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Multiple Time Frame Indicators

Posted By kaizen 9 Years Ago
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Posted Friday May 30 2008
When use the bar aggregartor class to build a series of higher time frame bars how do we use this bar data to build indicators from?


Posted Friday May 30 2008
Hi Kaizen,

I found that I had to attach the aggregated bars list/price series to the desired indicators manually (ie: not registering them with the IndicatorManager). You can then update the indicators whenever a new bar is aggregated by first updating the bar list/price series then calling the indicator's NewBar()/AppendBar().

http://www.rightedgesystems.com/forums/Topic5526-13-1.aspx

One minor consequence of this method, I don't think un-registered indicators can be visualized on charts.

Also, I found the bar aggregator class was too limited for me and hacked together my own which keeps track of bars in an IList as well as O,H,L,C Prices in ISeries. If it's of any interest to you I can strip it out and post it (such as it is).

Cheers!
Mark
Posted Friday May 30 2008
Mark,

Thanks for the info. Do you have a sample of the code with indicators that I can have a look at?

Thanks

James


Posted Friday May 30 2008
Here's the source for the FrequencyAggregator I wrote. The goal was to create an aggregation "system" (in the RE sense) and multiplex the events out from there. Several small but custom interfaces had to be made to glue everything together, and the actual aggregation of bars is a bit of a hack. It's probably going to be a headache to figure out, sorry there aren't more comments. If you have any questions about any of it just let me know BigGrin

The MASystems.cs file is the backend for the trading system and shows how to setup a couple of indicator analysis systems using the aggregator interfaces.

The SystemMA.cs file is the RightEdge system, this shows how to setup the aggregator with your systems and how to hook into the quote events.

The system itself is just a proof of concept / test I wrote when the aggregator was being developed. So please ignore any goofy trading logic in there Tongue

Also, I just pulled the files as is so they might need some tweaking to get to work together. They each came from separate assemblies / projects in my code library.

Good Luck!
Mark

Attachments
FrequencyAggregator.cs (501 views, 20.00 KB)
SystemMA.cs (468 views, 5.00 KB)
MASystems.cs (466 views, 8.00 KB)
Posted Friday May 30 2008
Note that we are hard at work on the next edition which will have built in support for multiple frequencies.  We will have built in bar generator/frequency plugins for time, volume, and tick based bars, and of course you will be able to write your own if you need.

Thanks,
Daniel

Posted Friday May 30 2008
dplaisted (5/30/2008)
Note that we are hard at work on the next edition which will have built in support for multiple frequencies. We will have built in bar generator/frequency plugins for time, volume, and tick based bars, and of course you will be able to write your own if you need.


Personally, this is one of the key features I'm looking forward to in the next edition. Cool

Cheers!
Mark
Posted Saturday May 31 2008
Sounds good Daniel.




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