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Indicator Indexing

Posted By alpha23 7 Years Ago
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Posted Sunday December 26 2010
I'm trying to create an indicator that relies on same day aggregate daily data which is then used to calculate intra-day data. I understand that such an indicator will not be available for real trading (there will be a 1 day lag in the indicator); however, it is useful for analysis and determining trades for the following day. Since the calculation is intra-day, but relies on same day aggregate daily data, is there a way to code this in an indicator?

My first thought was to index "this" in the indicator calculation and alter already calculated values for the entire day but indexing does not appear to be available on an indicator.

Thoughts?

Thanks, Duane
Posted Monday December 27 2010
Duane,
An index implies more than one symbol to me. I want to make sure you understand that indicators have access to a series of doubles from a single symbol, not multiples. Of course, your indicator could load data from another location outside of RightEdge and come up with the values.

You can go from higher frequencies to lower, but not the other way. Can you read/update your indicator on a new tick? Is this indicator going to plot the same value all day while intra-day data is coming in? If so, maybe it makes sense to create a UserSeries, calculate it on Startup or in a daily bar frequency (NewBar event) and reference the current value intra-day?

dwebber (12/26/2010)
I'm trying to create an indicator that relies on same day aggregate daily data which is then used to calculate intra-day data. I understand that such an indicator will not be available for real trading (there will be a 1 day lag in the indicator); however, it is useful for analysis and determining trades for the following day. Since the calculation is intra-day, but relies on same day aggregate daily data, is there a way to code this in an indicator?

My first thought was to index "this" in the indicator calculation and alter already calculated values for the entire day but indexing does not appear to be available on an indicator.

Thoughts?

Thanks, Duane
Posted Monday December 27 2010
Bill,

   The title was not the best for the topic but I meant indexing with reference to the array, e.g., this[index] = 4; That is, I was thinking to change past values of the indicator after aggregate data was known./

I’m looking to accomplish in an indicator first and then consider it for a strategy later. That is, I want to see the values on the chart…Startup is only be applicable for a strategy, correct?

What I’m attempting to do is use aggregate data for the day to then use the aggregate day to in turn intra-day bars. The issue of course is that the aggregate data is not known until at the end of the day. The indicator will have a maximum of a 1 day lag – it cannot be used for live systems – however, it does allow end of day analysis which is all that I need.

In going from higher to lower frequencies, is this in the context of a strategy only or can it also be used within an indicator itself?

In loading a UserSeries from an outside source, would this require 2 processes to use the indicator? 1) create UserSeries for each symbol and store; 2) use indicator on chart for a specific symbol. If yes, is there an easier way to accomplish the same by incorporating the creation of the UserSeries in the indicator.

Regarding access to other symbols from an indicator, I have a separate post and is not directly related to this post. This is to create, for example, a relative performance indicator comparing 2 symbols against each other.

Please let me know your thoughts on both posts.

Thanks, Duane


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