bad tick clean for Amibroker (AFL)
pious243 about 13 years ago Amibroker (AFL)
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
Indicator / Formula
_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 functions
Chartframe = ParamList("Chart Type","None|Native|Time bars|Volume bars|$Range bars|%Range bars",0);
Timebar = 60*Param("Time (minutes)",1,1,10,1);
Volumebar = 12*Param("Volume (avg rate)",1,.25,10,.25); //finds a volume with an average bar rate in minutes
Rangebar = Param("$ 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();0 comments
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