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Tutorial 138 | Stochastic calculation based on a Price Series Provider

Plotting a stochastic from a higher time frame on a lower timeframe chart

Video based tutorial 138 demonstrates how to plot a stochastic (FastK) and a smoothed stochastic (FastD) for a 15 minute chart, on a 5 minute chart using the Price Series Provider (PSP). The program demonstrated in this tutorial is free to Gold Pass members and can be downloaded by others at a nominal cost.

Unfortunately, this program does not work with MultiCharts.
A tutorial 138 workspace. The 5 minute chart is shown on the left (displayed with a calculated stochastic as if it were a 15 minute chart. On the right is a 15 minute chart with a Stochastic FastK and FastD plotted.
The challenge of programming using the PSP is that it is not synchronized with the same data on a normal chart. In other words, the ticks arrive at slightly different times. This presents problems when trying to finalize calculations and plot the result at the end of the PSP bar and might lead to slight inconsistencies

Inputs and data settings

The tutorial program has the following inputs:

int StochLength( 14 ), // The stochastic length
int SlowLen( 14 ), // The length to smooth FastK to Fast D (using the legacy calculation)
int BarSpan( 15 ); // Bar span of the higher time frame chart (expressed in minutes)

The tutorial demonstrates various techniques including:
  • Creating a Price Series Provider with update event
  • Automatically setting the first datetime of the PSP is set to the datetime of the first bar after MaxBarsBack
  • Automatically setting the PSP to use local or exchange according to the timezone of the chart
  • Detecting when a real time PSP bar is over
  • Calculating the Stochastic and Exponential Moving Average for a PSP bar

How the tutorial 138 program works

Calculating FastK

For historic bars, the program checks for when the time of the PSP bar changes. It checks that the PSP count is sufficient and then calculates FastK using the standard stochastic calculation on the PSP data series: PSP.Low and PSP.High and the close of the current bar: PSP.Close[0]. It then stores the current time of the PSP in a variable which is monitored to detect when the time of the PSP bar has changed.

For real time bars, the standard stochastic calculation takes place in the PSP update event.

Calculating FastD (using an exponential moving average to smooth FastK)

For the historic bars, the program checks for when the time of the PSP bar changes. FastD is initially set to equal FastK. For subsequent bars FastD is set to equal the value of FastD the previous PSP bar plus the smoothing factor (calculated once) multiplied by FastK less the value of FastD the previous PSP bar. The value of FastD is saved to an intrabarpersist variable on the last tick of the bar.

An identical calculation is used for real time bars  in the PSP update event, except the value of FastD is saved to the intrabarpersist variable on the (PSP) bar close event.

Download

[download_box]The tutorial 138 indicator (_Tutorial138) is available for download for $29.95 by clicking the following link. The program works with TradeStation version 9.5 and newer versions. The tutorial program is available at no cost to Gold Pass members (see below). Make sure you are logged into your Gold Pass account.

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Free download for Gold Pass members

This content is for members only.

Video explanation of Tutorial 138 Part 1

Video explanation of Tutorial 138 Part 2

Please let me know if you see any mistakes or errors or have questions.

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