Hi,
Ever dreamed of being able to code tick logic in an indicator, and being able to use on historical bars ? This is for you.
Here's the GomRecordingIndicator indicator that you just have to derive your own indicator from, implement GomOnMarketData and GomInitialize, and you're done !
The GomRecordingIndicator class takes care of recording data on real-time ticks, ans sending recorded data to GomOnMarketData like a virtual data source would do.
Here's how you would code a VWMA for instance :
10 lines of code to be able to use tick data on historical basis, that's short !
Caution complete tick info is not recorded, it's limited to price, volume, and ticktype which is : BelowBid,AtBid,BetweenBidAsk,AtAsk,AboveAsk. You can't to bid/ask spread analysis, for instance.
Implementation of the types is less naïve than a simple >=ask or <=bid method, which doesn't take account of the fact that we can have bid=ask or even bid>ask.
Here's what I used :
File Format can be selected, it's either "Flat" which is user friendly to read but verbose, and "Short" which creates smaller files less easy to read. Default is "Short". Date/Times are stored in UTC so files can be shared.
There is one file for each Instrument Name and for each file format, so you can use both formats at a time.
You can use multiple indicators implementing the framework on the same instrument, only one of them per file format will have recording capabilities, identified by "Recording OK". Caution : NT logic is sometimes strange, and depending on what you click in Indicators properties, indicators might lose the writing handle : you get a "Recording KO". Press F5 to refresh an recover the handle.
That's about it. You'll find below a picture of VWMA and CD indicator, sharing the same file, the GomRecorderIndicator and the example VWMA example
Ever dreamed of being able to code tick logic in an indicator, and being able to use on historical bars ? This is for you.
Here's the GomRecordingIndicator indicator that you just have to derive your own indicator from, implement GomOnMarketData and GomInitialize, and you're done !
The GomRecordingIndicator class takes care of recording data on real-time ticks, ans sending recorded data to GomOnMarketData like a virtual data source would do.
Here's how you would code a VWMA for instance :
Code:
///////Derive your indicator from GomRecorderClass
public class GomVWMA : GomRecorderIndicator
{
double volsum=0;
double vwma=0;
double currentvwsma;
//////Use GomInitialize like you would use Initialize
protected override void GomInitialize()
{
Add(new Plot(Color.Orange, "GomVWAP"));
CalculateOnBarClose = false;
Overlay = true;
PriceTypeSupported = false;
}
//////Put your code here in GomOnMarketData
//////usr it like OnMarketData, and check firstTickOfBar
//////TickType is TickTypeEnum=BelowBid,AtBid,BetweenBidAsk,AtAsk,AboveAsk
/////CAUTION IF NO DATA PRESENT FOR THE BAR YOU WILL RECEIVE (BetweenBidAsk,last known price,0,true) SO VOLUME CAN BE NULL
protected override void GomOnMarketData(TickTypeEnum tickType,double price,int volume,bool firstTickOfBar)
{
if ((firstTickOfBar))
{
volsum=0;
vwma=0;
}
volsum += volume;
vwma += price*volume;
currentvwsma=(volsum>0?vwma/volsum:price);
Value.Set(currentvwsma);
}
}
Caution complete tick info is not recorded, it's limited to price, volume, and ticktype which is : BelowBid,AtBid,BetweenBidAsk,AtAsk,AboveAsk. You can't to bid/ask spread analysis, for instance.
Implementation of the types is less naïve than a simple >=ask or <=bid method, which doesn't take account of the fact that we can have bid=ask or even bid>ask.
Here's what I used :
Code:
if (ask<bid) // should not happen but does
{
if (e.Price<ask) tickType=TickTypeEnum.BelowBid;
else if (e.Price==ask) tickType=TickTypeEnum.AtAsk;
else if (e.Price<bid) tickType=TickTypeEnum.BetweenBidAsk;
else if (e.Price==bid) tickType=TickTypeEnum.AtBid;
else tickType=TickTypeEnum.AboveAsk;
}
else if (bid<ask) //normal case
{
if (e.Price<bid) tickType=TickTypeEnum.BelowBid;
else if (e.Price==bid) tickType=TickTypeEnum.AtBid;
else if (e.Price<ask) tickType=TickTypeEnum.BetweenBidAsk;
else if (e.Price==ask) tickType=TickTypeEnum.AtAsk;
else tickType=TickTypeEnum.AboveAsk;
}
else //bid==ask, should not happen
{
if (e.Price<bid) tickType=TickTypeEnum.BelowBid;
else if (e.Price>ask) tickType=TickTypeEnum.AboveAsk;
else tickType=tickType=TickTypeEnum.BetweenBidAsk;
}
There is one file for each Instrument Name and for each file format, so you can use both formats at a time.
You can use multiple indicators implementing the framework on the same instrument, only one of them per file format will have recording capabilities, identified by "Recording OK". Caution : NT logic is sometimes strange, and depending on what you click in Indicators properties, indicators might lose the writing handle : you get a "Recording KO". Press F5 to refresh an recover the handle.
That's about it. You'll find below a picture of VWMA and CD indicator, sharing the same file, the GomRecorderIndicator and the example VWMA example
Attached Files
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