Signal Bender

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SignalBender
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Postby SignalBender » Wed May 19, 2010 6:01 pm

tmanbone wrote:Must be my military background....


The military types are my favorite - dress blues were my color and "exploit the weather" was our motto. Aircraft and Rocket model builder from childhood, USAF-ROTC U.C. Berkeley, FAIP T-38, F-15C/E (DSI & DSII), 65th AS Nellis and TPS graduate. I love protocol.

I hope to get back to building some really cool rockets some day. 1/4 to 1/2 scale this time (yes, 1/2) with the capability of reaching mach numbers. Ought to be a lot of fun!

What's your drug of choice, oh, I mean hobby of choice - outside of trading?

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SignalBender
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Postby SignalBender » Wed May 19, 2010 7:02 pm

TheRumpledOne wrote:Every now and then you may have to delete the mqlcache.dat file to get recompile everything.


Hmmm. Did not know that, thanks.


TheRumpledOne wrote:Note there is a limit to the number of indicators you can have compiled and available.


This sounds potentially nasty with a system having as many "indicators" as this one does. What's the number? This seems very important as it might require the clustering of indicators to reduce the number below that which MT4 will allow. I never knew this - good to know.

Well, I'd like to make the transition to MT4, first - before converting to PTL, so that I can have my base code in the "leading" platform. But, too many limitations like this might spoil the party and force an all out C++ or .Net C-Sharp implementation, which is not something I look forward to with great anticipation.

Maybe, I've created a monster in Excel. Competing architectures can often times be a pain in the neck to convert and synthesize. Oh, the joys of trade systems development and conversion. Geeeepers.

SignalBender
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Postby SignalBender » Wed May 19, 2010 7:05 pm

All:

I put this together recently:

Image

The idea here is as follows:

a) Take advantage of ProTrader Multistation's flexibility and trade controls. (better trade control = optimized revenue generation)

b) Give Excel Engine unfettered access to lower time-interval OHLC data in real-time. (keeping Excel Engine in the game - without recreating the core Engine elsewhere)

Essentially, in the above conceptual powerpoint, there would be two (2) connections to the MT4 server: 1) A .Net Excel Surrogate Database using the Intermediaries SDK; and 2) The ProTrader Multistation trading platform using the PTMS SDK. Note: The connection from MT4 to PTMS would be for the data feed and trade execution. The connection from MT4 to the .Net Excel Surrogate Database would be for the data feed only.

The Excel Engine (the system) would then have two (2) connections of its own: 1) To the .Net Excel Surrogate Real-Time Database; and 2) To a .Net Trade Control Panel (a .Net Form) embedded within PTMS. Note: The connection to the .Net Excel Surrogate Real-Time Database would give the Excel Engine (the system) a direct link to properly formatted OHLC real-time data. The connection to the embedded .Net Form inside PTMS, would allow the Excel Engine (the system) to send properly formatted output that PTMS can use to execute trades against the MT4 server.

So, Excel gets data that it can work with and then outputs its signals to an embedded .Net Form used to control the auto-trade execution of PTMS against MT4. This way, trade system development (improvements) can always be maintained in Excel and reflected in PTMS via the embedded .Net Form Control.

Yes - I've read that you can create an Excel RTD Server and simple feed it with DDE from MT4. However, Excel won't know what to do when the connection between MT4 and the Excel RTD Server is broken, causing a gap in the data. Excel won't be smart enough to go back and populate the missing data in the appropriate cell locations. Because of this, I came up with the idea of a ".Net Excel Surrogate Database" that the Excel Engine can Link to just like it were a normal Excel Spreadsheet.

In this way, the .Net Excel Surrogate (a .Net Form based Application) would be "smart enough" to recognize when and where gaps in the DDE data have occurred and run its own auto-population against its own "surrogate cells." When the MT4 Server comes back online, the Excel Engine (connected to the .Net Surrogate) will always have contiguous bars of data to run its calculations against without synthetic gaps created by network outages and the like. Thus, no bogus signals born of gap data ever pass through to the PTMS trade control.

This is what the diagram shows above. Does anybody see a problem with this, given the real-time data limitations of Excel?

In my second career, I was a enterprise software systems engineer/consultant. So, I like designing multi-tiered systems that work. However, I was not a Developer, responsible for coding the system's points of connection. My concept here, is based on my knowledge of technology as it "was" when I was in the business.

Technology moves very fast, so there may be other technologies that you guys are aware of that would improve the design. Please bring them forth if you have them. I've spent the past 7 years developing "trade technology" not computer technology, so I need all the help I can get on that end.

Thanks! :)

SignalBender
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First Addition: Averages

Postby SignalBender » Wed May 19, 2010 7:41 pm

Ok, so - been looking at the data and the charts, along with price behavior and I must say that my mind is exploding with new ideas. The first optimization step I'd like to check out, would be the creation of a new class of Indicators. Since TRO is on a 'working vacation' maybe some of you with MQL skills can rise to the challenge. You already have Omega, H-Scale, LocBind, TCD-Long and TCD-Short. I'd like to look at the following additions:

TCD-Long-Ave

Category: Indicator
Class(es): Magnitude (1) & Direction (2)
Level: Secondary
Presentation: Line and Histogram
Mathematics: TCD-Long-Ave = (1 Bar High - 2 Bar Low) for N iterations / N

TCD-Short-Ave

Category: Indicator
Class(es): Magnitude (1) & Direction (2)
Level: Secondary
Presentation: Line and Histogram
Mathematics: TCD-Short-Ave = (1 Bar Low - 2 Bar High) for N iterations / N

Where, 1 Bar = Current Bar, 2 Bar = Next Contiguous Bar, N = Number of Bars total.

Notes:

TCD-Long (for example) plots the Absolute Value of the calculation, the absolute extremes. TCD-Long-Ave (in difference) should plot the MovingAverage of TCD-Long Absolute. So, the Line or Histogram of TCD-Long-Ave, should be composed of Moving Average values only, not Absolute Values. This should produce a different looking TCD signature and hopefully provide even more insight into market behavior inside the "Trend."

Whomever wants to tackle that one wins the Pink Elephant in the corner of the gallery!

Of course, what would be really cool, is if you could find a way to plot the TCD-Long-Ave Line overlaying the TCD-Long Absolute Histogram. This would show the TCDs in both Absolute and MovingAverage all in the same window and where BOTH are using the same Zero Line.

That would win you both the Pink Elephant and the Blue Monkey sitting in the corner!

Buckle-up, the ride gets pretty steep from here, folks. :idea:

oldmangeezer
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One Heck of a Set-Up

Postby oldmangeezer » Wed May 19, 2010 7:53 pm

SignalBender that is one heck of a set-up.

Just a question for you and others. The MT4 server that you are retrieving the data feed, does every MT4 Platform (Broker) use the exact same data feed. Does each individual broker's MT4 platform use different different OHLC data based on that brokers buy/sell flow?

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TheRumpledOne
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Postby TheRumpledOne » Wed May 19, 2010 9:08 pm

Image

I WANT MY PRIZES!!

TRO_SignalBenderAvg attached.


PLEASE DO NOT POST MY CODE ON OTHER FORUMS.
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Postby tmanbone » Wed May 19, 2010 9:21 pm

SignalBender wrote:
tmanbone wrote:Must be my military background....


The military types are my favorite - dress blues were my color and "exploit the weather" was our motto. Aircraft and Rocket model builder from childhood, USAF-ROTC U.C. Berkeley, FAIP T-38, F-15C/E (DSI & DSII), 65th AS Nellis and TPS graduate. I love protocol.

I hope to get back to building some really cool rockets some day. 1/4 to 1/2 scale this time (yes, 1/2) with the capability of reaching mach numbers. Ought to be a lot of fun!

What's your drug of choice, oh, I mean hobby of choice - outside of trading?


Used to be a wannabe rock and roll star. Click on my name, then my website. I studied the blues guitar quite a bit before I got hooked on trading. Cheers,
"The simplicity of the markets is it's greatest disguise"

T

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bredin
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Postby bredin » Wed May 19, 2010 9:28 pm

SignalBender wrote:Ok - then is there away to prevent the over-painting that takes place within the current histo-bar being painted, such that both TCD values (Dominant and Subordinate) show in their respective quantities? Or, is this a non-workaround MT4 technical limitation, as some else has already stated in this thread?


There are two workarounds, TRO used one when he used differeing widths for the histograms, the second would involve using a third buffer which paints the hidden bars on top of the longer ones, like this

Image

Im not sure its easily readable tho.

G.
Attachments
II_SignalBenderHistogram.mq4
based on TROs code, broken by me
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Last edited by bredin on Wed May 19, 2010 11:01 pm, edited 1 time in total.
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TheRumpledOne
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Postby TheRumpledOne » Wed May 19, 2010 10:29 pm

Brendin... please rename the indicator if you modified it.. Remove TRO_ from the name.

Thanks.
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bredin
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Postby bredin » Wed May 19, 2010 11:02 pm

TheRumpledOne wrote:Brendin... please rename the indicator if you modified it.. Remove TRO_ from the name.

Thanks.
Apologies, and fixed.

G.
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