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WiseTrader Toolbox
#1 Selling Amibroker Plugin featuring:
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bad tick clean for Amibroker (AFL)
Rating:
3 / 5 (Votes 2)
Tags:
amibroker
This chart is used to generate clean data for another chart.
Link this chart to another one.
This runs on a 5 second database to trim bad ticks.
Clean data is saved to “~SA_Clean” ATC ticker every pass.
Linked chart must replace OHLCV arrays.
Place the following AFL at the beginning of the linked chart:
SetForeign("~SA_Clean)
Try out your own high resolution data filtering algorithms
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 | _SECTION_BEGIN("5 sec Bad Ticks"); FilterType = ParamList("Filter type","None|TEMAOC4|MedianOHLC9]|UnSpike",1);if(FilterType=="UnSpike" ){ CH=C==H; CL=C==L; OH=O==H; OL=O==L; MH=Median(H,4); ML=Median(L,4); MH[0]=MH[1]=MH[2]=MH[3]=MH[4]; //workaround for bug? ML[0]=ML[1]=ML[2]=ML[3]=ML[4]; //workaround for bug? H=IIf(CH,MH,H); //trim glitch High close C=IIf(CH,MH,C); //trim glitch Close high O=IIf(OH,MH,O); //trim glitch Open high H=IIf(OH,MH,H); //trim glitch High open L=IIf(CL,ML,L); //trim glitch Low close C=IIf(CL,ML,C); //trim glitch Close low O=IIf(OL,ML,O); //trim glitch Open low L=IIf(OL,ML,L); //trim glitch Low open H=Min(H,Min(MH*2-L,H)); //trim out of range H L=Max(L,Max(ML*2-H,L)); //trim out of range L O=Min(H,Max(L,O)); //trim out of range O C=Min(H,Max(L,C)); //trim out of range C}if(FilterType=="MedianOHLC9" ){ H=Median(H,9); L=Median(L,9); O=Min(H,Max(L,O)); C=Min(H,Max(L,C));}if(FilterType=="TEMAOC4" ){O=H=L=C=TEMA((O+C)/2,4);}AddToComposite(O ,"~SA_Clean" ,"O",atcFlagEnableInIndicator|atcFlagDeleteValues);AddToComposite(H ,"~SA_Clean" ,"H",atcFlagEnableInIndicator);AddToComposite(L ,"~SA_Clean" ,"L",atcFlagEnableInIndicator);AddToComposite(C ,"~SA_Clean" ,"C",atcFlagEnableInIndicator);AddToComposite(V ,"~SA_Clean" ,"V",atcFlagEnableInIndicator);_SECTION_END(); // end of bad tick removal routine_SECTION_BEGIN("Test Timeframes"); //Explore timeframe functionsChartframe = ParamList("Chart Type","None|Native|Time bars|Volume bars|$Range bars|%Range bars",0);Timebar = 60*Param("Time (minutes)",1,1,10,1);Volumebar = 12*Param("Volume (avg rate)",1,.25,10,.25); //finds a volume with an average bar rate in minutesRangebar = Param("$ Range",.1,.01,10,.01);RangebarP = Param("% Range",.1,.01,2,.01)/100;if(Chartframe=="Time bars"){ Plot(Timebar/60 ,"Bar Minutes",colorBlue,styleNoLabel|styleNoLine|styleOwnScale); //just for the number TimeFrameMode(0); TimeFrameSet(Timebar ); //force n*5 second bars now}if(Chartframe=="Volume bars"){ // first total all the volume for the last 4680 bars between 9:30 and 4:00 only to get a volume per 5 sec bar Totalv=0; totalbars=0; bartimes = TimeNum(); //time of day to gather volume for(i=BarCount-1;totalbars<4680;i--) { if(bartimes[i]>=93000 AND bartimes[i]<160000){Totalv += V[i]; totalbars++;} } avevol = Volumebar*Totalv/4860; ex = int(log10(avevol))-1; //2 significant digits to keep barvol = ((10^ex)*(round((avevol)/(10^ex)))); //truncate significance to keep from dithering Plot(barvol ,"Bar Vol",colorBlue,styleNoLabel|styleNoLine|styleOwnScale); //just for the number TimeFrameMode(2); TimeFrameSet(barvol);}if(Chartframe=="$Range bars") //this does not work right, Bug???{ Plot(Rangebar ,"Bar range",colorBlue,styleNoLabel|styleNoLine|styleOwnScale); //just for the number TimeFrameMode(3); TimeFrameSet(Rangebar );} if(Chartframe=="%Range bars") //this does not work right either, Bug???{ // first total all the prices for the last 4680 bars between 9:30 and 4:00 only to get an average price Totalp=0; totalbars=0; bartimes = TimeNum(); //time of day to gather volume for(i=BarCount-1;totalbars<4680;i--) { if(bartimes[i]>=93000 AND bartimes[i]<160000){Totalp += C[i]; totalbars++;} } range = RangebarP*Totalp/4860; ex = int(log10(range))-1; //2 significant digits to keep barP = ((10^ex)*(round((range)/(10^ex)))); //truncate significance to keep from dithering Plot(barP ,"Bar range",colorBlue,styleNoLabel|styleNoLine|styleOwnScale); //just for the number TimeFrameMode(3); TimeFrameSet(barP );} if(Chartframe!="None") //use none for high speed{ Plot(C ,"Price",colorBlue,styleBar); // quick and dirty trading day start and end markers Plot( TimeNum()>=160000 AND Ref(TimeNum(),-1)<160000 , "", colorRed,styleOwnScale|styleNoLabel|styleDashed|styleHistogram); Plot( TimeNum()>=93000 AND Ref(TimeNum(),-1)<93000, "", colorGreen,styleOwnScale|styleNoLabel|styleDashed|styleHistogram);}_SECTION_END(); |
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