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Re: calculation of price/frequency distributions


  • To: Carroll Slemaker <omega-list@xxxxxxxxxx
  • Subject: Re: calculation of price/frequency distributions
  • From: Howard Jackson <hrjf4@xxxxxxxxx>
  • Date: Tue, 27 Jul 1999 11:25:26 -0700

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Trading Reference Links

In ts 2k you can simply apply the 'price distribution'
activitybar and when formating it (under properties, i
think) choose 1 tick for the data compression.

This kind of stuff if for what activitybars are ment
to be used...

and Carrol, that 'kludge' is the only thing that can
allow indicators that are updating real time to match
historical results. As far as i am concerned it works
fine and it is very consistent with the rest of the
program's behaviour... what it seems like you want is
the never-implemented mutliple data charts with tick
bars... something that should have been out a long
time ago.

H

--- Carroll Slemaker <cslemaker1@xxxxxxxx> wrote:
> Unless they have fixed this since I last tested it
> long ago (not likely,
> since Omega considered it a "feature"), you will not
> be able to do this.
> From your description of the problem it seems that
> you want to collect data
> on a tick-by-tick basis (increase a tick counter for
> each possible price
> when a tick occurs at that price).  I assume that it
> is still not possible
> to attach an indicator or system to a tick chart, or
> to produce a
> multi-symbol tick chart.  If this assumption is now
> wrong, please disregard
> the following.
> 
> Unfortunately, EL "variables" behave like no
> variables in any programming
> language you have ever seen.  In a reasonable
> language, once you set a
> variable to a value, it retains that value until you
> set it to a different
> value.  But not Omega's EL - that is, not if you are
> updating these
> variables in a time-bar chart on a tick-by-tick
> basis.  A variable WILL
> update correctly on each tick, but at the end of the
> bar's time slot the
> value will be "restored" to some prior value and
> there is no way for you to
> inhibit this "feature".  This was actually a kluge,
> undocumented, to cause a
> real-time run to match results of a run on
> historical data where only bar
> values are considered, not individual ticks.
> 
> Carroll Slemaker
> 
> 
> ----- Original Message -----
> From: Tim McCaughey <TimM@xxxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Sent: Saturday, July 24, 1999 3:59 PM
> Subject: calculation of price/frequency
> distributions
> 
> 
> > I am very new to easy language and am currently
> using tradstation version
> 4
> > and have been having some difficulty in getting my
> head around the use of
> > arrays.
> >
> > I have one particular problem that I have been
> attempting to solve with
> > little luck and I was wondering of there is
> somebody out there that might
> be
> > able to shed some light on the situation.
> >
> > the problems is as follows:
> >
> > I am trying to determine the frequency
> distribution for a set of data.
> >
> > So I have determined the number of ticks in a
> range by working out the
> high
> > and low of the range in question and dividing the
> subsequent range by "1
> > point". So now I have defined all the possible
> values for the range in
> > question, but how do I set the array to the
> relevant number of variables
> > since this is not a constant function but
> dependant upon the range of each
> > period in question(do I just make the array larger
> than any expected
> range).
> > After I have set up the array that includes all
> the price possibles how
> > would I go about getting the array to be able to
> tell me how many times
> each
> > price was hit during the period in question.
> >
> > So the end result I am looking for is to be able
> to determine the number
> of
> > times each price was traded during the period in
> question.
> >
> > Is arrays the way to go ?
> >
> > Any help with the easy language side of this
> problem would be greatly
> > appreciated. If this seems a slightly silly
> request please accept the
> > apologies of a native novice.
> >
> > Regards
> >
> > Tim.
> >
> 
>