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Range Bar in kdb
Hi all,
I am a new kdb user, i’m trying step by step to transform backtest logic written in Python into q language. Specifically, I am encountering problems replicating logic for constant range bars (https://help.cqg.com/cqgic/19/default.htm#!Documents/rangebarrb.htm).
If I am not mistaken, conceptually, the scan logic should be used to replace a traditional for loop, but unfortunately, I cannot achieve the desired result.
Below, I share very rudimentary code that runs correctly but is actually very slow. Any suggestions to adapt this logic efficiently?
Thanks
// Constant range bars, the bars update each time the “high – low” target is reached
rangeBars:{[lastPrice; rangeTarget]
candle: enlist 1;
cumulativeRange: 0;
candleIdx: 1;
high: first lastPrice;
low: first lastPrice;
loopFn: {[params]
lastPrice: params 0;
rangeTarget: params 1;
cumulativeRange: params 2;
candleIdx: params 3;
high: params 4;
low: params 5;
candle: params 6;
index: params 7;
/ Update high & low
if[lastPrice[index] > high; cumulativeRange+: abs lastPrice[index] – high; high: lastPrice[index]];
if[lastPrice[index] < low; cumulativeRange+: abs lastPrice[index] – low; low: lastPrice[index]];
/ Trigger cond
triggerCond: cumulativeRange > rangeTarget;
/ Update Variables if trigger
if[triggerCond;
candleIdx+: 1;
cumulativeRange: 0;
high: lastPrice[index];
low: lastPrice[index];
];
candle,: candleIdx;
(lastPrice; rangeTarget; cumulativeRange; candleIdx; high; low; candle; index + 1)
};
/ Loop
params: (lastPrice; rangeTarget; cumulativeRange; candleIdx; high; low; candle; 0);
do[count lastPrice – 1; params: loopFn params];
:params 6;
};
lastPrice: 1.0500 1.0501 1.0502 1.0503 1.0504 1.0505 1.0506 1.0507 1.0508 1.0509 1.0510 1.0511 1.0512;
rangeTarget: 0.0003; / (3 pips)
rangeBars[lastPrice; rangeTarget]
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6 Replies
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Hi rgiu70,
not sure if this is what you are looking for, but if you have a table and just want to get the open, high, low, close by sym you can run the following query
</p><p>q)t:([] sym:20?AAPLMSFTC; price:20?100.0)q)t
sym price
————-
MSFT 39.27524
MSFT 51.70911
C 51.59796
AAPL 40.66642
MSFT 17.80839
C 30.17723
MSFT 78.5033
C 53.47096
MSFT 71.11716
AAPL 41.1597
AAPL 49.31835
MSFT 57.85203
C 8.388858
MSFT 19.59907
C 37.5638
AAPL 61.37452
AAPL 52.94808
C 69.16099
AAPL 22.96615
MSFT 69.19531
q)exec
ohlc!(first;max;min;last)@\:price by sym from t| o h l c
—-| ———————————–
AAPL| 40.66642 61.37452 22.96615 22.96615
C | 51.59796 69.16099 8.388858 69.16099
MSFT| 39.27524 78.5033 17.80839 69.19531
q)
`
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@laura would you mind formatting my answer? thanks
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Thank you for the response.
Specifically, I would like to create bars from a tick-by-tick dataset, where each bar has a specific range (for example, 10 pips). So, every time the max-min range is equal to 10, the “counter” should reset and start counting max-min again. Every time the range is greater than 10, a new OHLC bar is generated.
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This is a specific example for this type of bars (range bar chart):
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So it is necessary to:
- Map the cumulative (high – low)
- If the cumulative (high – low) is greater than the set range, then a new bar is generated, independent of time
- When a new bar is generated, the high – low “counter” must reset and start from 0
Unfortunately, I can’t recreate this logic with scan. In the example I shared, it is very rudimentary but it works. That is, every time the range exceeds the set value, an index number is incremented by 1 (new bar index).
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<div>It seems to me, you need to break when the range is met.</div>
f:{1+1_first -2#{x,last where z=abs y[last x] - y}[;x;y]\ [{0<=last deltas -2#x};0]}
where (1+til count c)!c:deltas f[lastPrice;rangeTarget]
1 1 1 1 2 2 2 3 3 3 4 4 4
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