Larry -
Good first attempt. I thought I'd tackle this for two reasons. First,
you did a fair amount of work before asking. But, second, I had been
about to write an article for a web site about array processing and
happened upon your post. If you don't mind, I'd like to use a variation
of it as an example for that. There are several great teaching points
in the performance issue that you ran into.
There are two classes of issues in your AFL - an algorithm/math issue
and a looping issue. Let's deal with the major one first.
As you might suspect the inner loop is the problem. If you assume
approx. 400 x 1 minute bars per day, then on average for each bar, you
will execute the inner (j) loop 200 times. This has to go !
Here's the original code for reference -
// now the hard part...calculate the variance...
// a separate calc from the start of each day - note it requires the
vwap from above
// also note, we calculate starting at the first bar in the new day to
today to the curent bar
Variance = 0;
for ( j = newdayindex; j < i; j++ )
{
AvgPrice = ( O[j] + H[j] + L[j] + C[j] ) / 4;
Variance += ( Volume[j] / totVolume ) *
( Avgprice - Vwap2temp ) * ( Avgprice - Vwap2temp );
}
The way to get rid of it may not be what you expect, though. You are
calculating a variance at each bar by restarting the calculation from
the first bar of the day. At first glance, it probably appeared that
this was required because of the volume weighting.
With some fairly straightforward algebraic manipulation, the formula can
be converted into a "running" variance calculation. I'll just show the
result, and you can work through it. Replace the code above with -
variance = ( prevvar * prevtotvol / totvolume ) +
( Volume[i] / totvolume ) *
( Avgprice - Vwap2temp ) * ( Avgprice - Vwap2temp );
prevtotvol = totvolume;
prevvar = Variance;
Finally, to support this code, there are two areas of initialization. I
did it this way to minimize changes to your original code. Insert the
following code in two places -
prevtotvol = 0;
prevvar = 0;
Put it once above the outer (i) loop before the for( i=0; i<Barcount;
i++). Then, put it in the newday initialization found in the if (
newday[i] == True) block.
This should yield a improvement of over two orders of magnitude.
Actually, a little more could be wrung out as you have a few
calculations that could be streamlined. I didn't post the entire code,
because the endgame is really an AFL with NO LOOPS that uses purely
array processing. That will yield about an additional minimum 2x
improvement at the smaller intervals (5000 bars) that you are probably
using, but much greater as bars increase. As importantly, it is only 7
or 8 lines of code in total. I'll show you that next and later.
-- BruceR
--- In [email protected], "shakerlr" <ljr...@...> wrote:
>
> I just created the following code to calculate the VWAP + std
deviation bands, but have found that it is extrememly slow. I posted
the original code to the amibroker study site and was wondering if
anyone has any suggestions to speed it up for display on 1 minute
charts.
>
> Also, I noticed that if I DO NOT USE:
> SetBarsRequired( 1000, 0 );
>
> The bands show up incorrect...(sometimes expanding/shrinkking as I
scroll on the 1 minute chart)
>
> Note that I have about 100000 bars in my stock/ticker being
studied...so that may be the reason it is slow...
>
> ----
> /// VWAP code that also plots standard deviations...if you want a
3rd...it
> should be fairly simple to add
> //
> // NOTE: the code is SLOOOOWWWW...can someone help speed it up?
> // I tried my best, but can't really do much with the two for-loops...
> //
> // LarryJR
>
>
> SetBarsRequired( 1000, 0 );
>
> // this stores true/false based on a new day...
> newday=Day() != Ref(Day(), -1);
>
> SumPriceVolume=0;
> totVolume=0;
> Vwap2=0;
> stddev=0;
> newdayindex=0;
> Variance =0;
>
> // we must use a loop here because we need to save the vwap for each
bar to
> calc the variance later
> for( i= 0; i < BarCount; i++ )
> {
> // only want to reset our values at the start of a new day
> if (newday[i]==True)
> {
> SumPriceVolume=0;
> totVolume=0;
> newdayindex=i; // this is the index at the start of a new day
> Variance=0;
> //Vwap2=0;
> }
> AvgPrice=(O[i] + H[i] + L[i] + C[i])/4;
>
> // Sum of Volume*price for each bar
> sumPriceVolume += AvgPrice * (Volume[i]);
>
> // running total of volume each bar
> totVolume += (Volume[i]);
>
> if (totVolume[i] >0)
> {
> Vwap2[i]=Sumpricevolume / totVolume ;
> Vwap2temp=Vwap2[i];
> }
>
> // now the hard part...calculate the variance...
> // a separate calc from the start of each day - note it requires the
vwap from
> above
> // also note, we calculate starting at the first bar in the new day
to today
> to the curent bar
> Variance=0;
> for (j=newdayindex; j < i; j++)
> {
> AvgPrice=(O[j] + H[j] + L[j] + C[j])/4;
> Variance += (Volume[j]/totVolume) *
> (Avgprice-Vwap2temp)*(Avgprice-Vwap2temp);
> }
> stddev_1_pos[i]=Vwap2temp + sqrt(Variance);
> stddev_1_neg[i]=Vwap2temp - sqrt(Variance);
>
> stddev_2_pos[i]=Vwap2temp + 2*sqrt(Variance);
> stddev_2_neg[i]=Vwap2temp - 2*sqrt(Variance);
> }
> Plot (Vwap2,"VWAP2",colorDarkGrey, styleLine);
> Plot (stddev_1_pos,"VWAP_std+1",colorGrey50, styleDashed);
> Plot (stddev_1_neg,"VWAP_std-1",colorGrey50, styleDashed);
> Plot (stddev_2_pos,"VWAP_std+2",colorGrey40, styleDashed);
> Plot (stddev_2_neg,"VWAP_std-2",colorGrey40, styleDashed);
>
