array variables availability in ProRealTime – examples and discussions

Nicolas · Thu, 06 Feb 2020 09:17:13 +0000

The variable arrays will arrive soon in ProRealTime, they will be available in the coming weeks in version 11, with other instructions which I will detail in this topic. I consider this to be a major addition to the ProBuilder language and a radical change in the way we program and for this reason, I think that a topic in the forum is much more suitable for offering examples and discuss. Do not hesitate to ask your questions if things do not seem clear to you at first, I will try to answer as best I can. I will add concrete examples to this topic for future reference. As soon as these new features are deployed in public, you can also come here to offer your examples and your questions in the event of necessary debugging concerning variable arrays. There are so many new possibilities now, that I have been testing for 2 weeks and apart from a few small concerns that have been brought up and corrected since, I must say that I was impressed by the quality and precision of the new instructions offered, thank you IT-Finance and ProRealTime, the year 2020 will be an amazing year for coders! 🙂 In the introduction, I would like to recall what array variable is and why it is so important to be able to use it in programming. An array is a special variable, which can hold more than one value at a time. If you have a list of values (a list of recent highest high, for example), storing them in single variables could look like this: period = 5 if high[period] >= highest[(period)*2+1](high) then //new highest high if hh1=0 then hh1 = high[period] elsif hh2=0 then hh2 = high[period] elsif hh3=0 then hh3 = high[period] endif endif return hh1,hh2,hh3 However, what if you want to loop through the highest high and find a specific one? And what if you had not 3 highest high to store, but 300? The solution is to create an array! An array can hold many values under a single name, and you can access the values by referring to an index number. In ProBuilder, variables array are declared with $ sign before their names, so following our previous example, our 3 variables could now be stored like this: period = 5 if high[period] >= highest[(5)*2+1](high) then //new highest high if not isset($hh[0]) then $hh[0] = high[period] elsif not isset($hh[1]) then $hh[1] = high[period] elsif not isset($hh[2]) then $hh[2] = high[period] endif endif return $hh[0],$hh[1],$hh[2] Note that an array always begin at 0. This is how you should represent how the values are stored in an array: Each index represent a column of the table where you put a value that you will be able to access anytime and anywhere in your code. An index which hasn’t received any value yet is equal to 0. More dynamically, we could store values in an array like this: period = 5 if high[period] >= highest[(period)*2+1](high) then //new highest high $hh[myindex] = high[period] //store highest high myindex=myindex+1 //increase the index of the array for next highest high store endif In this example, each time a new highest high is detected, we store its new value into a new column of the array. By using the instruction lastset(), we retrieve the last known column of the array, so by adding 1 to this number, we add dynamically a new column in order to store a new value. Don’t worry about the size of the array, it can handle 1 million index! Easy! Ready for our first example? See below.

This topic has 254 replies, 50 voices, and was last updated 1 month ago by robertogozzi.

Tagged: array, arraymax, arraymin, drawpoint, isset, lastset, mtf, mtf indicators

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03/28/2021 at 12:14 AM #165521

Bard

Hi @Robertogozzi, thanks for taking a look at this. I had an elaborate detailed question about some date issues with Market Watch and IG Index typed out here but (fortunately for you!) lost it somehow scrolling between Macbook desktops.

Basically, in short: Is there any reason why Saturday 20200321 doesn’t plot yet for every other Saturday and month does (except Jan 2021)?

Why are 20210116 and 20210117 missing?

Also I launched the PRT option dates indicator to check something and realised that every green line is plotted on the day before every single date in my indicator. How come?

Note: The official option expiry is technically on the third Saturday of each month, with trading stopping the day before (See Market Watch calendar linked in previous post). IG have the last option dealing a day earlier on the Thursday and expiry on Fridays. PRT has taken the Friday / Saturday Market Watch indicator dates and plotted them on the day before, i.e. Thursdays and Fridays?

Is is possible to forward project and plot dates for April, May, June etc 2021?

Cheers!

Bard

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03/28/2021 at 1:25 AM #165528

robertogozzi

As I said DATE is the date when a bar closes, so it can only be plotted just mircosecoinds before the next bar opens (if it opens, though!). As the market shuts down on Friday 20200320, no line can be plotted when the market is closed.

The same is for the other two days.

Tha latter one is a SUNDAY date (which exists), but, being the date when the prior candle is closed, there is NO saturday candle at the close of which a line can be plotted. If, in this case, you use OPENDATE a line will be plotted.

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03/28/2021 at 5:25 PM #165558

Bard

Cheers @Robertogozzi, I wish had I had a copy of my lost long answer to explain better what I meant above in my “short” reply! I don’t understand the interdependency of the two dates in each month in terms of how PRT deals with them. Isn’t each date and it’s reciprocal green line an independent “Or” event?

For example, Re: Two missing green lines during March 2020.

The first line (a Friday) was a “fat thumb error” — 202003120 coded instead of 20200320. That line now appears when the “1” error is corrected. But not only does that Friday line appear but a line for Saturday too? If I remove just the date, Saturday 20200321, both lines still appear?

I wrote:
Also I launched the PRT option dates indicator to check something and realised that every green line is plotted on the day before every single date in my indicator. How come?

PRT brings forward every single coded Friday and Saturday date I have like: “OR date = 20200320 OR date = 20200321” by one day? It’s plotting them on “DATE” 20200319 OR date = 20200320? Pls see images “19 mch 2020” and “20 mch 2020. The green lines are not plotted on the days coded — namely, Fridays and Saturdays — but on one day before, Thursdays and Fridays?

So I decided to simplify and removed all the Saturday Option Expiry dates and left just Friday “Stop Trading” (which is after all the most important warning) and re-launched and I still get two green lines on two different consecutive days, Thursdays and Fridays? What am I missing here?

robertogozzi wrote:

(Your first reply written 27th Mch 2021)
Date (Saturday) 20200321 cannot be plotted because DATE is the date when a candle closes and it should have been plotted at the closure of Friday, March 20th, but it can’t be plotted because the systems stops due to the end of the week.

(Your second reply 28th Mch 2021)
As I said DATE is the date when a bar closes, so it can only be plotted just mircoseconds before the next bar opens (if it opens, though!). As the market shuts down on Friday 20200320, no line can be plotted when the market is closed.

As mentioned, it makes no difference if Saturday 20200321 is included in the code or not. Two lines are both plotted at the same time only when 202003120 is corrected to 20200320 and even if 20200321 (or any other second date of the month) is deleted from the code. All other Friday and Saturdays for 2020/2021 (bar jan 2021) plot okay despite being on a Friday and on the end of a week?

Missing Jan 2021 lines:
I tried OPENDATE for Jan 2021 but it wouldn’t plot. The Options Council actually states Jan 2021 Option Expiry was Friday 15th Jan 2021 so I amended the January dates to 20210115 and 20210116 and now every month plots expirations.

Lastly, why can’t PRT project forward and plot dates for April, May, June etc 2021 like other options software? Not a criticism, just wondered if there was a way round this?

I hope that makes more sense.
Thanks very much,
Best Bard.

Bard

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03/28/2021 at 5:55 PM #165561

robertogozzi

You can plot in the future:

// plot N bars in the future
DrawSegment(BarIndex[20],close, BarIndex+10,close)
//
// plot up to a date in the future
DrawSegment(BarIndex[20],close, DateToBarIndex(20210402),close)

// plot N bars in the future

DrawSegment(BarIndex[20],close, BarIndex+10,close)

// plot up to a date in the future

DrawSegment(BarIndex[20],close, DateToBarIndex(20210402),close)

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Bard

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03/28/2021 at 6:47 PM #165562

robertogozzi

But I am not aware of limits to how many bars or dates in the future are allowed.

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Bard

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03/31/2021 at 11:53 PM #165901

Bard

Thanks a lot for the code, I’ll try it out at the weekend @Robertogozzi.

I’m still not sure why PRT is treating theses two option dates each month as interdependent instead of independent (interdependent because if I remove one date both green lines disappear?) or why it plots the date a day before the actual coded close date?

Bard

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04/04/2021 at 12:22 PM #166156

Bard

Thanks very much for your help Roberto.

This is the completed Indicator and I’ve added the Probability Cone Indicator code too in the hope that perhaps we could add/code them together in one indicator and then add this to the library @Robertogozzi, @Nicolas?

//Option Stop Trading Dates and Expiry Dates 2020/2021
//https://www.marketwatch.com/optionscenter/calendar
//https://www.optionseducation.Org/referencelibrary/expiration-calendar

If Date = 20200117  Or Date = 20200221  Or Date = 20200320  Or Date = 20200417  Or Date = 20200515  Or Date = 20200619  Or Date = 20200717  Or Date = 20200821  Or Date = 20200918  Or Date = 20201016  Or Date = 20201120  Or Date = 20201218  Or Date = 20210115  Or Date = 20210219  Or Date = 20210319  Or Date = 20210416  Or Date = 20210521  Or Date = 20210618  Or Date = 20210716  Or Date = 20210820  Or Date = 20210917  Or Date = 20211015  Or Date = 20211119  Or Date = 20211217  Then
DrawvLine(BarIndex[+0])Coloured (0,200,0)style (DottedLine)
EndIf

// Plot up to a Date in the Future (1 Year)
DrawvLine(DateToBarIndex(20210416))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210417))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210521))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210522))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210618))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210619))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210716))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210717))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210820))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210821))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210917))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20210918))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20211015))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20211016))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20211119))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20211120))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20211217))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20211218))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20220121))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20220122))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20220218))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20220219))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20220318))Coloured (0,200,0)style (DottedLine)
DrawvLine(DateToBarIndex(20220319))Coloured (0,200,0)style (DottedLine)
//

Return

//Option Stop Trading Dates and Expiry Dates 2020/2021

//https://www.marketwatch.com/optionscenter/calendar

//https://www.optionseducation.Org/referencelibrary/expiration-calendar

If Date = 20200117 Or Date = 20200221 Or Date = 20200320 Or Date = 20200417 Or Date = 20200515 Or Date = 20200619 Or Date = 20200717 Or Date = 20200821 Or Date = 20200918 Or Date = 20201016 Or Date = 20201120 Or Date = 20201218 Or Date = 20210115 Or Date = 20210219 Or Date = 20210319 Or Date = 20210416 Or Date = 20210521 Or Date = 20210618 Or Date = 20210716 Or Date = 20210820 Or Date = 20210917 Or Date = 20211015 Or Date = 20211119 Or Date = 20211217 Then

DrawvLine(BarIndex[+0])Coloured (0,200,0)style (DottedLine)

EndIf

// Plot up to a Date in the Future (1 Year)

DrawvLine(DateToBarIndex(20210416))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210417))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210521))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210522))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210618))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210619))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210716))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210717))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210820))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210821))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210917))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20210918))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20211015))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20211016))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20211119))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20211120))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20211217))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20211218))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20220121))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20220122))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20220218))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20220219))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20220318))Coloured (0,200,0)style (DottedLine)

DrawvLine(DateToBarIndex(20220319))Coloured (0,200,0)style (DottedLine)

Return

// https://www.prorealcode.com/topic/array-variables-availability-in-prorealtime/
// (please do not remove the link above for future reference)
// Example #2: probability cone

defparam drawonlastbaronly=true

// --- settings
//PriceField = 1 //1=customclose ; 0=high/low
//vol = 0.025 //Assumed Volatility (ideally based on volTyp)
//BarsFuture = 20 //No. of days ahead
//stdPer = 2 //Std. Dev. quantity
//decay = 12 //decay the cone at the previous X bar
// --- end of settings

Price = customclose

hh=undefined
ll=undefined
if(islastbarupdate) then
for i = 0 to BarsFuture do

//cone calculation
StdDev = StdPer *  Price * Vol * sqrt( i / 365 ) //3.6*
if( PriceField ) then
$u[i] = high[decay] + stdDev
$d[i] = low[decay] - stdDev
else
$u[i] = Price[decay] + stdDev
$d[i] = Price[decay] - stdDev
endif

if i>0 then
//upper cone
drawsegment(barindex[decay]+i,$u[i],barindex[decay]+i-1,$u[i-1]) coloured(0,255,0)
drawpoint(barindex[decay]+i,$u[i],1) coloured(0,255,0)
//lower cone
drawsegment(barindex[decay]+i,$d[i],barindex[decay]+i-1,$d[i-1]) coloured(255,0,0)
drawpoint(barindex[decay]+i,$d[i],1) coloured(255,0,0)
//filling the zone
drawtriangle(barindex[decay]+i,$u[i],barindex[decay]+i-1,$u[i-1],barindex[decay]+i,$d[i]) coloured(150,150,150,50) bordercolor(150,150,150,0)
drawtriangle(barindex[decay]+i-1,$d[i-1],barindex[decay]+i,$d[i],barindex[decay]+i-1,$u[i-1]) coloured(150,150,150,50) bordercolor(150,150,150,0)
endif

next
//plot the middle line
drawsegment(barindex[decay],($u[0]+$d[0])/2,barindex[decay]+BarsFuture,($u[0]+$d[0])/2) style(dottedline)
//plot the highest and lowest boundaries of the cone
hh=(arraymax($u)+arraymin($u))/2
ll=(arraymax($d)+arraymin($d))/2
endif

return hh as "Short Call", ll as "Short Put"

// https://www.prorealcode.com/topic/array-variables-availability-in-prorealtime/

// (please do not remove the link above for future reference)

// Example #2: probability cone

defparam drawonlastbaronly=true

// --- settings

//PriceField = 1 //1=customclose ; 0=high/low

//vol = 0.025 //Assumed Volatility (ideally based on volTyp)

//BarsFuture = 20 //No. of days ahead

//stdPer = 2 //Std. Dev. quantity

//decay = 12 //decay the cone at the previous X bar

// --- end of settings

Price = customclose

hh=undefined

ll=undefined

if(islastbarupdate) then

for i = 0 to BarsFuture do

//cone calculation

StdDev = StdPer * Price * Vol * sqrt( i / 365 ) //3.6*

if( PriceField ) then

$u[i] = high[decay] + stdDev

$d[i] = low[decay] - stdDev

else

$u[i] = Price[decay] + stdDev

$d[i] = Price[decay] - stdDev

endif

if i>0 then

//upper cone

drawsegment(barindex[decay]+i,$u[i],barindex[decay]+i-1,$u[i-1]) coloured(0,255,0)

drawpoint(barindex[decay]+i,$u[i],1) coloured(0,255,0)

//lower cone

drawsegment(barindex[decay]+i,$d[i],barindex[decay]+i-1,$d[i-1]) coloured(255,0,0)

drawpoint(barindex[decay]+i,$d[i],1) coloured(255,0,0)

//filling the zone

drawtriangle(barindex[decay]+i,$u[i],barindex[decay]+i-1,$u[i-1],barindex[decay]+i,$d[i]) coloured(150,150,150,50) bordercolor(150,150,150,0)

drawtriangle(barindex[decay]+i-1,$d[i-1],barindex[decay]+i,$d[i],barindex[decay]+i-1,$u[i-1]) coloured(150,150,150,50) bordercolor(150,150,150,0)

endif

//plot the middle line

drawsegment(barindex[decay],($u[0]+$d[0])/2,barindex[decay]+BarsFuture,($u[0]+$d[0])/2) style(dottedline)

//plot the highest and lowest boundaries of the cone

hh=(arraymax($u)+arraymin($u))/2

ll=(arraymax($d)+arraymin($d))/2

endif

return hh as "Short Call", ll as "Short Put"

Volatility % Setting for the Probability Cone:
For the Probability Cone indicator’s standard deviation volatility setting bear in mind that although the 1985-2020 annualised standard deviation (SD) for the Dow Jones was 17.61%, the DIJA VIX high / low SD for the last 12 months ranged between approximately 17% and 56%:
https://fred.stlouisfed.org/series/VXDCLS

S&P VIX Explained:
https://www.spindices.com/vix-intro/

Note: Having a wide SD and low Volatility % setting (or visa versa), but choosing a decay date of a mini market fall out doesn’t mitigate you from forecasting Probability Cone errors! (Pls see images).

Cheers,
Bard

Bard

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04/04/2021 at 12:29 PM #166159

Bard

Better image showing 12 month forward Dow Jones Option Expiration Dates, (potentially for the Library).

Bard

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04/04/2021 at 10:23 PM #166180

Vonasi

Knowing how price has deviated in the past is interesting but knowing how it has deviated after an event compared to a datum is even more interesting:

https://www.prorealcode.com/prorealtime-indicators/edge-finder-and-condition-tester/

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04/04/2021 at 11:02 PM #166183

Bard

Interesting stuff! I’ll take a look this week.
I’ll be using the probability cone indicator (which is standard kit for high end options trading platforms) to help me make option strike price decisions in relation to volatility projections and option expiries. Great for Strangles and Spreads.

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jonpt88

Bard

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04/10/2021 at 6:55 PM #166732

TradeRight

I have searched the forum and topic to find how to return the index number of arraymax but not discovered it. Can someone tell me the way to do this please.

TradeRight

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04/11/2021 at 8:30 AM #166755

Nicolas

There is no instruction to get the array max index automatically, loop through the array to find what column of the array contain the value of arraymax.

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TradeRight

Nicolas

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04/11/2021 at 9:14 AM #166757

Vonasi

Store the barindex value in a second array at the same location every time you store a value in your first array. Then loop through to find the location of ARRAYMAX and the barindex number will be at the same location in the second array.

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TradeRight

Vonasi

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04/20/2021 at 8:23 AM #167567

Bard

I’m really grateful for this new Probability Cone indicator @Nicolas, it’s something that only high end Options Trading platforms provide.

I’ve added green dotted date lines for FOMC meetings to it for my Daily Dow and it’s been working fine until this morning. The cone seems to be disappearing and then reappearing?

I was using a 252 day Bars Future setting without any issue a fortnight ago, now it only seems stable if I use a setting below 90. Increase it to 100 days in the future and the cone starts disappearing again. It doesn’t seem to be effected by altering the Decay and Std Dev settings, the latter of which I’ve replicated the disappearing cone at 20 std devs down to 2 std devs).

Could it be my internet connection or its taking more time to calculate or calculating more often? Cheers.

Bard

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04/20/2021 at 9:29 AM #167579

Bard

Ps//
Is there a way to make the crosshairs return that actual Dow values as you move the crosshair forward into the future?
HH and LL values are static regardless of how far you move the crosshairs forward. Pls see 3 x red markup lines on each of the two chart screens. Thanks.

Here’s the code, just in case:

// https://www.prorealcode.com/topic/array-variables-availability-in-prorealtime/
// (please do not remove the link above for future reference)
// Example #2: probability cone

//Volatility: These Dow and VIX readings at web addresses below are yearly. If Volatility = 17%, that's annual and ready for input in this cone indicator.
//For 30 day volatility divide volatility index number by the sq root of 12:
//Eg, 20 / 3.46 = 5.78%

//Dow
//https://fred.stlouisfed.org/series/VXDCLS
//https://markets.businessinsider.com/index/dow-jones-djia-vix

//VIX
//https://fred.stlouisfed.org/series/VIXCLS
//https://markets.businessinsider.com/index/vix

//Best VIX Explanation:
//https://www.spindices.com/vix-intro/


defparam drawonlastbaronly=true

// --- settings
//PriceField = 1 //1=customclose ; 0=high/low
//vol = 0.025 //Assumed Volatility (ideally based on volTyp)
//BarsFuture = 20 //No. of days ahead
//stdPer = 2 //Std. Dev. quantity
//decay = 12 //decay the cone at the previous X bar
// --- end of settings

Price = customclose

hh=undefined
ll=undefined
if(islastbarupdate) then
for i = 0 to BarsFuture do

//cone calculation
StdDev = StdPer *  Price * Vol * sqrt( i / 365 ) //3.6*
if( PriceField ) then
$u[i] = high[decay] + stdDev
$d[i] = low[decay] - stdDev
else
$u[i] = Price[decay] + stdDev
$d[i] = Price[decay] - stdDev
endif

if i>0 then
//upper cone
drawsegment(barindex[decay]+i,$u[i],barindex[decay]+i-1,$u[i-1]) coloured(0,255,0)
drawpoint(barindex[decay]+i,$u[i],1) coloured(0,255,0)
//lower cone
drawsegment(barindex[decay]+i,$d[i],barindex[decay]+i-1,$d[i-1]) coloured(255,0,0)
drawpoint(barindex[decay]+i,$d[i],1) coloured(255,0,0)
//filling the zone
drawtriangle(barindex[decay]+i,$u[i],barindex[decay]+i-1,$u[i-1],barindex[decay]+i,$d[i]) coloured(150,150,150,50) bordercolor(150,150,150,0)
drawtriangle(barindex[decay]+i-1,$d[i-1],barindex[decay]+i,$d[i],barindex[decay]+i-1,$u[i-1]) coloured(150,150,150,50) bordercolor(150,150,150,0)
endif

next
//plot the middle line
drawsegment(barindex[decay],($u[0]+$d[0])/2,barindex[decay]+BarsFuture,($u[0]+$d[0])/2) style(dottedline)
//plot the highest and lowest boundaries of the cone
hh=(arraymax($u)+arraymin($u))/2
ll=(arraymax($d)+arraymin($d))/2
endif

return hh as "Short Call", ll as "Short Put"

// https://www.prorealcode.com/topic/array-variables-availability-in-prorealtime/

// (please do not remove the link above for future reference)

// Example #2: probability cone

//Volatility: These Dow and VIX readings at web addresses below are yearly. If Volatility = 17%, that's annual and ready for input in this cone indicator.

//For 30 day volatility divide volatility index number by the sq root of 12:

//Eg, 20 / 3.46 = 5.78%

//Dow

//https://fred.stlouisfed.org/series/VXDCLS

//https://markets.businessinsider.com/index/dow-jones-djia-vix

//VIX

//https://fred.stlouisfed.org/series/VIXCLS

//https://markets.businessinsider.com/index/vix

//Best VIX Explanation:

//https://www.spindices.com/vix-intro/

defparam drawonlastbaronly=true

// --- settings

//PriceField = 1 //1=customclose ; 0=high/low

//vol = 0.025 //Assumed Volatility (ideally based on volTyp)

//BarsFuture = 20 //No. of days ahead

//stdPer = 2 //Std. Dev. quantity

//decay = 12 //decay the cone at the previous X bar

// --- end of settings

Price = customclose

hh=undefined

ll=undefined

if(islastbarupdate) then

for i = 0 to BarsFuture do

//cone calculation

StdDev = StdPer * Price * Vol * sqrt( i / 365 ) //3.6*

if( PriceField ) then

$u[i] = high[decay] + stdDev

$d[i] = low[decay] - stdDev

else

$u[i] = Price[decay] + stdDev

$d[i] = Price[decay] - stdDev

endif

if i>0 then

//upper cone

drawsegment(barindex[decay]+i,$u[i],barindex[decay]+i-1,$u[i-1]) coloured(0,255,0)

drawpoint(barindex[decay]+i,$u[i],1) coloured(0,255,0)

//lower cone

drawsegment(barindex[decay]+i,$d[i],barindex[decay]+i-1,$d[i-1]) coloured(255,0,0)

drawpoint(barindex[decay]+i,$d[i],1) coloured(255,0,0)

//filling the zone

drawtriangle(barindex[decay]+i,$u[i],barindex[decay]+i-1,$u[i-1],barindex[decay]+i,$d[i]) coloured(150,150,150,50) bordercolor(150,150,150,0)

drawtriangle(barindex[decay]+i-1,$d[i-1],barindex[decay]+i,$d[i],barindex[decay]+i-1,$u[i-1]) coloured(150,150,150,50) bordercolor(150,150,150,0)

endif

//plot the middle line

drawsegment(barindex[decay],($u[0]+$d[0])/2,barindex[decay]+BarsFuture,($u[0]+$d[0])/2) style(dottedline)

//plot the highest and lowest boundaries of the cone

hh=(arraymax($u)+arraymin($u))/2

ll=(arraymax($d)+arraymin($d))/2

endif

return hh as "Short Call", ll as "Short Put"

Bard

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