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| custom bars |
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TAA
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| Post subject: custom bars |
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Posted: Wed 08 May, 2013, 15:02
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User rating: 0
Joined: Thu 13 Oct, 2011, 17:27 Posts: 21 Location: SwitzerlandSwitzerland
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hi, could you please provide a simple example strategy which is trading on customized bars of 1 sec basing on an indicator. thank you
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API Support
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| Post subject: Re: custom bars |
Post rating: 0
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Posted: Wed 08 May, 2013, 15:18
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17 Posts: 6139
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TAA
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| Post subject: Re: custom bars |
Post rating: 0
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Posted: Wed 08 May, 2013, 15:48
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User rating: 0
Joined: Thu 13 Oct, 2011, 17:27 Posts: 21 Location: SwitzerlandSwitzerland
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ok thank you for the link. i have seen that already and tried to implement it but i do not yet understand it.
all this feed stuff is put in the onStart method. what will be the Period in the onBar method then?
i was hoping it would be possible to get the Period under onBar defined to 1 sec.
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API Support
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| Post subject: Re: custom bars |
Post rating: 0
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Posted: Wed 08 May, 2013, 15:52
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17 Posts: 6139
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TAA wrote: i was hoping it would be possible to get the Period under onBar defined to 1 sec. Simply modify the strategy by adding another feed to the list i.e.: CANDLESTICKS_1_SEC(new TimePeriodAggregationFeedDescriptor(Instrument.EURUSD, Period.ONE_SEC, OfferSide.ASK, Filter.NO_FILTER));
And then select it in parameters dialog on strategy run. TAA wrote: what will be the Period in the onBar method then? See the bullet about the onBar method: https://www.dukascopy.com/wiki/#Strategy_API
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TAA
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| Post subject: Re: custom bars |
Post rating: 0
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Posted: Wed 08 May, 2013, 17:46
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User rating: 0
Joined: Thu 13 Oct, 2011, 17:27 Posts: 21 Location: SwitzerlandSwitzerland
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now i have implemented it as follows. the code compiles and runs but all time settings for the mom inticator give the same result in testing. so i guess the onBar method does not receive the proper data for a 1 second period. what am i doing wrong? thanks @Configurable("Period") public Period period = Period.createCustomPeriod(Unit.Second, 1); @Configurable("Feed data count for indicator calculation") public int dataCount = 5; @Configurable("feed type") public MyFeeds feedDataType = MyFeeds.CANDLESTICKS_1_SEC_ASK; @Configurable("open chart") public boolean openChart = false; enum MyFeeds { // CANDLESTICKS_1_SEC_ASK(new TimePeriodAggregationFeedDescriptor(Instrument.XAUUSD, Period.ONE_SEC, OfferSide.ASK, Filter.NO_FILTER)); // private final IFeedDescriptor feedDescriptor; MyFeeds(IFeedDescriptor feedDescriptor) { this.feedDescriptor = feedDescriptor; } public IFeedDescriptor getFeedDescriptor() { return feedDescriptor; } }
@Override public void onStart(IContext context) throws JFException { this.context = context; engine = context.getEngine(); console = context.getConsole(); history = context.getHistory(); indicators = context.getIndicators();
IFeedDescriptor feedDescriptor = feedDataType.getFeedDescriptor(); context.setSubscribedInstruments(new HashSet<Instrument>(Arrays.asList(new Instrument[] { feedDescriptor.getInstrument() })), true); if(openChart){ context.openChart(feedDescriptor); } final int dataCount = 3; context.subscribeToFeed(feedDescriptor, new IFeedListener() { @Override public void onFeedData(IFeedDescriptor feedDescriptor, ITimedData feedData) { console.getOut().println(feedData + " of feed: " + feedDescriptor); } }); }
public void onBar(Instrument instrument, Period period, IBar askBar, IBar bidBar) throws JFException { if (period != this.period) return; if (instrument != this.instrument) return; double mombuy = indicators.mom(instrument, period, OfferSide.ASK, appliedprice, time, 1); double momsell = indicators.mom(instrument, period, OfferSide.BID, appliedprice, time, 1); }
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API Support
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| Post subject: Re: custom bars |
Post rating: 0
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Posted: Thu 09 May, 2013, 07:38
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17 Posts: 6139
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TAA
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| Post subject: Re: custom bars |
Post rating: 0
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Posted: Thu 09 May, 2013, 09:32
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User rating: 0
Joined: Thu 13 Oct, 2011, 17:27 Posts: 21 Location: SwitzerlandSwitzerland
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ok i see... but does it mean it is not possible to tell the onBar method to run every 1 second? that would be a lot more comfortable
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API Support
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| Post subject: Re: custom bars |
Post rating: 0
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Posted: Thu 09 May, 2013, 17:03
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17 Posts: 6139
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You can pull out the onFeedData method, the following way: package jforex.feed.indicators;
import com.dukascopy.api.*; import com.dukascopy.api.IIndicators.AppliedPrice; import com.dukascopy.api.feed.*; import com.dukascopy.api.feed.util.TimePeriodAggregationFeedDescriptor; import com.dukascopy.api.util.DateUtils;
public class MomOn1SecBars implements IStrategy, IFeedListener {
private IIndicators indicators; private IConsole console;
IFeedDescriptor feedDescriptorBuy = new TimePeriodAggregationFeedDescriptor(Instrument.EURUSD, Period.ONE_SEC, OfferSide.ASK, Filter.NO_FILTER); IFeedDescriptor feedDescriptorSell = new TimePeriodAggregationFeedDescriptor(Instrument.EURUSD, Period.ONE_SEC, OfferSide.BID, Filter.NO_FILTER);
@Override public void onStart(IContext context) throws JFException { indicators = context.getIndicators(); console = context.getConsole(); context.subscribeToFeed(feedDescriptorBuy, this);
}
@Override public void onFeedData(IFeedDescriptor feedDescriptor, ITimedData feedData) { try { Object[] momBuyResult = indicators.calculateIndicator(feedDescriptorBuy, new OfferSide[] { feedDescriptor.getOfferSide() }, "MOM", new AppliedPrice[] { AppliedPrice.CLOSE }, new Object[] { 10 }, 1); Object[] momSellResult = indicators.calculateIndicator(feedDescriptorSell, new OfferSide[] { feedDescriptor.getOfferSide() }, "MOM", new AppliedPrice[] { AppliedPrice.CLOSE }, new Object[] { 10 }, 1); double momBuy = (Double) momBuyResult[0]; double momSell = (Double) momSellResult[0]; console.getOut().format("sell %.7f buy %.7f at %s", momBuy, momSell, DateUtils.format(feedData.getTime())).println(); } catch (JFException e) { console.getErr().println(e); }
}
public void onTick(Instrument instrument, ITick tick) throws JFException {}
public void onBar(Instrument instrument, Period period, IBar askBar, IBar bidBar) throws JFException {}
public void onMessage(IMessage message) throws JFException {}
public void onAccount(IAccount account) throws JFException {}
public void onStop() throws JFException {}
}
| Attachments: |
MomOn1SecBars.java [2.15 KiB]
Downloaded 358 times
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TAA
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| Post subject: Re: custom bars |
Post rating: 0
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Posted: Thu 09 May, 2013, 18:06
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User rating: 0
Joined: Thu 13 Oct, 2011, 17:27 Posts: 21 Location: SwitzerlandSwitzerland
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ok i got it ... thank you very much for your help
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