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Does Historical Testing with TickCount Require Gomi Recorder?
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Does Historical Testing with TickCount Require Gomi Recorder?

  #1 (permalink)
Elite Member
Ft. Lauderdale Florida
 
Futures Experience: Intermediate
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Posts: 16 since Apr 2010
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Does Historical Testing with TickCount Require Gomi Recorder?

Hello,

I want to create an OBV calculation that uses TickCount instead of Volume when Indy is applied to Volume Bar Chart.

Using logic like
 
Code
				if (BarsPeriod.Id != PeriodType.Volume) // Check for Volume Bars
				{
					if (Close[0] > Close[1])
						Value.Set(Value[1]+ Volume[0]);
					else if (Close[0]  < Close[1])
						Value.Set(Value[1] - Volume[0]);
					else
						Value.Set(Value[1]);
				}
				else if (BarsPeriod.Id == PeriodType.Volume) // Check for Volume Bars
				{
					Print("Current Bar = " + CurrentBar + " TickCount = " + Bars.TickCount.ToString()) ; 
					if (Close[0] > Close[1])
						Value.Set(Value[1] + Bars.TickCount);
					else if (Close[0]  < Close[1])
						Value.Set(Value[1] - Bars.TickCount);
					else
						Value.Set(Value[1]);
				}
But this seems to only work in Real-time. I want to use this for Backtesting. Basically TickCount Reports the same value for every Historical Bar.

So, I would like to know if this is something that would work correctly if applied to data files created with the Gomi Recorder? With the Gomi Recorded files does Bars.TickCount work correctly then? If not, are there special functions to call?

Thanks,
ATC

 
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  #3 (permalink)
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I'd like to know solutions/suggestions to this.
The lack of tick support makes my development process extremely difficult to debug, let along backtest.

I did some digging into Gomi but it seems majority of the discussions are on how to record data and using the enclosed indicators (ladder, cumulative delta, etc) instead of using its tick rendering engine as a replay/backtest framework.

 
  #4 (permalink)
Elite Member
Ft. Lauderdale Florida
 
Futures Experience: Intermediate
Platform: Tradestation
 
Posts: 16 since Apr 2010
Thanks: 31 given, 3 received

Much appreciated if someone can answer the following:

1) Can the GOM Recorder Data (Bid and Ask) be used to calculate Tick Volume for indicators such as OBV when applied to a Volume Chart?

2) Can the GOM Recorder Data be used for BackTesting?

3) Do I have to go through the Ninja Replay process?

Sorry .. Just learning Ninja and hitting a wall every day.


Thanks,
ATC

 
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