Coding

ATR-Based Quantity and Risk

Aug 05, 2013

The Average True Range (ATR) study takes the moving average of the true range over the specified period.

Definitions:

True Range = True High - True Low True High = The greater of the current bar's high or the previous bar's close True... more

Correlation and Relative Performance

Jul 29, 2013

The Correlation function in the CQG toolbox correlates the price movement of two symbols over a defined number of bars. For example, CORREL(CL,QO,10) will return the correlation between West Texas Crude on the NYMEX and North Sea Brent on the ICE... more

Using the Super Template

Jul 23, 2013

Some of the work traders do in building trading systems can be very creative and exciting, but unfortunately some of the work is not. In most cases, traders have a specific idea in mind that they want to test. They create an entry and the... more

Using Daily and Intraday Values of an Open Session

Jul 16, 2013

Here are some thoughts about extracting "daily" values inside an intraday market.

A common request is to calculate and plot a "daily close" value of a study based on an intraday time frame, such as five-minute bar data. With CQG this is... more

Only One Trade per Day

Jul 11, 2013

When it comes to coding your trading systems, allowing only one trade per day is by far the most frequent request.

In the example above, the session starts at 8:00 local time (see cursor) and the trading system produces three long... more