Barry --
Calculating EMAs and MAs should be possible, and of only intermediate
difficulty, using AFL. EMAs will be a bit easier than MAs. The reason
being that calculating an EMA requires only 2 pieces of data, previous
bar's EMA and this bar's data. Of course, you will have to construct
your own EMA because you will need to stop calculating each EMA at the
end of its time period and then continue when its time period begins again.
As for MAs, they really require only 3 pieces of data, previous bars MA,
this bars data, and data of one bar, P bars ago (in the correct time
period), where P is MA period.
One problem you may run into, especially with off hours data, is what to
do if volume is zero. Is a bar created in this case? If not, what are
you going to do about it?
BTW, AB&IB seems to create zero volume bars when backfills are complete,
though 180days are problematic. Some other data providers, PItrading
for example, just leave zero volume bars out.
-- Keith
On 2/25/2010 12:06, Barry wrote:
I am trying to create two moving averages, one for normal trading
hours volume and the other for the off hours volume. When futures are
trading during the day the volume is much higher than off hours. Using
an MA of say 50 bars gives an incorrect look at the volume until 50
bars into the new time period. However, if one were using hour or 15
minute charts the MA could span days. It would be clearer or more
accurate if one could only use the applicable volume when calculating
the MA for normal hours vs off hours trading.
Has this been done in AFL? Can it be done in AFL? Is there an AFL
function that can separate the day and night session data? Can it be
done in the context of AFL or would one have to use a DLL to build
separate arrays that only contain values from the two time periods?
I have tried a number of methods in AFL but none work correctly.
Managing the arrays in AFL and trying to ignore spans of bars is
blowing my mind.
Thanks,
Barry
