array variables availability in ProRealTime – examples and discussions
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Hi Finning,
I can’t be sure what you have read, but it could be in the direction of my previous post. It would be opportunistic from my side, though.
Anyway, for normal operation in Strategy code, the data is always updated at the end of the bar. Also for arrays, when they are filled in there (thus, in Strategy code).
In other words, once you receive real time data, there won’t be an additional issue for you.Something else : real time data is not at the same level as tick data vs second or hour etc. data. Not-real time data is just postponed date (like 15minutes). All what you receive (tick vs bar data etc.) is just the same for real time as for postponed; postponed it only later (hard to trade upon and with AutoTrading it is not even allowed to trade with).
Regards,
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@PeterST regarding…
With the danger of missing all the/your points …
Are you saying that with this you try to achieve the tick values to get known in Strategy code ? Even if you say No, I’d say that you may be on to something in the direction of a solution to that. This would change the subject somewhat 😉 but who cares.When I talk of tick’s, I’m referring to the movement shown on the 1 Tick chart which appear to be timestamped at 1 second intervals but several entries can fall under same second. Other times none.
I was only trying to understand, what was going on with the array, however, the tick scenario did cross my mind, I’ve come across it before in a loop trying to setup a multidimensional array.
The problem in the loop was , it appeared to fall foul on the number of iterations the loop was making.
Every time there was a pass in the loop, the value updated, this by the loop speed time rather than linked to the tick movement, I thought.
In this scenario, it was happening outside a loop, and appeared to be in sequence with the tick movement. Interesting!
Not explored, just seemed to be a by product of looking at the affects of the different lines of code in the example.
If it were useable, there still would be the end of bar hurdle, and if any other tick info were accessible, that would need to be stored in arrays too.
Going back to example, see image,
I was trying to understand why, using ‘Once’, appears to define ‘a’ {ex1} and $var[a] {ex2}, or they get defined in ‘Print’ or on ‘Return’ line.
Then {ex3}, appears to work on the build of the chart, but then skews off appearing to trigger on every tick after build.
And then {ex4]}, adding ‘a = a + 1’, turns array into undefined,
That’s about as far as I got with it, my mind was blown by then.
Only think I have come up with is, the chart build is retrieving one value per bar, and after, its updated by the ticks. in real time.
Not got anything on why ‘a=a+1’ undefines the array, since it seems to be defined in the earlier {ex2 and ex3}
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In this scenario, it was happening outside a loop, and appeared to be in sequence with the tick movement. Interesting!
Doing things in a loop to retrieve ticks (tick values) is not going to work;
Your program is called once per time unit as defined (1 hour, 1 second etc.) and it is given the fixed state of everything that was in order at the moment your program was called. So no matter how long the loop (make it a billion iterations and it may last a few seconds), the state of all remains the same. No new bar (OHLC) or tick values will emerge during the time your program runs. Side note : what will happen though, is when your program runs 4 seconds while the bar is 1 second (set by you), that things will go bananas, because the PRT server will try to call your program at the end of each second (thus once per second) while it still runs because it takes longer than 1 second. This will create an erroneous situation (don’t ask me what you will notice of it – maybe at the very long term (an hour ? longer ?) some error, because “buffers” will overflow).When I talk of tick’s, I’m referring to the movement shown on the 1 Tick chart which appear to be timestamped at 1 second intervals but several entries can fall under same second.
I am not saying hat you confuse things, but it is easy to be confused when looking at the several “dimensions” which may occur. A few things on this :
- A 1 tick chart is just that and it exists at the same level as a chart could bear a timeframe of 1 hour or one second or one week etc. etc.
- A chart based on ticks could also be build from more than one tick (as per your own definition), like 10 ticks or 100 ticks or 11 ticks, etc.
- The difference between a chart based on ticks and the charts based on time, is that the charts based on ticks do NOT allow strategy code to be called (this is not general law, but counts for ProRealTime). Thus, just NOT – also not per 100 ticks or whatever the set number of ticks is. You thus can also never build tick data from such a chart. Your program just is not called (you can’t even create it – you can try that out). This, versus the timed charts which do allow your strategy code to be called (per time unit as set by you).
- Now over to the confusing part : The above is about Charts and how Strategy code could be working on/with them. But there is also Signals. Your last post gave examples from signals. Signals are a different beast as these are called per tick so your Signal code is executed per tick. So signals are operating at the tick level all right.
- As per my explanation above, your Signal program is called each tick. You could plot whatever data you like per tick. You could plot price data per tick. You could add prices and form an average per tick.
BUT
- you can not store data per tick.
All you can do is store data per the timed bar of your chart *if* the chart bears timed bars (if it is a chart based on ticks you can’t do anything at all because, remember, you can’t even have a program which is called).
The above summarized in one sentence : within Signal code you can plot at the tick level, while variables can only be given (saved) contents per when the timed bar in the calling Strategy code, unwinds.
Possibly this can be read as : you can set variable a to anything you want per tick the Signal code is called, but you can only really save something in “variable a” when “variable a” occurs in the Return command (and the Return command magically only executes when your timed Strategy code is up to its next bar(-call)).…
And what I was suddenly seeing in my previous post, is that an Array element could persist its given value per tick in the Signal code after all. And what it requires is looping through the array in the calling TIMED Strategy code and add its values in order to prove it.
If this works it can almost be called a bug, seen from the fact that nothing anticipates it.
And to keep in mind : it is useless to make a loop in the calling Strategy code and Print or Graph it, because only one command comes through per your called code, which is at most once per 1 second. Thinking further : you could, however print $var[1], $Var[2], $var[3] (up to 10) within the one call. While this would work and you could show to yourself 10 elements of the array per (say) 1 second, you would have a table with 200 last occurred rows and when applied to a more volatile instrument (Nasdaq, EUR/USD), you would see at least a few rows with some different values (each row represent the 10 captured tick’s data).
In order to let this work for real, there needs to be a base variable that increases with 10 each call, so what you print would look like
Base = Base + 10
Print $Var[Base+0]
Print $Var[Base+1]
Print $Var[Base+2]
[…]
Print $Var[Base+9]As you noticed, I am from the Delegation Department. 🙂
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I am not sure I have completely understood what your topic is all about, as I did not read ALL posts.
I just want to point out that arrays are updated every tick, so you could store any incoming price tick in a huge array. This example shows the array growing live, be it in a Daily, 1-minute or 1-second timeframe:
1234567defparam drawonlastbaronly=trueif islastbarupdate theni = lastset($var) + 1$var[i] = closedrawtext("#i#",barindex,high * 1.002)endifreturnif you comment out the islastbarupdate IF…ENDIF block, the count will start from the first preloaded bar.
@PeterSt from some of you earlier comments
“Doing things in a loop to retrieve ticks (tick values) is not going to work;”
This is what I found while creating a multidimensional array using loops. The values were different to what I was expecting. The values at the time, appeared to be related to the tick values. Further analysis confirmed they were, kind of, but, multiple elements of an array had the same value and some values were missing. In conclusion I put this down to the execution time of the iterations of the loop driving ‘when’, in time, the array index changed. Also, the size of the array was linked to the number of iterations loop set at.
Following on from that, the earlier a=a+1 example, appeared to show a way of possibly creating an index value based on the signals/ticks, maybe independent of the loop execution time, since it wasn’t in a loop.
” I am not saying that you confuse things, but it is easy to be confused when looking at the several “dimensions” which may occur. A few things on this :”
I’m in agreement here, I consider myself a newby at best. That means I’m unable to see the big picture, and at best looking at a small area of nuts and bolts. Other having a bigger sight of the picture may see the relationships of certain things interacting, where I may not. However, comments that go over my head are good because it gives me insight to look at areas I wasn’t aware of, or challenge my current thinking on an area.
From a different dimension point of view, I see three dimension at play at this level.
BarState as I called it, barCall, and the call of strategy code, I think you are, only happens once a bar, and is when the bar ends and the normal variables current values are historicized etc. These values become fixed, has you describe. The only way around changing when this happens, is to move to a different timeframe which offer that level resolution. Period.
I’ve not attempted to do strategy code on any tick chart, i’ll look at that, no comment.
TickState as I called it, and signals, you referred, as I interpret it, is the movement of ticks on the 1 tick chart. These affect every timeframe as the updating of the current close price. The last received tick is the close on every timeframe.
“you can not store data per tick.”
Because of the barstate/barCall execution of the strategy code, only one value per normal variable can be stored, so multiple ticks could not be stored in a normal variable. However, that’s were arrays are useful, carrying their element values across the barstate to the next bar.
The third dimension, i’m calling executionState, This would be the time the code lines take to execute. Now unlike barState, the code appears to somewhat run, or more likely variables are update with the tickState tick, more than once. I assuming here its triggered by the TickState when a new tick change happens. However in a loop, the loop execute the iteration as fast as it can in time. The execution of the code creates a small delay, which can increase substantial more when loops are used.
“And what I was suddenly seeing in my previous post, is that an Array element could persist its given value per tick in the Signal code after all. And what it requires is looping through the array in the calling TIMED Strategy code and add its values in order to prove it.”
This is where I’m at with it, if you can create a tickState signal to drive array indexes, the values stored in the elements are carried across the barstate to a new bar. Because the latest tick represented the change the current timeframe close value, the same ticks are avaliable on all time frames.
Now i’m not saying this would be generally useful, however it could be possible, the application of it, I don’t know.
Just to speculate, you could say display 5 minute candles on a hour chart, however ,you couldn’t plot using the x-axis 1hour time base, but could create a basic mini chart window using the draw/anchor commands.I knock up a program to see if the tick values could be capture in an array, based on above. See image.
The columns, yellow = array index, white = tick value, red = TF barindex, blue = time, these value are represented at the time of capture.
“Only think I have come up with is, the chart build is retrieving one value per bar, and after, its updated by the ticks. in real time.”
Looking at the barindex and time values, it appears to prove the one value per bar at chart build.
Also example, is 1 minute chart, on chart build the seconds are all ’00’ as expected for 1m, and each value is associated to one bar.
When chart is built, this changes, multiple ticks per bar and the seconds change with ticks.The line of the graph shows change between, chart build and real time, moving from a linear change to a acute change in angle.
I’ve not scrutinised the data in depth but, appears to hold up at first glance. How this can be processed needs further work!.
The code file, lists the data.
The list can soon run off screen depending on window size, larger window better, along with, maximise panel and full screen.
The variables ‘c’ column length can be changed to set the number of rows displayed in a columns to fit window.When off screen re-adding the indicators reset to default bars, 25 units keeps start bars to 500-600 where list may be short enough to see end.
The sole number at the top, is the current max size of index value of array creating the indexes for the other arrays..
12345678910111213141516171819202122232425262728293031323334353637383940414243444546defparam drawonlastbaronly = trueonce $arr[0] = 0once $arr2[0] = 0$arr[0] = $arr[0] + 1 // generate array indexx= $arr[0] // index value for arraysprint($arr[0])$arr2[x] = close // tick closeprint(close)$arr3[x] = barindex // tf bar at tickprint(barindex)$arr4[x] = time // tf time at tickprint(time)v=0 // default for column countercs = 250 // column group spasingb=-cs // reverse indent for start of first columnc=165 // column lengthif islastbarupdate thenfor i = 0 to lastset($arr2)cl = $arr2[i] // tick valuebx = $arr3[i] // barindex of TFtm = $arr4[i] // time at tickif i mod c = 0 thenv = v+1 // column counterb=b+cs // column spacingendifii=i-(v*c)drawtext(i,20+b,-50+(ii*12))anchor(topleft,xshift,yshift)coloured("yellow")drawtext(cl,100+b,-50+(ii*12))anchor(topleft,xshift,yshift)drawtext(bx,160+b,-50+(ii*12))anchor(topleft,xshift,yshift)coloured("red")drawtext(tm,210+b,-50+(ii*12))anchor(topleft,xshift,yshift)coloured("aqua")nexty = lastset($arr2)drawtext(y,-50,-20 )anchor(top,xshift,yshift)endifreturn $arr[0]1 user thanked author for this post.
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