Tutorial 38 - Using the ADE DLL (Dynamic Link Library) to Derive 'Big Bars'
Welcome to Markplex tutorial 38 in this collection of tutorials designed to teach TradeStation EasyLanguage programming skills. EasyLanguage is a programming language that was developed for the Tradestation trading platform that can be used to write programs to help in the trading of foreign exchange (forex), commodities (e.g. the e-mini), options and stocks. Please join our email mailing list if you have not already done so and we will let you know when we release new tutorials or programs.
In earlier tutorials I demonstrated several ways of showing higher time frame pricing information on a shorter time frame chart (e.g. 60 minute information on a 5 minute chart). As I mentioned before, in order to use a strategy's 'intra-bar-order-generation' capability it is not possible to have multiple data streams inserted into a chart. Although the tutorial demonstrates the principles by using an indicator, the method discussed in this tutorial would allow you to create a strategy without using multiple data streams and therefore could be used in a strategy with intra-bar-order-generation set to true.
Another advantage of using ADE to derive bars within a strategy is that its is then possible to set the 'big bar' interval (i.e. 60 minutes in this example) as an input which can then be optimized.
The following screen grab shows what our screen will look like after the tutorial is applied. The blue boxes show the equivalent 60 minute "big bars" derived from the ten minute bars. The cyan and magenta bars are actual 60 minute bars. The red indicator shows the 60 minute moving average based on the 'big bars' derived from the 10 minute bars.
In this tutorial we use several functions and a DLL included with the ADE (all Data Everywhere) DLL. In order to implement this tutorial you will need to install EL Collections and the ADE DLL, if you have not already done so. Full instructions for the install can be found on the Tradestation support site. I suggest that you also download and print out the ADE and EL Collection notes that are included with the downloads. You will find them invaluable as you explore other features of these extremely useful programs.
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ANY EASYLANGUAGE TRADING STRATEGIES, INDICATORS, SHOWME STUDIES, PAINTBAR STUDIES, PROBABILITYMAP STUDIES, ACTIVITYBAR STUDIES, FUNCTIONS (AND PARTS THEREOF) AND ASSOCIATED TECHNIQUES REFERRED TO, INCLUDED IN OR ATTACHED TO THIS TUTORIAL ARE EXAMPLES ONLY, AND HAVE BEEN INCLUDED SOLELY FOR EDUCATIONAL PURPOSES. BILLY FIRE LLC. DOES NOT RECOMMEND THAT YOU USE ANY SUCH TRADING STRATEGIES, INDICATORS, SHOWME STUDIES, PAINTBAR STUDIES, PROBABILITYMAP STUDIES, ACTIVITYBAR STUDIES, FUNCTIONS (OR ANY PARTS THEREOF) OR TECHNIQUES. THE USE OF ANY SUCH TRADING STRATEGIES, INDICATORS, SHOWME STUDIES, PAINTBAR STUDIES, PROBABILITYMAP STUDIES, ACTIVITYBAR STUDIES, FUNCTIONS AND TECHNIQUES DOES NOT GUARANTEE THAT YOU WILL MAKE PROFITS, INCREASE PROFITS, OR MINIMIZE LOSSES.
Tutorial 38 Part 1 Video - Create 'big bars' using the ADE DLL and associated functions
Tutorial 38 Part 2 Video - Create 'big bars' using the ADE DLL and associated functions
If you see any errors in this tutorial - or we have not made something clear, we would be most grateful if you could please let us know. E-mail us at: tutorials@markplex.com. Also, let us know if you have any ideas for new tutorials.