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did you guys look at the code on the UKB?
http://www.amibroker.org/userkb/2007/04/28/at-session-timing/
good luck,
herman
For tips on developing Real-Time Auto-Trading systems visit:
http://www.amibroker.org/userkb/
Tuesday, May 20, 2008, 5:20:39 PM, you wrote:
> Dan,
> Many times a Future trading after hours will have no trades for more
> than 15 minutes. It is better to specify the exact time desired. In
> my case, I also run volume and range based bars which usually have a
> start time before the end of day, and span the 15 minute market closed
> time period. I set all my bars for start time stamps. I have to be
> careful with my time comparisons or I would miss the closing time
> since it is the middle of a bar. Makes it tricky to specify when and
> at what price to go flat for the day.
> BR,
> Dennis
> On May 20, 2008, at 5:00 PM, monitorit wrote:
>> Sidhartha70
>> You said:
>> I consider the open the 16:30 night session start and close
>> the 16:15 day session end the following day.
>> To find the first bar of a session consider:
>> barsSinceStart= BarsSince(TimeNum()>Ref(TimeNum(),-1)+1499)+1;
>> // this says barsSinceStart==1 when this bar is 15 or more minutes
>> after the prior bar. It will be 1 whenever this is true [ie, no
>> trade for 15 or more minutes... if you change the > to == 1500 it
>> will be when exactly 15 miinutes. check your bar times as you may
>> have to change this constant - read TimeNum() and DayofYear() ].
>> Now are there any qpFeed users out there who can help me with my last
>> two posts re data problems?
>> Dan
>> --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@xxx>
>> wrote:
>>> Dennis,
>>> like you I'm looking at 24 hour futures. Specifically the S&P E-mini
>>> right now. I consider the open the 16:30 night session start and
>> close
>>> the 16:15 day session end the following day. I have my database
>>> intraday settings set up as such.
>>> Clearly AmiBroker has this info because it plots vertical session
>>> lines at the session break each day.
>>> You are very probably right Dennis, and I need to hard code some
>> kind
>>> of time checking mechanism to reset my indicator to zero each
>> session
>>> start... I just intuitively thought AFL might have a hardcoded set
>> of
>>> flags like this already.
>>> Thanks
>>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
>>>> Sidhartha70,
>>>> AB database settings allow you to filter the data based on market
>> open
>>>> hours. I don't think AB knows when a holiday or half day is.
>> The
>>>> charts skip them simply because there was no trades when the
>> market
>>>> was closed, so no data.
>>>> However, I am charting Futures contracts which trade almost 24
>> hours a
>>>> day, so I do not filter anything at the database level except
>>>> weekends. I take all trade data and do my own filtering. For
>> many
>>>> indicators, the extra after hours trading smoothes out the
>> indicators
>>>> for the start of the regular trading day. Those trades after
>> hours in
>>>> response to news do influence the next days trading. Many
>> indicators
>>>> have time domain factors and will behave badly if they are given
>> a gap
>>>> at the open. Resetting is just like a gap for some indicators.
>> You
>>>> must carefully pick the reset state values --and it may depend on
>> the
>>>> open price.
>>>> BR,
>>>> Dennis
>>>> On May 20, 2008, at 1:56 PM, sidhartha70 wrote:
>>>>> Dennis,
>>>>> you are absolutely right... that's exactly what I do mean. 1
>>>>> instrument... with an indicator run across a large time series
>> (i.e. 1
>>>>> year)... and each new trading day (session) resetting the
>> indicator.
>>>>> Dennis, I've eyeballed your code and I think I know what's
>> going on.
>>>>> My only question is, given the charts I can see before my eyes,
>>>>> AmiBroker clearly knows when a session begins, when it's a
>> weekend or
>>>>> a holiday etc... because it plots the graphs perfectly as
>> defined.
>>>>> On that basis is really necessary to re-code it...? Are there
>> not some
>>>>> flags (booleans) within AFL that signify things like the
>> starting bar
>>>>> of a session, each and every session...?
>>>>> Sorry if I sound off base here... like I say I've come from C#
>>>>> world!!!
>>>>> -- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
>>>>>> Dingo, Sidhartha70,
>>>>>> Sorry, I thought the question about starting the indicator
>> over each
>>>>>> trading session (ie., trading day).
>>>>>> BR,
>>>>>> Dennis
>>>>>> On May 20, 2008, at 12:48 PM, dingo wrote:
>>>>>>> IMHO you should seriously read thru the list of functions in
>> the
>>>>>>> help file.
>>>>>>> And you should do this at least twice per year.
>>>>>>> Look at the "stocknum" param in the following:
>>>>>>> http://www.amibroker.com/guide/afl/afl_view.php?id=141
>>>>>>> You can test to see if the result is = 0 which will indicate
>> the
>>>>>>> start.
>>>>>>> d
>>>>>>>> -----Original Message-----
>>>>>>>> From: amibroker@xxxxxxxxxxxxxxx
>>>>>>>> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of sidhartha70
>>>>>>>> Sent: Tuesday, May 20, 2008 12:29 PM
>>>>>>>> To: amibroker@xxxxxxxxxxxxxxx
>>>>>>>> Subject: [amibroker] Re: Resetting an indicator at the start
>>>>>>>> of a session
>>>>>>>> Dennis,
>>>>>>>> Thank you. I will take a look at the code.
>>>>>>>> First question... goodness. Is there a really easy way to
>> know if
>>>>>>>> we
>>>>>>>> are at the start of a session...?? A flag of some sort that
>> gets
>>>>>>>> set
>>>>>>>> at the start of the session...?
>>>>>>>> Sorry, I come from C# world...
>>>>>>>> Thanks
>>>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@>
>> wrote:
>>>>>>>>> Hello,
>>>>>>>>> Here is a snippet of AFL from my system that is concerned
>>>>>>>> with what
>>>>>>>>> you are looking for. Sift through it and see if it gives
>>>>>>>> you any ideas.
>>>>>>>>> // Generate the Holiday mask so we don't backtest trading
>>>>>>>> or use in
>>>>>>>>> volume calculations
>>>>>>>>> Holiday = 1;
>>>>>>>>> for(i=0; StrExtract(HolidayList,i)!=""; i++){Holiday &=
>>>>>>>> BarDates !=
>>>>>>>>> StrToNum(StrExtract(HolidayList,i));}
>>>>>>>>> Halfday0 = 1;
>>>>>>>>> for(i=0; StrExtract(HalfdayList,i)!=""; i++){Halfday0 &=
>>>>>>>> BarDates !=
>>>>>>>>> StrToNum(StrExtract(HalfdayList,i));}
>>>>>>>>> Halfday = Halfday0 | BarTimes <= 130000;
>>>>>>>>> // Major US equity markets open/close markers
>>>>>>>>> MarketOpen = Holiday AND Halfday AND BarTimes >= 93000 AND
>>>>>>>> BarTimes <=
>>>>>>>>> 160000;
>>>>>>>>> FirstTradeBar = Cross(MarketOpen,.5);
>>>>>>>>> LastTradeBar = Cross(.5,MarketOpen);
>>>>>>>>> // Market volume valid mask
>>>>>>>>> ValidVolBars = MarketOpen AND Halfday0;
>>>>>>>>> // Time of day to place trades mask
>>>>>>>>> EntryTimes = TimeNum() >= TradeBeg AND TimeNum() <=
>> TradeEnd-
>>>>>>>>> TradeEnd2; //time of day to place new trades
>>>>>>>>> EntryTimes &= HalfDay & Holiday;
>>>>>>>>> ExitTimes = TimeNum() >= TradeBeg AND TimeNum() <=
>>>>>>>> TradeEnd; //time of
>>>>>>>>> day to place exits
>>>>>>>>> ExitTimes &= HalfDay & Holiday;
>>>>>>>>> // Go flat at end of day bar
>>>>>>>>> LastDayTradeBar = Cross(TimeNum() >= TradeEnd,.5) |
>>>>>>>> Cross(0.5,HalfDay);
>>>>>>>>> BR,
>>>>>>>>> Dennis
>>>>>>>>> On May 20, 2008, at 11:17 AM, sidhartha70 wrote:
>>>>>>>>>> Herman et al,
>>>>>>>>>> any thoughts on this...?
>>>>>>>>>> Thanks
>>>>>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70"
>> <sidhartha70@>
>>>>>>>>>> wrote:
>>>>>>>>>>> Herman,
>>>>>>>>>>> thanks for this. very interesting.
>>>>>>>>>>> however, exactly what i'm trying to do is completely
>> reset an
>>>>>>>>>>> indicator at the beginning of each session. the
>>>>>>>> indicator is forming
>>>>>>>>>>> part of an oscillator, so i want to cumulative a value
>>>>>>>> over over each
>>>>>>>>>>> session, and then reset it to zero.
>>>>>>>>>>> is there an easy way of doing that?
>>>>>>>>>> ------------------------------------
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To get support from AmiBroker please send an e-mail directly to
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