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compute ema10 1min 5min from intraday 1sec - need help
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compute ema10 1min 5min from intraday 1sec - need help

  #1 (permalink)
Trading Apprentice
Vienna Austria
 
Futures Experience: Beginner
Platform: own system basen on E*Trade api
Favorite Futures: Stocks,options
 
Posts: 2 since Aug 2013
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compute ema10 1min 5min from intraday 1sec - need help

Hi! I am creating own trading system. I have classic formula to compute ema (exponencial moving average) using last ema value if exists else use SMA (simple moving average) value. When ema10, ema20 - the number 10, 20 define value for multiplier.

i want create this strategy using c++:

If stock 5min 20 ema crosses above the 5min 50 ema....and if the call option 1min 10ema crosses the 1min 20ema....place option in alert window

I am getting intraday record for my stock/option every 1 second in cycle (or in another period when i need). I need to know how to compute for example 1min or 5min ema10 from my input data.

[Q1] if 1min ema10..than i need:
A) compute ema10 1 time per every 1 minute ? (using input to new ema value before 1min)
B) compute it in every iteration when data come (i get data every 1 sec) and then i need to store computed value 1 time per minute?

[Q2]
when starting to compute 1minute ema10 i need to compute simple moving average SMA from first x values[maybe10] and use SMA as first ema input. From this i conclude: i will get first ema10 1min after 10 x 1 minutes = 10minutes? I am creating short term trader and i think this is too long init time for ema10 1min. Is this correct computing process?

Thanks for helping me


Last edited by slovakfreelancer; August 12th, 2013 at 02:58 AM. Reason: correcting
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  #2 (permalink)
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  #3 (permalink)
Elite Member
Newcastle, Australia
 
Futures Experience: Intermediate
Platform: Multicharts 8 - Full Version
Broker/Data: IB
Favorite Futures: SPI,FTSE100, 6E, 6A
 
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Why not just use ema600 as the ema10 of the 1 min?

Regards,
Neil.

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  #4 (permalink)
Trading Apprentice
Vienna Austria
 
Futures Experience: Beginner
Platform: own system basen on E*Trade api
Favorite Futures: Stocks,options
 
Posts: 2 since Aug 2013
Thanks: 0 given, 0 received

my strategy


NW27 View Post
Why not just use ema600 as the ema10 of the 1 min?

Regards,
Neil.


i want create this strategy using c++:

1. If stock 5min 20 ema crosses above the 5min 50 ema....and if the call option 1min 10ema crosses the 1min 20ema....place option in alert window

i read intraday data about stock and option every 1 sec... i need to know how to compute 1min or 5min ema from my input data.

if 1min ema..than i need to compute it 1 time per every minute ? or i need to compute it in every iteration when data come (every 1 sec) and then store this value 1 time per minute?

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  #5 (permalink)
Elite Member
Newcastle, Australia
 
Futures Experience: Intermediate
Platform: Multicharts 8 - Full Version
Broker/Data: IB
Favorite Futures: SPI,FTSE100, 6E, 6A
 
Posts: 285 since Oct 2010
Thanks: 108 given, 177 received

My reply still stands, ema600. Ie ema10 on a 1sec chart * 60 seconds.

Regards,
Neil.

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