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RE: spread trading

billb — Tue, 06 Jul 2010 08:04:30 GMT

You might consider making your ratio an ISeries. Here is a sample class that implements an ISeries. You could add your ratio values to this class and then pass this into the BB.

public class MyRatioValues : ISeries

{

List<double> myRatioValues = new List<double>();

public SeriesChartSettings ChartSettings { get; set; }

public double LookBack(int nBars)

{

return myRatioValues[myRatioValues.Count - nBars];

}

public double Current

{

get { return myRatioValues[myRatioValues.Count - 1]; }

}

public int Count

{

get { return myRatioValues.Count; }

}

public bool OldValuesChange

{

get { return false; }

}

public int OldestValueChanged

{

get { return 0; }

}

[quote][b]vitor dantas (7/5/2010)[/b][hr]Ok, i see . . . really the new way is easier !!! But when i tried to create an bollinger band over the user serie, it returned an error message "Input 0 to indicator bb2 was a user series. User series cannot be used as inputs to indicators.".

So if i create a ratio between two asset´s and need a indicator over that ratio, how should i proceed ?? Any idea ???

and Again thank´s for the best support !!!

Vitor[/quote]

RE: spread trading

vitor dantas — Mon, 05 Jul 2010 20:55:15 GMT

Ok, i see . . . really the new way is easier !!! But when i tried to create an bollinger band over the user serie, it returned an error message "Input 0 to indicator bb2 was a user series. User series cannot be used as inputs to indicators.".

So if i create a ratio between two asset´s and need a indicator over that ratio, how should i proceed ?? Any idea ???

and Again thank´s for the best support !!!

Vitor

RE: spread trading

billb — Fri, 02 Jul 2010 11:09:43 GMT

I'm not sure what's going on, but it still looks like you're basing this on old code. Have a look at the UserSeries sample that ships with RightEdge. It is much cleaner and easier to understand. Plus it works.

RE: spread trading

vitor dantas — Wed, 30 Jun 2010 16:49:21 GMT

The system himself creates a dictionary<symbol, MACD>

public Dictionary<Symbol, MACD> RatioMACD = new Dictionary<Symbol, MACD>();

foreach (Symbol symbol in SystemData.Symbols)

{

Ratios[symbol] = new DataSeries();

RatioMACD[symbol] = new MACD(12, 26,Ratios[symbol]);

}

i already checked the Ratios[symbol] is fine !!!

But the RatioMACD[symbol].Current for instance only returns double.NAN...

I´ll post all code down if you can see any problem..

using System;

using System.Drawing;

using System.Collections.Generic;

using System.Collections.ObjectModel;

using RightEdge.Common;

using RightEdge.Indicators;

public class SystemMain : SystemBase

{

// This is the symbol you want to compare other symbols against

public Symbol BaseSymbol;// = new Symbol("ACG");

public Dictionary<Symbol, MACD> RatioMACD = new Dictionary<Symbol, MACD>();

public Dictionary<Symbol, DataSeries> Ratios = new Dictionary<Symbol, DataSeries>();

double proportion = 10;

public override void Startup()

{

BaseSymbol = SystemData.Symbols[0];

if (SystemData.Symbols.Count < 2)

{

throw new RightEdgeError("Must select at least two symbols (including " +

BaseSymbol + " to run the system against.");

}

// We will use this to plot the close values of our base series along

// with each symbol

Series[BaseSymbol.ToString()].CreateSeries();

Series[BaseSymbol.ToString()].SeriesColor = Color.Blue;

Series[BaseSymbol.ToString()].AddToCharts();

// The ratio

Series["RATIO"].CreateSeries();

Series["RATIO"].ChartPaneName = "Ratio";

Series["RATIO"].SeriesColor = Color.Red;

Series["RATIO"].AddToCharts();

// The MACD of the ratio

Series["RATIOMACD"].CreateSeries();

Series["RATIOMACD"].ChartPaneName = "RatioMACD";

Series["RATIOMACD"].SeriesColor = Color.Orange;

Series["RATIOMACD"].AddToCharts();

// For each symbol, create a DataSeries which will be used to store

// the ratio values, and a MACD of that ratio.

foreach (Symbol symbol in SystemData.Symbols)

{

Ratios[symbol] = new DataSeries();

RatioMACD[symbol] = new MACD(12, 26,Ratios[symbol]);

}

public override void NewSymbolBar(Symbol symbol, BarData bar)

{

//if (symbol == BaseSymbol)

//{

// Do nothing

// return;

//}

BarData baseBar = BarUtils.LastValidBar(Bars[BaseSymbol]);

double baseValue;

double ratio;

if (baseBar == null)

{

// No valid bars for the base symbol yet

baseValue = double.NaN;

ratio = double.NaN;

}

else

{

///baseValue = baseBar.Close * proportion;

if(proportion == 10)

{

proportion = bar.Close / baseBar.Close;

}

// Calculate ratio

baseValue = baseBar.Close * proportion;

ratio = bar.Close / baseBar.Close / proportion;

}

// Add base value and ratio to the corresponding series on the charts

Series[BaseSymbol.ToString()][symbol].SetCurrentValue(baseValue);//serie do primeiro do par

Series["RATIO"][symbol].SetCurrentValue(ratio);

// Add the ratio to the DataSeries which the MACD uses as its input

Ratios[symbol].Add(ratio);

//Console.WriteLine(Ratios[symbol].Current);

RatioMACD[symbol].NewBar();

Series["RATIOMACD"][symbol].SetCurrentValue(RatioMACD[symbol].Current);

// Tell MACD to calculate its new value

//foreach(Symbol kvp in RatioMACD.Keys)

//{

Console.WriteLine(RatioMACD[symbol].Current);

//}

}

public class DataSeries : ISeries

{

public List<double> Values = new List<double>();

SeriesChartSettings st = new SeriesChartSettings();

public double this[int index]{

get

{

return Values[index];

}

public void Add(double Value){

Values.Add(Value);

}

public SeriesChartSettings ChartSettings{

get

{

return st;

}

set

{

}

public double LookBack(int periodos){

return Double.NaN;

}

public double Current

{

get

{

return Values[Values.Count-1];

}

public int OldestValueChanged

{

get

{

return 1;

}

public int Count

{

get

{

return Values.Count;

}

public double Value(int per)

{

return Values[per];

}

public bool OldValuesChange {

get

{

return false;

}

RE: spread trading

billb — Wed, 30 Jun 2010 16:10:23 GMT

Where are you getting the indicator values from? What values are you feeding to the user series?

[quote][b]vitor dantas (6/29/2010)[/b][hr]Resuming the creation of the userSerie is working fine, but when i create an indicator over this userSerie - only returns double.NAN . . . It doesn´t give me any value !!!

That´s why i´m thinking that i´m mot feeding the indicator properly ...[/quote]

RE: spread trading

vitor dantas — Tue, 29 Jun 2010 11:19:17 GMT

Resuming the creation of the userSerie is working fine, but when i create an indicator over this userSerie - only returns double.NAN . . . It doesn´t give me any value !!!

That´s why i´m thinking that i´m mot feeding the indicator properly ...

RE: spread trading

billb — Thu, 24 Jun 2010 08:55:31 GMT

I'm afraid I don't understand. Can you ask the question a different way?

[quote][b]vitor dantas (6/22/2010)[/b][hr]Ok , i sow, what i want to do is create a userSeries and create an indicator over the user Serie ! When i do that on that system it returns an empty Indicator of the (userSerie).

I think some Attach command is missing something that feed the indicator with the user serie,[/quote]

RE: spread trading

vitor dantas — Tue, 22 Jun 2010 16:41:07 GMT

Ok , i sow, what i want to do is create a userSeries and create an indicator over the user Serie ! When i do that on that system it returns an empty Indicator of the (userSerie).

I think some Attach command is missing something that feed the indicator with the user serie,

RE: spread trading

billb — Tue, 22 Jun 2010 08:37:19 GMT

You're basing this off of old code. I would recommend visiting the section [url=http://www.rightedgesystems.com/Documentation/UserGuide/index.html?developing_trading_systems_in_.htm]Developing Trading Systems in RightEdge[/url]. And scroll down to the section titled User Series. You really want to do something like this:

UserSeries mySeries;

public override void Startup()
{
mySeries = new UserSeries();
mySeries.ChartSettings.ChartPaneName = "MySeriesPane";
mySeries.ChartSettings.Color = Color.Red;
mySeries.ChartSettings.DisplayName = "My Ratio";
}

public override void NewBar()
{
mySeries.Current = calculate your value here.
}

[quote][b]vitor dantas (6/21/2010)[/b][hr]The system createa serie that is the ratio from the two securities after this we create a macd over the ratio(MacdSerie). But it returns a macdSerie empty. It´s seems that somewere is missing a command to attach the dataserie to the indicator

[/quote]

RE: spread trading

vitor dantas — Mon, 21 Jun 2010 09:56:24 GMT

The system create a serie that is the ratio from the two securities after this we create a macd over the ratio(MacdSerie). But it returns a macdSerie empty. It´s seems that somewere is missing a command to attach the dataserie to the indicator

RE: spread trading

billb — Mon, 21 Jun 2010 07:36:04 GMT

First, you'll want to use the .Current property instead. Second, what is the value of RatioMACD[symbol] when you add it to the UserSeries?

[quote][b]vitor dantas (6/18/2010)[/b][hr]Hi i downloaded this system is working fine, except for the macdRatio witch remais empty. Any idea ??? Itried

RatioMACD[symbol].SetInputs(Ratios[symbol]);

RatioMACD[symbol].NewBar();

// Add MACD value to the chart series

Series["RATIOMACD"][symbol].SetCurrentValue(BarUtils.LastValueOf(RatioMACD[symbol]));

but none seems to work. Any idea ??

Thank´s Vitor Dantas[/quote]

RE: spread trading

vitor dantas — Fri, 18 Jun 2010 13:47:13 GMT

Hi i downloaded this system is working fine, except for the macdRatio witch remais empty. Any idea ??? Itried

RatioMACD[symbol].SetInputs(Ratios[symbol]);

RatioMACD[symbol].NewBar();

// Add MACD value to the chart series

Series["RATIOMACD"][symbol].SetCurrentValue(BarUtils.LastValueOf(RatioMACD[symbol]));

but none seems to work. Any idea ??

Thank´s Vitor Dantas

RE: spread trading

billb — Fri, 12 Mar 2010 09:03:56 GMT

Yes, you'd have to create a UserSeries that merges the data in code. Have a look at the [url=http://www.rightedgesystems.com/TradingSystemsDetails.aspx?id=b75511f7-b906-4ee4-a75b-a155a0f3e26c]Ratio trading system[/url]. This is a user submitted system that hasn't been converted to the latest version of RightEdge, but the concepts remain the same.

[quote][b]fdanil (3/11/2010)[/b][hr]Hi. Is it possible in RightEdge to define spreads (for inst. +NATGAS-CRUDE OIL) and chart them (the spread, not the single legs)?[/quote]

spread trading

fdanil — Thu, 11 Mar 2010 11:32:09 GMT

Hi. Is it possible in RightEdge to define spreads (for inst. +NATGAS-CRUDE OIL) and chart them (the spread, not the single legs)?