Thanks for the details. The MA will be the hardest. I don't know if the number of bars to omit is determinable. I looked at my database and I have the time stamp based on start of time interval. If it is based on tick then I am not sure what would happen if there were no ticks in a bar. Then some tickers don't have 24 hour data. I just looked a AGU and DIA and both have missing bars in off hours.
I guess the cleanest way would be to use a DLL and I will give that a go. I am not sure what I will do when there is no ticks in a bar. The volume would be 0. And if you build the arrays based on time of day then the MA calculation would be easy. Or so I think. I will find out. Barry --- In [email protected], Keith McCombs <kmcco...@...> wrote: > > Barry -- > You were perfectly clear the first time. > Code for BEMAD and BEMAN, EMAs for day and night respectively: > > |// Barry's day and night EMAs > BPD = 50; // period of 50 bars for daytime > BKD = 2/(1+BPD); > BEMAD[0] = *Close*[0]; // best guess for start > > BPN = 70; // period of 70 bars for nighttime > BKN = 2/(1+BPD); > BEMAN[0] = *Close*[0]; > > ||TM = TimeNum(); > *for*(i=1; i<*BarCount*; i++){ > *if*(TM[i]>=93000 *AND* TM[i]<=161500){ > BEMAD[i] = BEMAD[i-1]*(1-BKD) + *Close*[i]*BKD; > BEMAN[i] = BEMAN[i-1]; > }*else*{ > BEMAN[i] = BEMAN[i-1]*(1-BKN) + *Close*[i]*BKN; > BEMAD[i] = BEMAD[i-1]; > } > } > || > | > The MA is a little more difficult, but simplified a little if you can > calculate precise number of bars to look back for the value to subtract > (which bar is C[i-p]?). > MA[i] = MA[i-1] + C[i]/p - C[i-p]/p; > And for MA, you might also need to use SetBarsRequired(). > -- Keith > > On 2/25/2010 17:31, Barry wrote: > > > > Maybe I did not explain this well enough. I define day as > > daytime = TimeNum() >= 093000 AND TimeNum() <= 161500; > > Then I want to do an MA on only day time bars or not-day time bars. > > This will produce voids in the arrays. For instance there will be 27 > > 15 minute day time bars and 69 15 minute off hours bars. If I do a > > simple MA(V, 50) it will average the last 50 bars regardless of > > whether they are day or night time bars. The data I average will span > > day and night volume numbers giving an inaccurate MA. I would have to > > use a loop and use the value of the last 50 day only or night only > > bars. I can't figure out how to do that. > > > > The code would be a lot easier in a DLL since I could have two arrays > > and store the correct data contiguously in one of two arrays. But I > > don't know how that would match up with AFL arrays or even if would > > have to. I have not written a DLL but I know MS C++ foundation classes. > > > > Anyway, if it is a simple matter in AFL it escapes me how to manage > > the arrays. Maybe I am making it harder than it needs to be. > > > > Thanks, > > Barry > > > > --- In [email protected] <mailto:amibroker%40yahoogroups.com>, > > Keith McCombs <kmccombs@> wrote: > > > > > > 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 > > > > > > > > > > > > > > > >
