Users' Knowledge Base

When you trade in RT using automated trading, you must make sure that your Static Variables are unique to your system, i.e. they should not be global. Global variables can be accessed from anywhere, and you must make sure that there are no naming conflicts when you run different programs simultaneously in different panes or windows. You can do this by Keying the Static Variable name with a unique string. While you could type in this unique key each time you use a Static Variable, a simpler way is to define a Global key that changes with the environment that the formula runs in.

An easy way to do this is to replace (wrap) the Amibroker StaticVariable functions with custom functions that have an “x” prefixed to the AmiBroker function name, such as: xStaticVarSet(). The advantage of using a simple name modification is that you can quickly convert the functions from one type to the other using the AFL editor’s Replace function.

The Static Variables in the code below are keyed with the Name() and ChartID and, in most cases, this works fine. However, you can also key Static Variables with only the Name(), the System’s filename, or other unique strings. How you key a Static Variable depends on the required scope of the Static Variable. For example, to make a Static Variable common to all tickers traded you need to remove the Name() part from the key. Below are four functions that you can substitute for the standard ones:

global SVKey;
SVKey = Name()+NumToStr(GetChartID(),1.0,False);

procedure xStaticVarSet( SName, SValue )
{
global SVKey;
InIndicator = Status("Action") == 1;
if( InIndicator ) StaticVarSet(Sname+SVKey, Svalue);
}

function xStaticVarGet( SName )
{
global SVKey;
if( IsNull( Var = StaticVarGet(Sname+SVKey) ) ) Var = 0;;
return Var;
}

procedure xStaticVarSetText( SName, SValue )
{
global SVKey;
InIndicator = Status("Action") == 1;
if( InIndicator ) StaticVarSetText(Sname+SVKey, Svalue);
}

function xStaticVarGetText( SName )
{
global SVKey;
return StaticVarGetText(Sname+SVKey);
}

Edited by Al Venosa

Filed by Herman at 1:48 pm under Real-Time AFL Programming
Comments Off on Keying Static Variables

Fact: Without the use of Static Variables you cannot develop an automated trading system.

AmiBroker executes your AFL programs one line at the time, top to bottom. Unlike most conventional programming languages, it doesn’t ever hang around and wait for events unless you specifically want to do this (not recommended). In addition, AFL never re-uses values assigned to variables during the previous pass through the code, i.e. all variables are re-initialized at each chart refresh. This means that unless you use Static Variables you can never assign a value to a variable and retain its value over any length of time or pass it from one refresh to the next. RT Trading requires you to save many variables, such as Signals, OrderIDs, Position and Order status, and Timing.

In the case of transient signals, such as when the price briefly crosses your limit price, a buy signal is generated, but it will disappear on the next pass through the code if the RT condition no longer exists. When this happens, an order is transmitted, but you have no record that this ever happened. Then, if the same event takes place again a few seconds later, you’ll get another buy signal and another order goes out. With these multiple orders being sent to the TWS, you’ll be broke before you know what hit you.

This is where Static Variables offer the solution you need: they maintain values of variables and arrays until you change them or until you shut down AmiBroker. They give you a means to carry forward values from one execution to the next. This is the key mechanism used to prevent multiple orders from going out; there is no other way to do this. Of course, you could always check your position size, but, due to various delays, your code could execute several times before your position change was even acknowledged. It is a risk not worth taking and simply wouldn’t work.

Without the use of Static Variables, you cannot develop an RT Automated Trading system. Reading up on them in the users’ manual and understanding how they work and are implemented in AFL will prove to be your best investment in time.

Edited by Al Venosa.

Filed by Herman at 1:15 pm under Real-Time AFL Programming
Comments Off on Static Variables in RT Systems