Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

ryker

Members
 View Profile  See their activity

  • Content Count

    43

  • Joined

  • Last visited

Posts posted by ryker

  1. Posted

    Ok I'll try to be a bit clearer (english is not my native language).

     

    If you apply the indicator on a chart, because of no tick backfill, OnBarUpdate will be called only once at the close of the bar and not at every tick so because of that, your average will be: Close[0]/1 as you enter only once in OnBarUpdate.

     

    Now if you apply your indicator before start of day, all values before open won't be accurate but as the ticks come through (If CalculateOnBarClose=false), you should see accurate values for your indicator, as OnBarUpdate will be called several times for the same bar.

    Hope this makes sense now?

     

    As for box plot, yes I do use it in S-Plus at work, it can be quite useful. But I'm not sure I understand what you'd like to do with it...

    How would you measure the volatility?

  4. Posted

    About the BarsInProgress, it holds an int value, so it is the index you're looking for here.

    If you do it this way:

    for(i = x, x < 499,x++)

    if(BarsInProgress == x)

    do something

    return;

     

    You'll end up doing too many operations for nothing (but it also depends on what you're trying to achieve here).

     

    Let's say you have an array of weight called myArray, then you need to do that:

    /// <summary>

    /// Called on each incoming real time market data event

    /// </summary>

    protected override void OnMarketData(MarketDataEv entArgs e)

    {

    if (e.MarketDataType != MarketDataType.Last || e.MarketData.Ask == null || e.MarketData.Bid == null)

    return;

    if (e.Price >= e.MarketData.Ask.Price)

    { total++;

    UVOL += e.Volume * myArray[barsInProgress]; }

    if (e.Price <= e.MarketData.Bid.Price)

    { total--;

    DVOL += e.Volume * myArray[barsInProgress]; }

    }

     

    PS: It's just an example, I'm not entirely sure this is the correct way of calculating UVOL & DVOL.

     

    For your question, I think you'll need to create a custom data series of arrays (if possible?) that holds the values you want and then plot that (but I'm not sure I understood what you try to do here).

     

    Use if (FirstTickOfBar) to reset your values in OnOrderUpdate with a 5min serie and calculateonbarclose set to false.

  5. Posted

    I think you can use BarsInProgress as your index here.

     

    You need to construct an array with the weight associated to each index and access it using BarsInProgress. You can store lastPrice as well as suggested by BlowFish to calculate the index value.

     

    It should not be too hard to implement adding some code in the version of OnMarketData I wrote above.

     

    But you're right though, that if you refresh your chart you'll lose everything... I'm not sure that NT7 would bring backfill but at least you'll have backwards compatibility (from what they said on their forum) so you should be able to continue to use your code with NT7.

  6. Posted · Edited by ryker

    It would be probably better to write this in OnMarketData I think and not in OnOrderUpdate.

     

    As for the loop, I think you should get rid of it, cause as the OnOrderUpdate is fired every new tick, you'll end up adding or substracting 50 times for one tick (hope this makes sense?). You only want to increment total on a new tick.

     

    I'm not sure on the calcul that needs to be done. Is it for every new tick, it tick up then total++, if tick down then total--?

    Uptick if the ask is hit, and downtick if it's the bid.

     

    Is that correct?

    Bump:

    I think that something like the following should do what you want:

    /// <summary>

    /// Called on each incoming real time market data event

    /// </summary>

    protected override void OnMarketData(MarketDataEventArgs e)

    {

    if (e.MarketDataType != MarketDataType.Last || e.MarketData.Ask == null || e.MarketData.Bid == null)

    return;

    if (e.Price >= e.MarketData.Ask.Price) { total++; UVOL += e.Volume; }

    if (e.Price <= e.MarketData.Bid.Price) { total--; DVOL += e.Volume; }

    }

     

    Remove everything in OnBarUpdate, and only keep it for StrategyPlot, then keep also initialize.

    Also, I've added calculation for UVOL and DVOL (but not sure if this is correct though).

    PS: I haven't tested this yet, I've just written it quickly.

  8. Posted

    I've never done any testing in NT regarding what is the maximum number of instruments we can add in the strategy. But it all depends on your actual setup and also on your computer.

     

    I'll run some tests this week by adding a few instruments in a blank strategy and then running some simple calculations on them.

     

    As for NT7, I don't think the multi instrument indicator would be too much different thant the multi instrument strategy but NT7 will support multiple cores so if you have a powerful CPU you should be able to have a bigger list than in NT6.5.

     

    I saw NeoBreath and it looks quite cool, I don't think that NT7 would have something similar and the multi instrument indicator won't be probably as quick as NeoBreath (although I'd like to be wrong here :)).

  9. Posted

    This thread is inspired by david22's post about neoticker in another thread and building internals for non NYSE markets...

    I know this is neoticker's game and this is my last ditch attempt before I just buy neoticker...

    I blew away one of my machines the other day and played around with the neoticker demo today but I just don't like the program.

    So the first question is, has anyone here ever messed around with multi instrument strategy plots in Ninja? I know currently it is possible to construct some form of the tick client side from the datafeed with onmarketdata() and strategyplot() but I do not know if Ninja/our machines/memory can handle creating the SPX in real time..I'm pretty sure not...

    NT7 is promised to have multiple instrument indicators so I'm on hold with neoticker until I see what that can do.

    How many instruments that will support in real time is the key...While I do not expect to be able to calculate the S&P cash market from the individual stocks(even though this would rule because it would gives us a real time, tick precise PREM) there should be a work around as far as pruning the list down from 500.

    A simple correlation between the move of security X and the S&P cash over a good sample size should do the trick there with a cutoff point, I suspect the list is much smaller than what we probly think.

    The other reason then I want to stick with ninja is its not that hard to override plot()..OHLC and candles are simply a terrible way to visualize the data of TICK...we already know the bounds of the data, a distribution at N time makes alot more sense.

     

    Hi darth,

    Using the strategyplot to display markets internals is quite easy to do and also using it to calculate and display some indicators based on a few instruments is quite easy but if the list is too big NT won't handle it (I can't say what is the limit though...).

    I think you're right by saying that we could bring down the number but it would require some quantitative analysis which would be probably better to do outside NT (you can plug NT to a statistical software).

     

    Do you use some statistical software?

  10. Posted

    I'm just using the same spreadsheet that you uploaded...no other data. Is that the problem perhaps?

     

    Yes it is the problem. The spreadsheet can't fetch the data for you unless you have a bloomberg terminal. If you don't you need to input your data.

    Also, if you have a realtime feed, you can have a realtime update of the spreadsheet (just need to export the data in the csv file every minute).

  11. Posted

    Hi:

     

    First of all I want to thank Ryker and Boba for their contributions to create a MP program in excel.

    I'd like that you could add a window on the left that shows the data for the day you chose. The windows must have the following data:

    Date,

    The total number of TPOs, For exemple: (169)

    The TPOs above the POC, the TPOs at the POC, the TPOs below the POC,

    For exemple: (91/10/68)

    Put also the prices above in % of the total number of TPOs.

    The RANGE(in points)=high price-low price. (15.25)

     

    In the profile please on the left add a color column, showing the Initial Balance for the first hour of trading and on the right add another column that shows the Value Area.

     

    I know that I asked to be implemented too many things, but I think they could help too.

     

    Cheers

     

    Ricardo

     

    Hi Ricardo,

    Thanks for your suggestions. Will put some in my TODO list, but don't know at all when this is gonna be implemented yet...

     

    For the IB and the VA you have some colours on the chart that show them.

  12. Posted

    When I click a different currency in the top and then go back to the EUR_Curncy it gives an error saying "Input past end of file". When I click OK it says then... "Unable to get the Floor property of the WorksheetFunction class." and then the MP chart disappears. Could it be because it's Excel 2007?

     

    Possible, although, I think it's more coming from the data you're using rather than from Excel 2007.

    Maybe you could send me the data you're trying to use so I can check on my version to see if it works?

  13. Posted

    Tks for your reply,

    Yes IQfeed does provide DDE feed, they also include a saple DDE spreadsheet in Excell but it doesn't work to me.

     

    I've put all the settings they say but nothing.

    May be I have an old version of Excell (2002)

     

    Tks again

     

    You should look also for the possibility to download historical intraday data as live prices through DDE is not ideal.

    You could ask their support to help you a bit on that, what you should ask for is a way to download into excel (or somewhere else) todays data (1min bars would be ideal). If possible you'll be able to use the spreadsheet efficiently.

  14. Posted

    Hi Ryker,

     

    Thank you for your reply. I am actually interested in a day by day profile as well. Right now I do this manually which is not a problem but wanted to see if this could be done automatically.

     

    Also, I would like to be able to plot a MP chart anytime I want. In other words, if the cells are not filled the MP button will give me an error. Is there anyway for me to fix this as I want to be able to plot a MP chart throughout the day instead of end of day only.

     

    By a composite profile, I am interested in plotting a combination of the past sessions. So instead of TPO counts of just one day, a composite profile would plot a combined TPO print of the past x trading days. So you will get one fat profile consisting of x days.

     

    Thanks Ryker.

     

    Hi,

    Which version of the spreadsheet do you use?

    With the latest version of the spreadsheet (version 0.030) you can plot a MP chart throughout the day with no problem (the refresh version doesn't work yet with a merge profile but work well with a split one. Refresh can be done by pressing split and then merge again until I add a fix).

     

    I don't understand when you say that cells are not filled, which cells?

     

    There is a way to export Tradestation data to a file readable by the spreadsheet so that you'll have an auto refresh possibility.

     

    For composite profile:

    I was thinking of adding that aswell, it won't be too difficult to add but I'm still unclear on which last days will be better to have as a composite profile as I still want to be able to compare today's with a composite one or to compare todays + last week as a composite profile. If you have any suggestions on that I'll be glad to hear them.

     

    Thanks

  15. Posted

    btrader2, do you calculate the VAH and VAL using 24 hour info or your customized period? I know there is a site out there that calculates VAL, POC and VAH when you plug in the data, but I'd prefer to have Excel do that for me, especially since I watch 10 currencies and don't feel like plugging in numbers for the rest of my life! The problem is that I can't figure out the calculations on Excel...not even sure its possible...but if it is, can someone here let me know how?

     

    Hi bronxterp,

    I suggest you'll have a look there:

    http://www.traderslaboratory.com/forums/6/mp-on-excel-1306-8.html

    the spreadhseet might be useful to you.

  16. Posted

    Hi may be it is not the appropriate thread but because I've seen some experts in Excell DDE spreadsheet, I' asking you something probably very simple:

    I need to make on Excell a simple Time & Sales with price & volume scrolling, (a Tape) and possibly also a filter to the volume (>10lots)

     

    I use MultiCharts software feeded by IQ Feed but I don't have a Tape to read.

    Unbeliveble a software like MC doesn't have T&S!!! they don't want even introduce it in the future!

     

    That's why I'm trying to make it with excell.

    Tks in advance for any helps.

     

    Good trading

     

    PS. I'm new to TL, I found it a very good place for traders, tks Soultrader

     

    Do you know if DDE is available with your feed? Not everybody give this possibility?

    If yes, I think what you would like to do will be quite easy to do in Excel.

     

    Let me know.

  17. Posted

    Hi Ryker,

     

    I actually just had a look at your spreadsheet. (Im out of date) I am extremely impressed and have no clue how you managed to do this. I trade the Nikkei so will need to tweak this accordingly. Is there a way to plot a composite profile? Or save day by day profiles on the same sheet?

     

    Thank you very much for this.

     

    Thanks :), I have to say that when I started to work on the spreadsheet I never thought that I could have that...

     

    I'm not sure to understand what do you mean by a composite profile or day by day profiles?

     

    Thanks

  19. Posted

    Hi,

    I know that you can access data from a webpage and download it to the spreadsheet with quote.com, I'm not sure on how to do it and I think it's not free.

    For free data delayed or not I've no idea... For forex it should be easy but for futures?

  21. Posted

    Hi, I’m wondering if anybody could help me. I would like to use these charts in conjunction with Strategy Runner, which is a trade platform for futures and includes charts (normal bar and candle charts with various studies). I’m certainly no expert when it comes to using excel, but I have been able to connect SR with Excel so as it displays last traded price. Now, here’s where I get stuck, in fact I just simply don’t know what to do next. The data is coming in to one spread sheet, how do I get it into a MP sheet? How do get this data to arrange itself correctly in MP format?

    I have been able to download and open the TL-MP.rar file(s) and it looks great, and I can appreciate not only the hard work that has gone into it, but also the fact that it’s freely available. I’d love to be able to put data into it, but as I said above.....I haven’t a clue ! I can get the data, but how do I copy it ? How do I put that data into the file called symbol.csv ? do I need a program to update this file ? if so what program seems to work for everybody else?

    Any help or suggestions would be greatly appreciated, and I apologise for my stupidity when it comes to these things!

    Regards, LJD

     

    Unfortunately if you want to do that you would have to program a bit... Excel is not always the best platform to handle realtime datafeeds (Bloomberg offers a download of historical intraday data, this is what I'm using) but it can be done (VBA is not very hard).

    I think, somedody on this thread is using another datasource which looks to be great for an use with excel, you could try this one?

  22. Posted

    Yes you'll need a data feed for it... I'm using Bloomberg for it but I've done it in a way that you can use any data feed you want but you'll need some work for it (not too much it's just a matter of updating a file every x minutes so not too difficult ;))...

    You can input data manually if you prefer yes.

  24. Posted

    Hello Ryker, first thank you very much for your excellent spreadsheet for MP. The graphic representation is very excellent.

     

    I have tried to change the infos of your spreadsheet to put my data for 07/05/07 from 17:00pm until 17:00pm the next to get 24 hrs as it is EUR/USD on spot forex from my VT charts with the tick volume and it doesn't work:(

     

    Do you know what I have done not correctly?

     

    I have attached a copy of your excel sheet that I have modified.

     

    If you can tell me what to do it would be much appreciated.

     

    Sincerly

     

    Shreem:)

     

    Hi Shreem,

    First I would suggest you to move to the latest version of the spreadsheets as I've done some improvements on it and will continue to add features in the future so I think better to use it.

    Second try to use smaller window of data (from 7 to 17 for example), I tend to not use 24 hours data for currencies and split the day in 3 sessions (depending on the time I trade).

     

    If anymore problems let me know and I'll have a closer look.

     

    Thanks for the feedback.

  25. Posted

    Hello Ryker, first thank you very much for your excellent spreadsheet for MP. The graphic representation is very excellent.

     

    I have tried to change the infos of your spreadsheet to put my data for 07/05/07 from 17:00pm until 17:00pm the next to get 24 hrs as it is EUR/USD on spot forex from my VT charts with the tick volume and it doesn't work:(

     

    Do you know what I have done not correctly?

     

    I have attached a copy of your excel sheet that I have modified.

     

    If you can tell me what to do it would be much appreciated.

     

    Sincerly

     

    Shreem:)

     

    Hi Shreem,

    I'm currently away from home (holidays :p) and can't really have a close look to your spreadsheet, I promise I'll have a look as soon as I come back next week.

×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.

  I accept