Bars from tick data - Wealth Lab Forum

Rebelion

#1

7/2/2013 3:51 AM

Hello, guys.

It's a stupid question I have, but how could I create Bars object for ticks data I have? And another one - If I have my own candles created from ticks and loaded through an Excel or ASCII provider, so how can I ask each bar if they are not connected to the time (have all datetime values identically)?

So, Eugene, pls, could you tell me how to make a ticket for creating IQFeed data provider with ticks data collecting? One day you said that's possible, but you need a ticker from a client and you are not sure about the time when this augmended data provider will be created...

Eugene

#2

7/2/2013 4:41 AM

QUOTE:
It's a stupid question I have, but how could I create Bars object for ticks data I have?

You already have the Bars object for any data you have because a tick is a bar where O=H=L=C. You may try the unsupported BarScaleConverter class to convert to a higher scale; not sure if it works with tick data or not:

Code to do SetScaleQuarterly() or SetScaleYearly()

QUOTE:
So, Eugene, pls, could you tell me how to make a ticket for creating IQFeed data provider with ticks data collecting?

Click "Support", then "Ticket Center".

Rebelion

#3

7/2/2013 4:47 AM

Thnxs, Eugene! I'll try this both today's evening. :-)

Rebelion

#4

7/15/2013 10:49 AM

Emmm... Another question - how it possible to change Bars object I get in the strategy? I tried through reflection - no result (tried to change hidden fields of Dataseries).
I have a task - I have ticks data I need to recombine to my own candles, after that I pass my strategy through these new candles and wanna get signals. But, I get it on ticks data, not on my own candles... What should I do for correct task realization? What's way to change Bars? :-(

Eugene

#5

7/15/2013 11:12 AM

Already answered (see reply #2 above).

Rebelion

#6

7/15/2013 11:55 AM

Eugene, It doesn't work...

CODE:
Please log in to see this code.

I have this code do nothing on the primary Price Pane...

Size:

Color:

Eugene, It doesn't work...

[code]
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Windows.Forms;
using System.Windows;
using System.IO;
using System.Xml;
using System.Xml.Linq;
using System.Reflection;

namespace Reverser
{
    using WealthLab;
    using WealthLab.Indicators;
    using WealthLab.ChartStyles.Trending;
    using WealthLab.ChartStyles;
    using TASCIndicators;
    using Community.Indicators;
    using Community.Components;

public class ReverserStrategy : WealthScript
    {
        #region Strategy Parameters

protected StrategyParameter period;
        protected StrategyParameter stdevCount;
        protected StrategyParameter epsPercentage;
        protected StrategyParameter candleSize;
        protected StrategyParameter isStronglyReversed;

private double lastCandleSize;
        private Bars reverserBars;

#endregion

List<double> ticks;

public ReverserStrategy()
        {
            ticks = new List<double>();
            lastCandleSize = 0;

period = CreateParameter("period", 4, 4, 40, 1);
            stdevCount = CreateParameter("Standard Deviation", 2, 1.65, 3, 0.1);
            epsPercentage = CreateParameter("epsilon %", 0.1, 0.1, 5, 0.1);
            candleSize = CreateParameter("Size of candle", 50, 50, 150, 10);
            isStronglyReversed = CreateParameter("Soft or Hard reversing", 1, 0, 1, 1);
        }

protected override void Execute()
        {
            double openPrice, highPrice, lowPrice;

if (lastCandleSize != candleSize.Value)
            {
                reverserBars = new Bars("Reverser", BarScale.Tick, 1);
                lastCandleSize = candleSize.Value;

ticks.Clear();

for (int j = 0; j < Bars.Count; j++)
                    ticks.Add(Bars.Close[j]);

int i = 0;
                while (i < ticks.Count - 1)
                {
                    openPrice = highPrice = lowPrice = ticks[i];

while (highPrice - lowPrice <= candleSize.Value && i < ticks.Count - 1)
                    {
                        if (ticks[i] > highPrice)
                            highPrice = ticks[i];

if (ticks[i] < lowPrice)
                            lowPrice = ticks[i];

i++;
                    }

double closePrice = ticks[i];
                    reverserBars.Add(DateTime.Now, openPrice, highPrice, lowPrice, closePrice, 1000000);
                }
            }

//BarScaleConverter.ToIntradayCompressed(reverserBars, BarScale.Tick, 1);
            BarScaleConverter.ReScale(reverserBars, BarScale.Tick, 1);
            //BarScaleConverter.Synchronize(Bars, reverserBars);
            //BarScaleConverter.ReScale(reverserBars, BarScale.Second, 1);
        }
    }

public sealed class ReverserStrategyHelper : StrategyHelper
    {
        public override string Author
        {
            get { return "Rebelion"; } //в кавычках пишем автора стратегии
        }

public override DateTime CreationDate
        {
            get { return new DateTime(2013, 07, 14); } //в скобках указываем дату создания стратегии (год, месяц, дата)
        }

public override string Description //здесь неоходмио сделать краткое описание стратегии (оставив открывающий тег) - будет видно в велсе
        {
            get { return "Reverser optimization (Description в классе Helper)"; }
        }

public override Guid ID
        {
            get { return new Guid("2bd29548-dcdb-4db4-a9ad-9c39940d4936"); } //правой кнопкой по проекту, затем "Свойства" и в "Assembly Information" находим ID
        }

public override DateTime LastModifiedDate
        {
            get { return new DateTime(2013, 07, 14); } //указываем дат модификации стратегии
        }

public override string Name
        {
            get { return "ReverserStrategy"; } //здесь в кавычках указываем название стратегии
        }

public override System.Type WealthScriptType
        {
            get { return typeof(ReverserStrategy); } //в скобках указываем точное имя основного класса стратегии.
        }

}

[/code]

I have this code do nothing on the primary Price Pane...

Eugene

#7

7/15/2013 1:23 PM

Have you reviewed the code example from my link above?

BarScaleConverter is not a void, it returns a Bars object. You already see what you're doing wrong?

CODE:
Please log in to see this code.

Hint: you're not using the converted Bars object anyhow.

Rebelion

#8

7/15/2013 3:21 PM

Eugene, there are some problems I have. Without changing Bars object (which contains ticks at the start) I have signals, generated by BuyAtMarket, SellAtMarket, ShortAtMarket and CoverAtMarket, connected with Bars object, not on my own bars in reverserBars.
And there is no way to change this object (Bars) through BarScaleConverter - I can't write

CODE:
Please log in to see this code.

At the second, I want my candles to rewrite ticks data I have at first...

The dummy code below I didn't include - it better to read the code with bars generation without this block.

CODE:
Please log in to see this code.

Pls, is it any way to change Bars object? Or other way to realize what I need? :-(

Size:

Color:

Eugene, there are some problems I have. Without changing Bars object (which contains ticks at the start) I have signals, generated by BuyAtMarket, SellAtMarket, ShortAtMarket and CoverAtMarket, connected with Bars object, not on my own bars in reverserBars.
And there is no way to change this object (Bars) through BarScaleConverter - I can't write 
[code] Bars = BarScaleConverter.ToIntradayCompressed(reverserBars, BarScale.Tick, 1);[/code]
At the second, I want my candles to rewrite ticks data I have at first...

The dummy code below I didn't include - it better to read the code with bars generation without this block.

[code]

double eps = epsPercentage.Value * candleSize.Value;

//reverserBars = Bars;

DataSeries movingAverage = EMA.Series(reverserBars.Close, period.ValueInt, EMACalculation.Modern);
            DataSeries bBandsLower = BBandLower2.Series(reverserBars.Close, period.ValueInt, stdevCount.Value, StdDevCalculation.Population);
            DataSeries bBandsUpper = BBandUpper2.Series(reverserBars.Close, period.ValueInt, stdevCount.Value, StdDevCalculation.Population);

bool isTradeDone;

for (int i = period.ValueInt + 1; i < reverserBars.Count; i++)
            {
                isTradeDone = false;

if (IsLastPositionActive)
                {
                    if (LastPosition.PositionType == PositionType.Long)
                    {
                        if (isStronglyReversed.Value == 0)
                        {
                            if (movingAverage[i] - reverserBars.Close[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - movingAverage[i - 1]) < eps && !isTradeDone)
                            {
                                SellAtMarket(i + 1, LastPosition);
                                ShortAtMarket(i + 1);
                                isTradeDone = true;
                            }

if (bBandsUpper[i] - reverserBars.Close[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - bBandsUpper[i - 1]) < eps && !isTradeDone)
                            {
                                SellAtMarket(i + 1, LastPosition);
                                isTradeDone = true;
                            }
                         }
                        else
                        {
                            if (bBandsUpper[i] - reverserBars.Close[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - bBandsUpper[i - 1]) < eps && !isTradeDone)
                            {
                                SellAtMarket(i + 1, LastPosition);
                                ShortAtMarket(i + 1);
                                isTradeDone = true;
                            }

if (movingAverage[i] - reverserBars.Close[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - movingAverage[i - 1]) < eps && !isTradeDone)
                            {
                                SellAtMarket(i + 1, LastPosition);
                                ShortAtMarket(i + 1);
                                isTradeDone = true;
                            }
                        }

}
                    else
                    {
                        if (isStronglyReversed.Value == 0)
                        {
                            if (reverserBars.Close[i] - movingAverage[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - movingAverage[i - 1]) < eps && !isTradeDone)
                            {
                                CoverAtMarket(i + 1, LastPosition);
                                BuyAtMarket(i + 1);
                                isTradeDone = true;
                            }

if (reverserBars.Close[i] - bBandsLower[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - bBandsLower[i - 1]) < eps && !isTradeDone)
                            {
                                CoverAtMarket(i + 1, LastPosition);
                                isTradeDone = true;
                            }
                        }
                        else
                        {
                            if (reverserBars.Close[i] - movingAverage[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - movingAverage[i - 1]) < eps && !isTradeDone)
                            {
                                CoverAtMarket(i + 1, LastPosition);
                                BuyAtMarket(i + 1);
                                isTradeDone = true;
                            }

if (reverserBars.Close[i] - bBandsLower[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - bBandsLower[i - 1]) < eps && !isTradeDone)
                            {
                                CoverAtMarket(i + 1, LastPosition);
                                BuyAtMarket(i + 1);
                                isTradeDone = true;
                            }
                        }
                    }
                }
                else
                {
                    if (bBandsUpper[i] - reverserBars.Close[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - bBandsUpper[i - 1]) < eps && !isTradeDone)
                    {
                        ShortAtMarket(i + 1);
                        isTradeDone = true;
                    }

if (reverserBars.Close[i] - bBandsLower[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - bBandsLower[i - 1]) < eps  && !isTradeDone)
                    {
                        BuyAtMarket(i + 1);
                        isTradeDone = true;
                    }

if (reverserBars.Close[i] - movingAverage[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - movingAverage[i - 1]) < eps && !isTradeDone)
                    {
                        BuyAtMarket(i + 1);
                        isTradeDone = true;
                    }

if (movingAverage[i] - reverserBars.Close[i] >= eps && Math.Abs(reverserBars.Close[i - 1] - movingAverage[i - 1]) < eps && !isTradeDone)
                    {
                        ShortAtMarket(i + 1);
                        isTradeDone = true;
                    }
                }
            }

[/code]

Pls, is it any way to change Bars object? Or other way to realize what I need? :-(

Eugene

#9

7/15/2013 3:49 PM

Yes, you can't "replace" Bars with a new Bars object. Here's what could be done instead:

FAQ: Is there ChangeBar method in WL6?

In other words, loop through the Bars collection and modify the basic DataSeries on a bar by bar basis w/o changing the Date (that won't work).

Rebelion

#10

7/15/2013 6:30 PM

Ehhh... But no way to cut Bars object? For example, Bars has approx 331000 bars, but reversedBars has approx 600 bars. I need to cut off approx 330000 bars in Bars, but don't know, how to do this... Is it possible?

Eugene

#11

7/16/2013 3:25 AM

It's not possible using the supported methods.

What you can do is serialize the reversedBars object to a .WL file and load that file using this detailed procedure:

How to create a DataSet from SaveToFile() *.WL data

Rebelion

#12

7/21/2013 4:24 AM

Mmm... Not so easy...
Eugene, is is any hope to have internal structure of Bars changed in the future? I have my hands bounded working with Bars object - no way to change and etc

Eugene

#13

7/21/2013 6:08 AM

No.

Rebelion

#14

7/22/2013 9:17 AM

Hmmm... Think, I'll solve this problem through separate optimization and visualization.
Other problem I have now with ticks data and handmade candles from ticks. If I use raw mode data profit on the 1 share, I have all 9 trades correct. But If I choose "Portfolio simulation", I have some trades hidden with the reason "Trades not included due to insufficient simulated capital". I have 500000$ capital, 1 share costs < 150000$, I have 71 bars in my simulation, all bars <= 250$ in height. What's the reason? If I try to use "Percent of Equity", I have only 1-2 trades with the same reason. What do I wrong? No problem with Raw Data, but problems with portfolio simulation. Is this connected with ticks data? I have my bars data all identically...

Eugene

#15

7/22/2013 9:37 AM

It doesn't have to do with your bar scale, otherwise you'd notice similar situation in Raw Profit mode. What it has to do with is the concept of basis price and possible lack of capital. Please see the User Guide > Strategy Window > Backtesting Strategies > 100% of Equity Sizing.

Even the same Fixed Share sizing (let alone 100% equity) may and will be different in Portfolio Simulation mode where real-world position sizing rules come into play - compared to RP mode which doesn't have the risk of running out of cash (considering that the price e.g. $150,000 is way less than the equity value i.e. $500,000).

If you have further questions, feel free to ask in a different thread: as I said it's not a bar scale thing.