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

August 11th, 2013, 05:22 AM

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

August 11th, 2013, 08:45 AM

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

Regards,
Neil.

August 11th, 2013, 08:56 AM

NW27

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?

August 11th, 2013, 05:30 PM

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

Regards,
Neil.

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

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