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Tutorial 158 | Replicating the CCI calculation using a price series provider

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A Markplex subscriber asked for a tutorial about calculating the Commodity Channel Index (CCI) using a TradeStation Price series Provider (PSP).

Tutorial 158 calculates the Commodity Channel Index (CCI) within an indicator, using the same calculation as the CCI function, but used inline in the program for the bars on the chart. A price series provider (PSP) is added to the program using the toolbox. Some initial configuration is done in the properties tab. Further setup for the PSP is done in a once statement: this includes code to load PSP data from the start of the chart, and to set the PSP time zone to be the same as the chart.

The CCI calculation is then ‘converted’ for use with the price series provider. Both the chart data and PSP data CCIs are plotted.

The program has been tested with minute bars.

Example of synchronization issues. The PSP CCI is blue.

PSPs and price data are not totally synchronized. This can result in certain price ticks occurring in the following or preceding bar. This, in turn, affects the CCI calculation. In the image on the right the cyan line is the CCI calculated using the chart bar data. The blue line is calculated using PSP data.

 

This tutorial only applies to TradeStation. It was written in version 9.5 and has been tested in version 9.5 and 10.

Programming notes

The tutorial program contains examples of the use of:

  • Price series provider
  • Determining if the chart is on exchange or local time
The chart and PSP CCI are overlaid with a CCI calculated using the CCI function

Tutorial 158 video

The unprotected and commented program (i.e. the TradeStation EasyLanguage Indicator):

  • _Tutorial158-CCI

is available for immediate download for $24.95 by clicking the following ‘add to cart’ button where you may pay with a credit card or by using PayPal.

The program is compatible with versions TradeStation 9.5 and above, including 10. It is not compatible with MultiCharts.

Questions and answers

Q. Could I ask why I would want to use this CCI instead of the standard version?

A. You might use it if, for example, you had a 5 minute chart, but you wanted to use a CCI based on a 60 minute chart. If used in a strategy and the strategy were optimized, the CCI bar interval could be a value that is optimized.

However the main purpose of the tutorial was to show how functionality could be ‘translated’ for use with a price series provider.

Q. You said that the PSP does not work for MultiCharts. Is there anything similar that will work in Multicharts?

A. I don’t beleive there is anything directly comparable. It is possible that someone has created something that creates similar results with MultiCharts.NET version, but I am not aware of anything.

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