
> > > On 2/25/2010 17:31, Barry wrote:
> > > >
> > > > Maybe I did not explain this well enough. I define day as
> > > > daytime = TimeNum() >= 093000 AND TimeNum() <= 161500;
> > > > Then I want to do an MA on only day time bars or not-day time bars.
> > > > This will produce voids in the arrays. For instance there will be 27
> > > > 15 minute day time bars and 69 15 minute off hours bars. If I do a
> > > > simple MA(V, 50) it will average the last 50 bars regardless of
> > > > whether they are day or night time bars. The data I average will span
> > > > day and night volume numbers giving an inaccurate MA. I would have to
> > > > use a loop and use the value of the last 50 day only or night only
> > > > bars. I can't figure out how to do that.
> > > >
> > > > The code would be a lot easier in a DLL since I could have two arrays
> > > > and store the correct data contiguously in one of two arrays. But I
> > > > don't know how that would match up with AFL arrays or even if would
> > > > have to. I have not written a DLL but I know MS C++ foundation
> > classes.
> > > >
> > > > Anyway, if it is a simple matter in AFL it escapes me how to manage
> > > > the arrays. Maybe I am making it harder than it needs to be.
> > > >
> > > > Thanks,
> > > > Barry
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx
> > <mailto:amibroker%40yahoogroups.com>
> > <mailto:amibroker%40yahoogroups.com>,
> > > > Keith McCombs <kmccombs@> wrote:
> > > > >
> > > > > Barry --
> > > > > Calculating EMAs and MAs should be possible, and of only
> > intermediate
> > > > > difficulty, using AFL. EMAs will be a bit easier than MAs. The
> > reason
> > > > > being that calculating an EMA requires only 2 pieces of data,
> > previous
> > > > > bar's EMA and this bar's data. Of course, you will have to construct
> > > > > your own EMA because you will need to stop calculating each EMA
> > at the
> > > > > end of its time period and then continue when its time period
> > begins
> > > > again.
> > > > >
> > > > > As for MAs, they really require only 3 pieces of data, previous
> > bars
> > > > MA,
> > > > > this bars data, and data of one bar, P bars ago (in the correct time
> > > > > period), where P is MA period.
> > > > >
> > > > > One problem you may run into, especially with off hours data, is
> > > > what to
> > > > > do if volume is zero. Is a bar created in this case? If not,
> > what are
> > > > > you going to do about it?
> > > > >
> > > > > BTW, AB&IB seems to create zero volume bars when backfills are
> > > > complete,
> > > > > though 180days are problematic. Some other data providers, PItrading
> > > > > for example, just leave zero volume bars out.
> > > > >
> > > > > -- Keith
> > > > >
> > > > >
> > > > >
> > > > > On 2/25/2010 12:06, Barry wrote:
> > > > > >
> > > > > > I am trying to create two moving averages, one for normal trading
> > > > > > hours volume and the other for the off hours volume. When
> > futures are
> > > > > > trading during the day the volume is much higher than off hours.
> > > > Using
> > > > > > an MA of say 50 bars gives an incorrect look at the volume
> > until 50
> > > > > > bars into the new time period. However, if one were using hour
> > or 15
> > > > > > minute charts the MA could span days. It would be clearer or more
> > > > > > accurate if one could only use the applicable volume when
> > calculating
> > > > > > the MA for normal hours vs off hours trading.
> > > > > >
> > > > > > Has this been done in AFL? Can it be done in AFL? Is there an AFL
> > > > > > function that can separate the day and night session data? Can
> > it be
> > > > > > done in the context of AFL or would one have to use a DLL to build
> > > > > > separate arrays that only contain values from the two time
> > periods?
> > > > > >
> > > > > > I have tried a number of methods in AFL but none work correctly.
> > > > > > Managing the arrays in AFL and trying to ignore spans of bars is
> > > > > > blowing my mind.
> > > > > >
> > > > > > Thanks,
> > > > > > Barry
> > > > > >
> > > > > >
> > > > >
> > > >
> > > >
> > >
> >
> >
>
------------------------------------
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