Re: function

["Gary Fritz" <fritz@xxxxxxxx>]

> How could I write a function, so that I can refer to trading days
> not with the date but with the rank it has in the year, such as the
> first, second, third trading day of the year? 

Someone else may know how to do this, but I don't see how you could 
compute it.  There are too many variables -- market holidays, etc -- 
to express it in a nice formula.

I can think of two ways to accomplish it, both ugly.


1.  Record the date as you go.  This lets you know that N bars ago 
was the 43rd trading day or whatever, but you can't ask "what was the 
Nth trading day of 1999."

  if Year(Date) <> Year(Date[1]) then TradeDate = 1;
  if Date <> Date[1] then TradeDate = TradeDate + 1;

Then just refer to TradeDate[N] to find the value for N bars ago.  If 
you're trading a daily chart, that will be the value for N trading 
days ago.  But I suspect that's not what you're looking for.


2.  Store a list of market holidays.  Since vanilla TS has no way to 
read data from a file, you'd either have to initialize an array with 
the holidays in your function, or get a DLL that lets you read files. 
 Then, given that list of holidays, you could do something like this:

  { Function NthTradingDay }
  Inputs:  StartYr(Numeric), TrdDay(Numeric); 
          { StartYr = 99 for 1999 for pre-build23 TS4 }
  Arrays:  MktHolidays[50](99999999);

  { Initialize MktHolidays with the Date of all holidays, e.g.: }
  if CurrentBar = 1 then begin
    MktHolidays[0] = 960101;  { New Year }
    MktHolidays[1] = 960527;  { Memorial day }
    MktHolidays[2] = 960704;  { Independence day }
    { etc }
    end;

  { Count the trading days }
  Ndays = 0;
  HolidayIdx = 0;
  StartDay = DateToJulian(10000*StartYr + 0101);
  DayOffset = -1;
  while Ndays < TrdDay begin
    DayOffset = DayOffset+1;
    MyDate = JulianToDate(StartDay + DayOffset);
    if DayOfWeek(MyDate) >= 1 and DayOfWeek(MyDate) <= 5 then begin
      { Is this a holiday?  Find next holiday >= MyDate }
      while MktHolidays[HolidayIdx] < MyDate begin
        HolidayIdx = HolidayIdx + 1;
        end;
      if MyDate <> MktHolidays[HolidayIdx] then Ndays = Ndays + 1;
      end;
    end;

  NthTradingDay = MyDate;

Thus you could call NthTradingDay(99, 6) to get 990111.  Note that 
you will have to change things around a bit to get this to work with 
the Y2K-compliant TS.  I think the StartYr value is OK if you use the 
2001 = 101 TS year convention, but you'll also have to use 4-digit 
years for the MktHolidays array.


Warning, this code is off the top of my head and hasn't been verified 
or tested.  I offer it as a starting point that should be close to 
what you need, but I don't promise it will work in its current form.  
Which is not too bad considering what you paid for it.  :-)

Gary