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RE: How to code Indicator calculations on multiple time frame without plotting each time frame as data1, data2 etc...?


  • To: "'Alex Matulich'" <alex@xxxxxxxxxxxxxx>
  • Subject: RE: How to code Indicator calculations on multiple time frame without plotting each time frame as data1, data2 etc...?
  • From: "Philippe" <Synergy@xxxxxxxxxxxxxxxx>
  • Date: Sun, 15 Aug 2004 23:22:48 -0700

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Hello Alex,

You said :
> For the other intraday bars, you will need to maintain them in
> arrays for open, high, low, and close for each time unit.  So for
> example, for 30 minute bars you would use the last six 5-minute
> bars, every time mod(time,30)=0.

One response I have received says :
>	         You may have a hard time using any Built-In Functions on
these arrays.  You can >		compute a Moving Average using some
simple code 
>		but other functions would have to be rewritten to accept an
array, rather than a >		Price series.

So I may not know how to use array to compute all the indicator's functions
available like macd or stochastics or ...
Do you have an idea for me as a very basic programmer ?

Best regards
Philippe
  


> -----Message d'origine-----
> De : unicorn@xxxxxxxxx [mailto:unicorn@xxxxxxxxx] De la part de Alex
Matulich
> Envoyé : vendredi 13 août 2004 18:36
> À : omega-list@xxxxxxxxxx
> Objet : Re: How to code Indicator calculations on multiple time frame
without plotting each
> time frame as data1, data2 etc...?
> 
> Phillipe,
> 
> >To be used in a strategy, i am trying to build an index based on
> >indicator's calculations on six different time frame of the same
> >data on data1.  Do you know how to code that in EL (TS2000i) in a
> >function (or six functions if necessary) to but WITHOUT THE NEED
> >TO PLOT the datas in the six time frames data1, data2, data3 ...?
> >(that would be too heavy to be monitored in real time datafeed with
> >a strategy).
> 
> In data1 you need data having the smallest time increment you will
> use.  For example, if you need to calculate on 30 min bars, 5 min
> bars, 180 min bars, and daily bars, then you need data for 5 minute
> bars.
> 
> You can use HighD, HighW, etc. to get the high, low, and close
> for daily, weekly, monthly, etc. data.  The only problem is that
> these functions assume the day starts at midnight, and includes all
> sessions.  If that is not acceptable, well, I have some replacement
> functions that you can download as a TS2000i ELS.  See
> http://www.purebytes.com/archives/omega/2004/msg01984.html for more
> info.
> 
> For the other intraday bars, you will need to maintain them in
> arrays for open, high, low, and close for each time unit.  So for
> example, for 30 minute bars you would use the last six 5-minute
> bars, every time mod(time,30)=0.
> 
> -Alex