Profile Picture

BarElement Enumeration

Posted By AnthonyFJGarner 4 Years Ago
Message
Posted Monday October 07 2013
I use back adjusted contracts generate by CSI Unfair Advantage. Daily OHLC.

As well as the "normal" columns as listed in RE Common Namespace BarElement Enumeration, I need to use a contract delivery number (EG 198712 meaning the December 1987 contract, an integer) and the unadjusted close for the particular day .

I assume I am right that this will not be possible without making additions to "Bar Data Properties " at your end? If so, could this be done at some stage please?

I use "delivery number" to generate sophisticated daily output concerning contract rolls, and I use Unadjusted Close to make momentum calculations. You can not use ratio calculations on back adjusted prices, hence the necessity for a separate column for "unadjusted close" which is the original close as per the close on the relevant day without any back adjusted for roll gaps.

I have opened a discussion thread on my own forum specifically relating to using Right Edge with CSI Data. See link.

Thanks
AFJG.

http://tradersplace.net/forum/thread/231/setting-up-right-edge-for-use-with-csi-datas-continuous-futures-contracts/]

Edited: Wednesday October 09 2013 by AnthonyFJGarner
Posted Monday October 07 2013
Also note that my partner Andreas Clenow has written a draft plug in to automatically import CSI updated ASCI files on a daily basis. Anyone using CSI data will need something like this - you must import the complete file every day. You must not use an append method because on a contract roll the entire data series changes.

However without additions to the BarDataProperties in Right Edge, you will not be able to use some of the very useful additional fields provided by CSI Data.

http://tradersplace.net/store/csi-to-rightedge-adapter-working-example/]

Edited: Wednesday October 09 2013 by AnthonyFJGarner
Posted Thursday October 10 2013
Hi Anthony,

Adding fields to the bar data would also require changing the data storage plugins. Also, different people probably will want different fields, which would be more complicated to support. I'd like to support something like this eventually, but that's why it's not a simple change.

Anyway, this shouldn't block you from implementing a system in RightEdge that depends on that data. You just need to handle the extra fields you want separately and find a different way to access that data. The simplest way to do this is probably to read them from a file on disk when your system starts up, and put them in a data structure that lets you access them by date. I can help if you need help figuring out how to write that code.

Thanks,
Daniel
Posted Thursday October 10 2013
Many thanks Daniel and point taken about people wanting different fields. Probably at the end of the day, if and when an update is made, it might be an idea to allow a few extra data fields with user options for headings and data type ....in the meanwhile I'll try and figure the work around out for myself. I'm working my way through Right Edge at the same time as learning C#...as much for pleasure as anything else!


Similar Topics


Reading This Topic


2005-2017 © RightEdge Systems