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Custom (price/vol/tick/range/etc) bars

Posted By purpledawn 10 Years Ago
Rated 5 stars based on 1 vote.
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Posted Wednesday April 11 2007
I want to create symbol bars with a custom algorithm (price/vol/tick/range/etc): is there an example showing how to

1. listen to tick events and add new bars to a series, and

2. how to make this bar series the only/primary bar series on the chart? This would allow me to, for example, create Renko bars, etc.

Thank you.


Edited: Wednesday April 11 2007 by purpledawn
5 stars.
Posted Sunday April 15 2007
purpledawn (4/11/2007)
I want to create symbol bars with a custom algorithm (price/vol/tick/range/etc): is there an example showing how to

1. listen to tick events and add new bars to a series, and

2. how to make this bar series the only/primary bar series on the chart? This would allow me to, for example, create Renko bars, etc.

Thank you.

Sorry for the delayed response.  We don't currently have support for custom bar creation algorithms.  I have added this as a feature request.

It would be possible to use an external program to aggregate the bars and then either import them into RightEdge, or write them directly to whatever data store RightEdge is using.  However, this wouldn't work for running a system in realtime, and RightEdge would have to store the bars you created as if they were of a given frequency.

Thanks,
Daniel

Posted Thursday February 26 2009
I have been watching RE from sidelines for a few months now. Does latest RightEdge release/beta support ability to generate Renko bars?
Posted Thursday February 26 2009
No support for Renko charts in edition 2.
Posted Thursday February 26 2009
The latest beta does support custom bar generation, so you could write a frequency plugin that would generate Renko bars.  Right now you would only be able to use them in a system, but not in a chart.

Thanks,
Daniel

Posted Thursday February 26 2009
Thanks for the response. I don't mind writing a plugin to achieve the effect - in fact that may be best as I plan on doing a variation on the traditional Renko bar idea. However, I most likely need it to work for both a strategy/system that eventually would be automated and also have ability to visualize it on the chart (for obvious debugging purposes). Are there any plans to have frequency plugins able to be visualized onto charts for upcoming releases?
Posted Wednesday May 13 2009
I still do not understand (I just installed a trial version) if it is supported to have charts with bars with a custom constant volume  and a custom constant number of ticks. For example, bars with 233 ticks per bar. As tick data are stored it should not be a problem to build any custom bars, not only 1 minute bars (for historical charts and live charts). Please, clarify.
Posted Thursday May 14 2009
calmger (5/13/2009)
I still do not understand (I just installed a trial version) if it is supported to have charts with bars with a custom constant volume  and a custom constant number of ticks. For example, bars with 233 ticks per bar. As tick data are stored it should not be a problem to build any custom bars, not only 1 minute bars (for historical charts and live charts). Please, clarify.

Currently the only frequency type supported in charts is time-based frequencies.  You can use time, tick, volume, or other custom frequencies in your system code.  We will likely add support for charts in any frequency soon.

Thanks,
Daniel

Posted Thursday May 14 2009
Thank you, Daniel.

I have one more question. The question is about a historical backfill for tick data (with Interactive Brokers). Let us consider the following situation:

I am collecting tick data for future contracts 24 hours/day. But the Internet connection is broken and is restored 3 hours later. Now I need to backfill missed data. Is such a feature supported in Right Edge? Or It can be porogrammed in a custom script?

It is absolutely necessary to have an opportunity to lock collected before data and backfill missed data in the custom range of time, for example from 1:17 pm to 3:43 pm today.

I am aware that Interactive Brokers provide historical tick data for the last 24 hours.

Posted Monday May 18 2009
RightEdge supports backfilling bar data, but does not currently support backfilling tick data.  However, you can use a custom data storage plugin to use whatever format or database you like to store the data.  So you can write an external program to do the backfill for you and store it in to RightEdge's data store.

If you want to do this in .NET, we use this IB C# API as opposed to the ActiveX API provided by IB.  (The ActiveX API would still work, we just found the native .NET version less prone to versioning issues, and it doesn't require the IB API to be installed.)

Thanks,
Daniel



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