MP Indicator in EL Using Arrays

[Frank 10]

I am trying to understand arrays in programming and would like to learn through practice. I saw the arrays thread but thought I would start a fresh one for this indicator as it may be useful to many. I will try to outline the mechanics of how to do this very specifically. I know how to this in Excel easily so I think I can outline this pretty well -- but I don't know the syntax necessary in Easylanguage. If someone who understands arrays well in EL can help, then I can learn how to do arrays and I would be greatly appreciative.

 

I would like to do an indicator that creates an array for each 30-min bar that places in the array all the prices that were traded during that bar. This can be done by taking the low price of the bar and adding 0.25 (1 tick) for each tick of range in that bar (H - L) / 0.25

 

obviously, this requires a dynamic array as there will be different amounts of items within each bar.

 

then I would like to cross references those arrays in a new cumulative array (all bars since day started) and take that cumulative array and solve for the 'mode' (an easy keyword function in EL) -- mode is the most repeated price. In excel, it defaults such that if there is more than 1 price that occurs the most amount of times, Excel takes the lowest of these prices --- which is fine..... because I would then like to just count the number of times the mode price occured and put that in a histogram.

 

any willing to help out --- if this isn't clear, I can surely make it more clear.

 

thanks

 

Frank

[Tams 20]

have you studied Ant's version?

what do you think?

 

http://www.traderslaboratory.com/forums/f46/market-delta-footprint-tradestation-516.html

[Frank 10]

I've seen his screenshots and while that is good, its not what I am looking for -- not to mention that it is too complex a script for my level.

[Frank 10]

my first sad attempt -- already lost

 

 

 

 

Here it is in Excel if it helps visualize it:

 

 

thanks for any help

Edited September 23, 2009 by Frank

[ant 10]

Frank,

 

Your use of static arrays is correct. Nice job so far.

 

Here are some suggestions...

 

• Instead of using a different array for each bar, use a 2-dimensional array. For example, use Array[barNumber, Index], where BarNumber is the number of the bar on each day and Index is each price level per bar.
  
• You probably have use for the array in your indicator, but so far, an array is not required. All of the information in your Excel spreadsheet can be derived from the high and low of each bar.
  
• Keep in mind that the EL code is executed as each historical bar is processed, so you don't have to process all bars at one time. That is, you don't have to explicitly loop through all bars.
  

 

Below is the EL code with the suggestions made above. Hope it helps.

 

[Frank 10]

ok ant and/or anyone else that may be interested in helping -- I looked at this code more closely and now there is a framework I understand.

 

that is cool, you have created an 2-dimensional array with all the 30-min prices indexed within an assigned bar number.

 

so next step would then be to reference the cumulative bars up to that point in the day --- would you use an if/then statement such as:

 

if currentbar = 4 then loop through all the elements within BarNums 1-3 and create a cumulative array from which we loop through that and use a counter such as y=y+1 to count when an element is = to the mode price of the cumulative array?? is that doable?

 

open ecry is slightly different but it did compile with one adjustment (changing 'bars' to 'bars1')

 

one other thing, with current structure, the array can run out of space unless we set a huge number up front. how do you deal with this elegantly?

 

thanks for any help

 

frank

 

[ant 10]

so next step would then be to reference the cumulative bars up to that point in the day --- would you use an if/then statement such as:

 

if currentbar = 4 then loop through all the elements within BarNums 1-3 and create a cumulative array from which we loop through that and use a counter such as y=y+1 to count when an element is = to the mode price of the cumulative array?? is that doable?

 

I would do any calculations you need as you process each bar. You shouldn't have to go back to reference previous bars.

 

one other thing, with current structure, the array can run out of space unless we set a huge number up front. how do you deal with this elegantly?

 

Since you're processing bars as you go, you really don't know how many ticks you have in future bars. You could probably figure out the first array subscript (i.e., BarNum), but to keep it simple, just specify the array subscripts as inputs and then define a dynamic array. If you get a run-time error about an array overflow, simply increase the inputs corresponding to the array subscripts to resolve it. Usually, you don't want to make arrays too big because you can take a performance hit, especially for real-time indicators on high volume days, but it doesn't sound like this is a real-time indicator so it probably isn't a big deal. Also, 2-dimensional arrays can get quite large. For example, your array currently holds 14 x 5000 = 70000 elements.

[Frank 10]

You shouldn't have to go back to reference previous bars.

 

having trouble processing this. this calculation doesn't store a resulting number to use in the next bar, don't you have to repeatedly look back at all the cumulative array elements and re-count the mode as it may have changed?

 

funny, maybe I am just a visual person -- but this was really easy for me when I originally did it in Excel but now seems quite compute intensive when thinking about the array coding steps.

[ant 10]

having trouble processing this. this calculation doesn't store a resulting number to use in the next bar, don't you have to repeatedly look back at all the cumulative array elements and re-count the mode as it may have changed?

 

funny, maybe I am just a visual person -- but this was really easy for me when I originally did it in Excel but now seems quite compute intensive when thinking about the array coding steps.

 

Hey Frank,

 

As I mentioned in one of my posts, I'm not sure why you need to store the bar data in the array since you have the same data in the bar chart (i.e., the high/low of each 30 min bar), but you have the code in case you need it. My guess is that you won't need it based on what I think you're trying to do. You can calculate the mode as you described by revisiting the bars, but your indicator will run very slowly.

 

I think what you need is a basic array that stores the number of TPOs at each price that trades. You can then use an indexing function to get the number of TPOs at a particular price. For example, array cell 1500 can hold the number of TPOs for price 1052, array cell 1501 can then hold the number of TPOs for price 1052.25, so on and so forth.

 

Tams offered you some good advice above. Study the indicator he referenced. It describes exactly how to do this. Instead of storing bid/ask volume in the array, you will be storing TPO count. I would simply adapt that code to fit your needs - why re-invent the wheel?

 

Tams, you da man when it comes to providing coding advice on this forum!

[Tams 20]

...Tams, you da man when it comes to providing coding advice on this forum!

 

 

;-)

 

...................... Thanks for the compliment !