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How to implement Range Bars ?

Posted By ddalal77 6 Years Ago
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Posted Saturday February 05 2011
Hello there,

I'm trying to figure out how to use range bars as inputs to my indicators and trading system.

I've found some classes that seem to indicate you can return your own bar, "SendBar" but it's not well documented, at least that class's purpose.

Anyway, so I'd like to take incoming 1 minute (or tick) bars and generate range bars. These bars will serve as input to my trading system on which I can apply any indicators or moving averages, etc... and make trading decisions.

Range Bars, just in case you're wondering, are bars that close only after the underlying instrument exceeds a certain range. For example if you're looking for a range of 10, and you're building a range bar graph on INTC, and intel closed at 25, then if intel goes to 24 then moves up to 34, the new range bar closes at 34 and opens at 25 with a low of 24. I'm sure you can read more about it online.

Any help/insight would be appreciated !

Thanks!

Dan
Posted Wednesday February 09 2011
In RightEdge, Frequencies are used to generate bars. So you need to write a frequency plugin for range bars. Then you can use that frequency in your system (and as input to indicators, etc.). See the "Working with multiple frequencies" section in the help for how to use the frequency in the system.

As for how to write the plugin, we've posted the code for the TimeFrequency here.

Thanks,
Daniel


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