Thanks for that, GP. I should explain that I'm trying to build my
first system here :)
Using 1-minute bars, I'm trying to calculate the volume for the first
30 minutes. Using the DateNum function as a starting point, this is
what it looks like so far:
dn = DateNum();
StartDay = dn != Ref (dn, -1);
if (Ref (StartDay, 0))
OpeningVolume = 0;
else
;
if (Ref (StartDay, -29))
OpeningVolume = Sum (V,29);
else
;
VolumeOK = IIf (OpeningVolume > (AvgVol30Days * 0.25)), 1, 0);
This use of if-else looks very crude to me, but I'm not familiar
enough with AFL to make something elegant (and haven't really
programmed for 10-15 years - a bit rusty). But I want to set the
OpeningVolume to 0 until I have the OpeningVolume (after 30 minutes),
at which point I'm comparing it to the average daily volume. Will
this work?
--- In [email protected], "gp_sydney" <[EMAIL PROTECTED]>
wrote:
>
> You could first create a start-of-day signal array by checking for
the
> date not being equal to the date of the previous bar. That would be
> something like this:
>
> dn = DateNum();
> StartDay = dn != Ref(dn, -1);
>
> That should give a one at the first bar of each new day.
>
> Once you have that, you could sum the volume a few ways, depending
on
> exactly where you want the resulting numbers to be. Say you want
them
> just on the last bar of those periods, then you could use something
like:
>
> volSum = IIf(Ref(StartDay,-25), Sum(V, 25), 0);
>
> That says when the first bar of the day was 25 bars ago, store the
> value of the 25-bar sum of volume, otherwise store zero. So the
volSum
> array would end up full of zeroes except for the 25th bar of each
day
> which would have the sum of the previous 25 bars' volume.
>
> I don't have intra-day data so can't check this, but I think it
should
> work.
>
> Regards,
> GP
