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Hi Jose,
This is neat but a bit bulky for such a simple task. Here is an
alternative pip detector, that uses some mathemagics, and does the
same thing. It should also be more accurate than the original as it
is not based on the smallest change, but on the decimal in which this
change occurs, as described below.
----8<--------------------------------------------
{Calculates pip value
For personal use only
MG Ferreira
http://www.ferra4models.com}
rr:=Abs(C-Ref(C,-1));
ss:=Log(Lowest((rr=0)+rr)*1.001)/2.302585;
Exp((Int(ss)-1)*2.302585)
----8<--------------------------------------------
This works by looking at the smallest digit that changes between
consequetive closes. So if yesterday's close was 10.56, and today's
is 10.87, then the difference is 0.31. The smallest digit visible in
the change is the 1 in 0.31, so it assumes the smallest change
possible is 0.01 and gives this as the pip. A change of say 0.1234
will yield a pip of 0.0001 and so on.
Note the assumption! If you have an actual pip of say 0.25, then this
code will pick up a second decimal change and report the pip size as
0.01. It assumes pip changes occur in powers of 10, so 10, 1, 0.1,
0.01, 0.001 and so on are tested. It is very easy to change this to
anything else, but 10 makes most sense.
Anyhow, let me know if this works - one drawback of the mathemagics is
that the formula has to deal with rounding of results. As they say,
to a computer, 1 + 1 = 1.99999999....
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva" <josesilva22@xxxx>
wrote:
>
> This MS code attempts to detect the smallest traded price movement
> (pip) on a chart. Useful when adding slippage/spread to a trading
> strategy.
>
> ============
> Pip detector
> ============
> ---8<---------------
>
> { Detects lowest historical Pip on chart }
> { Use on any periodicity }
>
> { ©Copyright 2005 Jose Silva }
> { For personal use only }
> { http://www.metastocktools.com }
>
> noPip:=1000;
> p1:=If(H-O=0,noPip,H-O);
> p2:=If(O-L=0,noPip,O-L);
> p3:=Abs(If(O-C=0,noPip,O-C));
> p4:=If(H-C=0,noPip,H-C);
> p5:=If(C-L=0,noPip,C-L);
> p6:=If(H-L=0,noPip,H-L);
> p7:=Abs(If(O-Ref(C,-1)=0,noPip,O-Ref(C,-1)));
> minPip:=Min(p1,Min(p2,Min(p3,Min(p4,Min(p5,
> Min(p6,p7))))));
> pip:=Lowest(minPip);
>
> pip
>
> ---8<---------------
>
>
> jose '-)
> http://www.metastocktools.com
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