Jerry, Thanks for the suggestion, I will look into it again.
I run eSignal for a data feed and it is supposed to be the most reliable one. I keep tabs on other realtime trader's experiences, and it is. However, I get bad ticks constantly in AB for high volume issues like SPY. eSignal cleans up most of the bad ticks in a few seconds, but about 10-20% of them are never fixed. Bad ticks are easy enough to ignore when trading by eye on a chart, because the brain can spot the absurdity of the tall spike that only happens for an instant without a volume spike and ignore it. However, I have some quite complex indicator calculations that are about the equivalent of 50 normal indicators. Some key calculations that drive everything are based on the highs and lows of a 1 minute bar. The bad ticks throw the calculations off by a factor of two. It takes AB about 3 seconds to do my calculations for just 1000 bars. If I can run the database 12 or more times faster than the 1 minute bars, then I can run a simple algorithm that finds and removes the bad ticks in realtime, then feed the clean 1 minute bars to the rest of the calculations. It also lets me do things like running clean volume bars off the same database. Also if AFL had static arrays, I could break up my calculations and not recalculate everything all the time which kills the UI responsiveness for drawing trend lines in realtime. I use the TimeFrameSet(60) after cleaning up the bad ticks which turns everything into 1 minute bars. That works for everything except the window still thinks it is in 5 second bars. All studies that are hand drawn end up being relative to the 5 second bars (and prices) that are implied, but not displayed, and not my 1 minute bars. This means that the studies shift left one bar on the screen every 5 seconds, while the price bars that I am plotting are shifting left one bar every minute. This makes the studies march left 12 times faster than the data I was trying to draw a trend line for. So TimeFrameSet() does not really take you to a new timeframe as far as the chart pane is concerned, nor for drawing studies. My OHLC does not change unless I do a force backfill, which fixes some bad tick data. If your provider is fixing bad ticks on the fly with AB, it might be affecting your charts. I have been ignoring all the little gotchas while I was developing the indicators to trade from. Now that my indicators are close to done, I started worrying about the little gotchas that would ruin my actual ability to execute successfully. I was counting on the little things being cleaned up by now, or finding a work around over the course of my one year development. AB is close to doing what I need, but I don't know how to get from here to there. I have boasted about how good AB was to a lot of realtime traders who are waiting for me to prove it before they will use it. It looks like I will have to eat my words now. Dennis On Aug 1, 2007, at 8:37 PM, Jerry Gress wrote: > Dennis, > > You might want to change to Ninja Trader Charting 6.0. Has neat > order entry > that pops up on chart etc. Just one problem my first day of trial > (yesterday) I had a low over 2 points diff then Amibroker(and > exchange). > They have not gotten back to me after sending pictures of diff. > > Otherwise you might want to get a different data supplier. You > state your 5 > second drawing lines move, does your h,l,o,c also move? (See > previous post, > mine does). > > Jerry Gress > Stockton, Ca. > > > -----Original Message----- > From: [email protected] [mailto:[EMAIL PROTECTED] > On Behalf > Of Dennis Brown > Sent: Wednesday, August 01, 2007 8:07 AM > To: [email protected] > Subject: Re: [amibroker] Plotting different timeframes --help needed > > Ok, this approach will not work. Even though my graphs look right > and the OHLC arrays are right, because I have to stay in the 5 second > timeframe, studies are useless. All the lines I draw are internally > based on the underlying 5 second timeframe and move every 5 seconds > relative to the chart prices. Totally useless! > > SAD COMMENTARY: > > I continually try to solve problems related to my real time trading > and have ask for help understanding how to apply AFL to the problems > I am trying to solve. Most of the replies I get are from myself! I > know this board is not shy to help when someone knows the answers, so > I am left to draw an unfortunate (for me) conclusion: > > My selection of AB for my type of real time discretionary trading of > one stock at a time was a mistake and I have wasted a year trying to > make it work for me (and it is so close!). The majority of users > seem to be using the rotational, portfolio, EOD, and swing trading > methods (or are too inexperienced to know what they want) and that is > where the support and development seems to be headed (I have used > those methods before and wrote my own simple programs to do that nine > years ago). > > Things that would make it possible to speed up real time analysis > like support for static arrays have been put on the back burner due > to lack of interest. Cleaning up the hand drawn study glitches and > inconveniences seem to not be a priority because they have not been > addressed. > > It really does hurt me to say it, because I really love the basic > architecture of AFL and AB as a tool, and the community here, and I > know that TJ is doing his best to satisfy the majority of his > customer's needs, but if I am the odd man out and my trading needs > are not the direction AB is headed, I have to face up to it and look > for an alternative solution. :(( > > Dennis > > > On Jul 31, 2007, at 5:02 PM, Dennis Brown wrote: > >> Hello, >> >> I am totally frustrated with bad ticks getting through on my 1 minute >> bars and messing up my indicators. I decided to try cleaning them up >> on my own by running a 5 second database (instead of 1 minute) and >> cleaning up the bad ticks with a Median(c,2) statement --I would have >> used ticks, but I can only get a couple of hours worth of ticks in >> 100,000 bars of SPY and I need several days of 24 hour data. >> >> I filtered the 5 second data, assigned it to OHLC, and then used the >> TimeFrameSet(60) to create clean OHLC arrays. >> I have to leave the overall timeframe at 5 seconds all the time for >> the filter to work, but I want to display and work in 1 minute bars. >> >> When I plot it out, the bars are 1 minute bars, but the time scale at >> the bottom of the chart is set for 5 seconds per bar. >> >> I want to know how I can also get the time scale to display in 1 >> minute bars? >> >> Or is there a completely different approach that is better? >> >> Thanks, >> Dennis > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > > Yahoo! Groups Links > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > > Yahoo! Groups Links > > >
