Simple moving average by Eyal Zach

Eyal Zach INVESTOR

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would love to get help writing a simple 10 steps moving average for last 9 full 1M Bars close price + last tick price quote (total 10)

working by ticks of course

thanks,

Eyal.

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Eyal Zach

Accepted Answer

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Gustavo A.

Pro ,

Hi, maybe these can help You, is the code that have the sum of the lastest 100 samples, to get the avg. just need to divide it for 100. I wrote an article explaining the process in my blog.



if( CurrentSample >= 100 )

{	

	// Add to the queue

	ValuesQueue.Enqueue( CurrentPrice );

	

	// sum the price

	SumAvg = SumAvg + CurrentPrice;

	

	// deduct the oldest element inserted in the queue

	decimal dequeue = ValuesQueue.Dequeue();

	SumAvg = SumAvg - dequeue;

}

else

{

	ValuesQueue.Enqueue( CurrentPrice );

	SumAvg = SumAvg + CurrentPrice;

}

Gustavo A.

Pro ,

To use tick data you need to overwrite the onTick function.



public override void OnTick(Dictionary ticks) 

{         

	try 

	{

		/*

		 *	The dictionary have the securities that you select in  Initialize() function 

		 *	and you can select them using the string of their respective symbol.

		 *	ticks[" Symbol "]

		 */

	} 

	catch (Exception err) 

	{

		Error("This is an error handler." + err.Message);

	}

}

The tick documentation

Jared Broad

Pro ,

Thanks @Gustavo, I think he means 10 min moving average using tick data (which is not time synchronized). This is highly inefficient but for example with LINQ + second data

Dictionary archive = new Dictionary();

public OnTradeBar(Dictionary data) {

   archive.Add(data["EURUSD"].Time, data["EURUSD"].Close);

   

   decimal last9min = (from time in archive

                  where time.Key > Time.AddMinutes(-10) && time.Key < Time.AddMinute(-1)

                  select time.Values.Close).Average();



    decimal floatingAvg = 0.1m * data["EURUSD"].Close + 0.9 * last9min;



   //Trim Array length:

   archive = (from kvp in archive 

       where kvp.Key > Time.AddMinutes(-11) 

       select kvp).ToDictionary();

}

Eyal Zach

10k Pro ,

I want to run the algorithm on ticks (working on every tick), but i want to know the average of the last 9 1M bars + the current tick price ...

Gustavo A.

Pro ,

@Eyal I saw your code and the error that you are getting its because you are not writing well the header for the function.



public override void OnTradeBar(Dictionary data) {

/*

 *    Your Code

 */

}

Another error that I found is the data can only be sended to one type of resolution. So if you want to work with tick data you have to convert the tick data to a trade bar.

Jared Broad

Pro ,

Here's a short class for compiling longer bars, I'll roll it into a Community template for a long term strategy once we release the new features -

// Inline method for capturing tick into minute or second bars:

public class Aggregator {

    

    public DateTime Time;

    public TimeSpan SpanOfBar; 

    public string Symbol = "";

    

    public decimal Open = -1;

    public decimal High = 0;

    public decimal Low = 0;

    public decimal Close = 0;

    public long Volume = 0;

    public int Count = 0;

    

    public Aggregator(DateTime newCandleTime, TimeSpan timeframe, string symbol)     {

        Time = newCandleTime;

        SpanOfBar = timeframe;

        Symbol = symbol;

    }

    

    public bool HasData {

        get {

            return (Count > 0);

        }

    }

    

    //Add the tick, return false if out of time allocation:

    public bool AddTick(decimal price, DateTime newTickTime, long size) {

        

        if (newTickTime > (Time + SpanOfBar)) return true;

        //Add the data

        Count++;

        Volume += size;

        if (Open == -1) Open = price;

        if (price > High || High == 0) High = price;

        if (price < Low || Low == 0) Low = price;

        Close = price;

        return false;

    }

    

    //Return the current tradebar:

    public TradeBar GetBar() {            

        return new TradeBar(Time, Symbol, Open, High, Low, Close, Volume);

    }

} // End of Aggregator

Ric

33 Pro ,

Are you going to add capabilities to get all of the standard daily based technical indicators, such as moving averages, exp averages, stochastics and the like? It would be good to have ways to get these which are both efficient from a code standpoint, and efficient from a programmer standpoint.

Jared Broad

Pro ,

Yes completely agree @Ric, we're trying to find an intern to code a whole technical library. Its been tricky finding one with a strong enough coding background.

If it comes to it I'll spend a weekend and write the library --

DavidBallantyne

40 Pro ,

Could you just use TA-Lib? It's got all that sort of stuff in it...

Jared Broad

Pro ,

Thanks @DavidBallantyne good point! Looking at it now :) Should save a lot of work.

Ysos

644 Pro ,

Hi Jared,

In the AddTick method, the line
if (newTickTime > (Time + SpanOfBar)) return true;
return true, it's not quite
if (newTickTime > (Time + SpanOfBar)) return false;

and in the method end line :
return true;

Jared Broad

Pro ,

Thanks Ysos - Please submit the joiner to the code library (blocks icon on the left side), I submitted one a while back but it might have the old code you just highlighted.

The return true was meant to be "When returns true - bar is ready, use it". You method would be "When returns false bar is ready"? My method might miss one tick so you're right we should find another way to handle that first tick.

Eyal Zach INVESTOR

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