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Direct MessagesDate/Time: Sat, 27 Apr 2024 19:20:58 +0000
[Programming Help] - Totaling Volume using ACSIL During Replay Mode
View Count: 1007
| [2018-11-04 09:25:04] |
| Yoda - Posts: 106 |
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I'm creating an ASCIL study that sums volume between midnight and 08:30 a.m. When I first apply the study to a chart (what I refer to as "non-replay mode"), it correctly calculates the volume. However, it doesn't work during Accurate Trading System Back Test Replay Mode (with tick data). Let's say we have a 15 min bar with 3 trades each with volume of 300 (for a total of 900 for the bar). To retrieve the overnight volume I'm using: NightlyVolumePersist += Volume[sc.Index];
In non-replay mode, Volume[sc.Index] pulls the volume of each candle (so 900 in the above example) and correctly assigns the 900 to NightlyVolumePersist. However, in replay mode, Volume[sc.Index] is returning the following volume figures: 300 600 900 Therefore the NightlyVolumePersist variable is now showing total volume for the 15 min candle of 1,800 (300 + 600 + 900). Can anybody help me and suggest code that I need to use that will work both in replay and non-replay mode? |
| [2018-11-05 21:55:51] |
| Yoda - Posts: 106 |
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For those reading this post at a later date, I thought I would provide a quick update. I've made a number of changes to the code, but I found a key change to get this to work was to replace: NightlyVolumePersist += Volume[sc.Index];
with: sc.CumulativeSummation(sc.BaseData[InputData.GetInputDataIndex()], Summation, sc.Index);
where InputData is a SCInputRef variable set to SC_VOLUME and Summation is a sc.Subgraph variable. |
| [2018-11-05 22:08:13] |
| User90125 - Posts: 715 |
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Try sc.CumulativeSummation(sc.Volume, Summation, sc.Index);
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| [2018-11-05 22:14:06] |
| Yoda - Posts: 106 |
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thank you User212764, sorry I wasn't clear, but it is working with: sc.CumulativeSummation(sc.BaseData[InputData.GetInputDataIndex()], Summation, sc.Index);
With your suggestion, you are hard coding sc.Volume whereas my method above makes it a setting that the user can change. |
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