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Ahrens Moving Average

This is a indicator associated in my journal:

https://nexusfi.com/trading-journals/32702-quant-s-perspective-building-trading-system-3.html

It is a adaptation of David Ahrens published in Stock and Commodities Oct 2013.

Details: Ahrens Moving Average

August 17th, 2014
Size: 1.88 KB

Creating a synced data List between Strategy and Indicator

SORRY EVERYONE, the first file I uploaded was incorrect. Please find correct file now.

This was created with the help of Ninja support. What it was created for was to be able to create a List and is synced between a strategy and indicator. The original purpose was to be able to override the Plot method of an indicator and use data from a strategy's list to be able to draw custom items. You can loop through the List that is synced to the strategy and give the ability to "create" a way to override the Plot method in a strategy.

Hope this helps a few people out.

Details: Creating a synced data List between Strategy and Indicator

August 12th, 2014
Size: 3.00 KB

BaBAR: Backfilling Bid/Ask Recorder to extend the usefulness of the GOMI toolset

BaBAR is a standalone application that creates live and historical tick data files for the GOMI toolset. Tab delimited output is also supported. ...

Please note: BaBAR will only work with an IQFeed connection as it is based on their proprietary data formats. (The IQFeed API)

I originally wrote this application to avoid the issue with GOMI toolset indicators and their derivations which required me to keep charts up all the time. NinjaTrader does not allow recording of historical Bid/Ask data, so disruptions for any reason would cause blank spots in my charts.

However once I got a ways into development, I realized it could be used for much more than that. This application is capable of grabbing Bid/Ask data from a wide range of instruments over a long time frame. Currently IQFeed provides 180 days of data, but as I store more data my sample size will continue to grow.

More recently, I extended the ability to write tab delimited files which include new fields provided by the latest IQFeed Client. These include millisecond resolution, market center and trade condition codes for each tick.

I now have Bid/Ask tick data in both GOMI binary and tab delimited format (with extended fields) for all futures contracts, the 100 most active ETFs and all of the equities that comprise the DOW, NASDAQ, and S&P 500 indices.

Besides having Gomi�s indicators ready to go on just about any chart I can think of, I can now use the GOMI family of indicators in strategy development for any of these instruments, as well as datamine using external applications.

I believe the tab delimited format can also be used for other purposes, including better tick aggregation, but I haven't fully explored that yet.

A NinjaTrader Export file format is also available, which is produces files for direct import into NinjaTrader.

If you like using BaBAR, please consider subscribing to the Official GomRecorder and QCollector Tick Data Sharing Thread, so that when other BMTers need data, you can help them out. Also in that regard, there is a folder in the BaBAR distribution called "Create Monthly Files for BMT Data Sharing Thread" which provides an automated way to create monthly data for the data sharing thread.

Current Version 1.4.5a

(Uploaded August 4, 2014)

The application remains the same, but the sample Gomfolder & related spreadsheets were updated, including a fix of a typo in the gold (GC) contract.

Support thread:

If you have any questions or comments, or run into any problems, please see the support thread.

Subscribing to this thread is suggested as it is where I will make announcements, etc.

Requirements:

This application requires an IQFeed data connection. A regular subscription will do however; it does not require a special developer or other license, and this app will run concurrently with your NinjaTrader or other trading platform. Note: Because data vendors have different APIs (internal data architectures) there is no way to adapt the application to other sources such as CQG, etc.
Gomi released an update of his toolset to version 2.6, which among other things has a change to help ensure that the indicators will be compatible with this application. If you use this application, be sure to update your GOMI toolset installation to the latest version, always available here: https://nexusfi.com/elite-circle/6802-gomrecorder-2-a.html
After installing version 2.6 of the Gomi Toolset, >>be sure to apply the patch<< included with the download.
If you currently have charts that use the GOMI toolset, the only other change required to use this application is to remove the GomRecorderIndicator from your charts as it is no longer needed, and to be sure that all other GOMI indicators on your charts have their �Write Data� property set to false.

Please Note:

Be sure to read the �READ ME FIRST� pdf file included in the package before installing or using the application. (And before asking for support please.)
This download is a ZIP file, but it is not a NinjaTrader import file. Do NOT import it into NT. Just open it with explorer.

Older Version 1.4.5

(Uploaded June 27, 2014)

This version fixes a problem that some users outside the US experienced.
Also the futures contracts in the sample instrument lists have been updated.

Older Version 1.4.1

(Uploaded December 6, 2013)

This version has a small change to take advantage of IQFeed extending tick storage to 180 days.

Older Version 1.4

(Uploaded November 1, 2013)

This version mostly fixes bugs, but it is more robust than the previous version. Documentation is updated as well.
This version gives the user the option to include implied trades or not. See the included document "BaBAR Tab Delimited Output Reference" for details.
The included patch to the Gomi Toolset is still required to ensure millisecond compatibility. Be sure to install it using the provided instructions.

Older Version 1.3

(Uploaded August 1, 2013)

In this version I took advantage of the new features of IQFeed Client Version 5.0.

Gomi Files now have millisecond resolution. For this to work correctly the current version (v 2.6) of the Gomi toolset must be used, and patched with the file included in the download.
Tab delimited file output now has a millisecond resolution option, and also supports extended trade information for each tick. The extended trade information includes the market center where the trade occurred, and up to 4 trade condition codes.

(Both of these features are discussed in the �Read Me First� document included with the download.)

Older Version: 1.2

(Uploaded June 26, 2013)

In this version I focused on output file formats.

For the Gomi output format, I added the ability to store each instrument in a separate folder, which I am finding is quite convenient for managing the various instruments in my GOMFOLDER.
I added Tab Delimited and NinjaTrader output formats. The former should be consistent with QCollector output.
I also fixed a number of small bugs, including one where the application appears to use a lot of CPU cycles.

Older Version: 1.1

(Uploaded Nov. 18, 2012)

I released this version mainly to ensure compatibility with the new IQFeed client (v4.9) which was released yesterday. Be sure to use this version if you update your IQFeed client.
Additionally, there is now more extensive error reporting and I made a number of small UI fixes.

Original version: 1.0

(Uploaded Oct 14, 2012)

Initial Version

Details: BaBAR: Backfilling Bid/Ask Recorder to extend the usefulness of the GOMI toolset

August 5th, 2014
Size: 571.32 KB

Lag Calculation for Octave (MatLab)

This script is inspired by John Ehlers works on using DSP for trading. His books and articles contain formulas that estimate lag for some indicators. However, how to estimate lag in general case?

This script uses the DFT Phase Response (PhR) to make this estimation. The negative shift in the PhR pushes the values to the right, thus delaying the signal. The raw PhR returns the angle value. However, we want to estimate lag in terms of bars (time delay). To do it, we need to take an account the frequency (or period) of the phase:

Lag = | min(Phase * Period) | = | min(Phase / Frequency) |

Then we need to take the minimal value and take its absolute value. We skip all frequencies above 0.5 (the maximum possible without aliasing).

Version: 0.1.1

Examples:

SMA(3):

>> a = [1];
>> b = [1/3,1/3,1/3];
>> lag(b,a)
ans = 1.0000

EMA(0.1):

>> a = [1,-0.9];
>> b = [0.1];
>> lag(b,a)
ans = 9.0000

Details: Lag Calculation for Octave (MatLab)

June 30th, 2014
Size: 2.17 KB

LowPassCycle for ThinkorSwim

This is the ThinkorSwim version of the LowPassCycle indicator. It is set to stlm2 emulation settings and it seems to work well on these settings. It does have problems painting correctly on lower settings. Feel free to update or modify the code.

Thanks

Details: LowPassCycle for ThinkorSwim

June 25th, 2014
Size: 1.19 KB

Keywords: cycles filter lowpass thinkorswim

LowPassFilter for ThinkorSwim

A trend indicator / filter that filters noise out.

Recommend you use 2nd order or 3rd order parameters.
1st order is just a sma presmoothed with another sma.

So for the "Order" Parameter the options are 1, 2, or 3.

Maybe someone can look into the code fix the calculation of bars on the left side of the chart.

Details: LowPassFilter for ThinkorSwim

June 24th, 2014
Size: 1.09 KB

Keywords: filter lowpass thinkorswim trend

LowPassFilter v1

Details: LowPassFilter v1

June 23rd, 2014
Size: 4.60 KB

Keywords: filter trend lowpass

LowPassCycle Indicator v2

A Cycle Indicator like the STLM2 but pliable.

Recommend 2nd order or 3rd order parameters.
1st order is just a sma presmoothed with another sma.

So for the Order Parameter the options are 1, 2, or 3.

Thanks

Details: LowPassCycle Indicator v2

June 19th, 2014
Size: 4.62 KB

ShowMeTheMoneyFlow

This indicator plots up to ten additional instruments on the same chart using percent change from daily open as the y value. There are some limitations:

1. Minute Charts Only! You can select the period, though.
2. Period parameter MUST match BasePeriod of Chart.
3. All Instruments MUST be of the same type as the Base Instrument -- ie -- Futures/Stocks/Forex.
4. Instruments MUST already exist in Instrument Manager.

Note: Chart can take a while to load as it is loading data from up to ten instruments at once.

Version 1.5 Update:

Fixed some issues with the Legend:

1. Larger Font
2. Corresponds to customizable Plot Colors.
3. New Lower Legend shows most recent values.

Version 2 Update:

1. Instruments of different types can be used.
2. Better error-handling.

Details: ShowMeTheMoneyFlow

June 6th, 2014
Size: 5.36 KB

Adaptive CCI using Ehlers calculated period

Put so much work into this that it seemed like a waste to leave it languishing in the Ninjatrader Indicators created free? thread. There are no dependencies on external indicators so all you need to do is put the cs file in your Indicator folder and compile (after removing any previous versions of this indicator that have the same CLASS NAME).

The Adaptive_CCI_db was developed by Mike Winfrey and Gumphrie in a galaxy far far away what seems like a long long time ago for NT 6.0. It needed to be completely recoded for NT7.

This indicator produces one plot, and one optional set of plots:

A single plot of the CCI index, with the option to dynamically adjust the CCI period based on the market cycle length per a rather old John Ehlers algorithm that does have some shortcomings. To choose this option set the period to 1. Selecting a period other than 1 will cause a standard CCI to be plotted, with the period selected.
Plots of alternate CCIs in addition to the primary CCI. The Alternate CCI's are standard CCI's with fixed periods. The number of alternate CCI's, the period value for the one with the lowest period, and the spacing of the periods are user selectable. Example: 10 alternate CCI's, fastest period = 20, spacing of periods = 2. This will plot CCI's with periods of 10 12 14 16 18 20 22 24 26 28.

Code is optimized to avoid unneeded calculations. All of the alternate CCI's are calculated by one algorithm. The alternate CCI's are completely optional. There don't need to be any, but there can be any number, within reason, please.

Details: Adaptive CCI using Ehlers calculated period

April 28th, 2014
Size: 28.70 KB

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