-
Mix
Periodicity -Timeframe of the data that is loaded (tick,
1-min, 13-min, daily, etc)
-
Mix
Ticker - Allows the user to access another ticker (in
addition to another periodicity).
If this checkbox is checked, a text box is enabled where
the user must type in the ticker symbol desired (case
sensitive). MPD will then access the data for the periodicity and the
selected instrument. The data is right aligned to fit the actual
data in the chart.
-
Data
Source: Instrument
Data - Actual data element that is going to be loaded for
the timeframe above. The
data options are Last, Open, Close, High, Low, Hi + Lo /2, Hi +
Lo + Cl / 3, OHLC/4, % Change, Bid, Ask, Volume, Open Interest,
Hi-Lo Range, Op-Cl Range, Op+CL/2, and H+L+C+C/2.
-
Data
Source: Indicator -
The indicator option gives the user access to any of the
built-in indicators, including custom indicators.
The "Indicator Preferences" button allows the
user to specify the preferences for the indicator selected.
-
Indicator Preferences - This button allows the user to specify
the preferences for the selected indicator, when "Indicator" is
chosen as the data source.
-
Data
Source: Bars Back - This
indicator allows the user to
access data any number of bars in the past.
The preference is implemented via a checkbox labeled
"Bars Back" and an edit box where the number of bars
back is specified
-
Align Data To Proper Date/Times (Recommended) - When this checkbox is checked,
the data is expanded to match the actual date/times of the
underlying instrument in the chart.
One use of this option would be to draw tiered vertical
reference lines at the high or low of the day, within an
intraday chart. To
do so, open an intraday chart and add MPD with the preferences
"Daily", "High", and check
"Align Data" box. Similarly,
the 30-minute high horizontal lines could be overlaid on a
1-minute chart.
-
Refresh
Every Tick – When this box is checked, it will
force the window pane to redraw each tick, therefore bringing in
the new tick and moving the old ticks left. This is only
available when the "Align Data" option is unchecked.
-
Filter Out Zero Values - This option simply filters out
any results of 0, and then right aligns the remaining results.
This is only available when the "Align Data" option is unchecked.
-
Custom Statistical Result - These custom results give the
user the ability to see what's "inside" of a bar, by giving access
to data of a smaller periodicity or timeframe. Click
here for complete
details.
-
Compute/Display Last X Values -This setting dictates
how many bars or ticks of MPD values will be computed and
displayed.
A value of 50 means that the MPD values will only be
computed and displayed on the most recent (rightmost in a chart)
50 bars.
-
Draw
Type -The data may be drawn as a Histogram (solid or hollow)
or a Line (continuous or connected). Histograms are recommended
for volume data.
-
Color and Style -The data can be drawn in any color.
If the data is drawn as a histogram, two colors will be
presented (one for Up and one for Down).
If the data is a line, the color, style, and width may be
chosen.
|
|
The Mixed Periodicity Data Indicator (MPD) gives the user access to different periodicities of data than the periodicity of the underlying instrument or scan. The MPD preferences ask for both a periodicity and the data (price) from that periodicity that will be displayed. MPD essentially loads data of another periodicity, the right-aligns it to the data of the underlying instrument or scan. The MPD data will not generally reflect the date/times show in the horizontal scale along the bottom of the chart. MPD should be consider on it's own scale. You can point at any MPD element to get the date/time of that element in the pane title feedback. There are quite a few ways that this indicator may be used. The best way to describe MPD may be to give you a few examples of how it might be used.
Tick Count
This example allows you to count the number of ticks inside a bar of
any larger periodicity. The chart itself can be of any periodicity: 1-min, 5-min,
22-tickbar, 15-second, daily, etc. The settings for MPD for this example follow:
These MPD setting can be seen in action below, added
to a 5-minute chart of INTC.
Daily Data on Intraday Chart
(This example can be seen in the chart and preferences at the
top)
This example can be configured to be rather efficient. MPD allows daily data (or longer term intraday data) to be shown on intraday charts, giving the user a quick look at the bigger picture. In this example, MPD will represent daily data on a 1-minute chart. Open up a 1-minute chart and add MPD with the following settings.
and Recalculate every 1 minute (doesn't need
to be updated very often since it's daily data)
If you point at the MPD elements, you'll see that each element actually represents a day. The rightmost element will represent the current day. Going left from there, each element represents the previous trading day.
Daily Volume on Intraday Chart
This example works just as the example above, but gives the daily volume drawn in histogram form on your 1-minute chart. The preferences for the MPD follow:
and Recalculate every 1 minute (doesn't need
to be updated very often since it's daily data)
Multi-Periodicity Scanning
Currently, this only works with real-time scanning and is not recommended for viewing historical scan/signal results using scan/markers, etc. With
MPD, you are given the ability to scan multiple periodicities of data within the same scan. For instance, if you were running an intraday scan on 5-minute data, but you also wanted to reference daily data. As a simple example, let's assume you wanted to look for the 10-period 5-minute moving average to be above the 10-period daily moving average. You would setup you MPD up to represent the "Last" price of "Daily" data. You would then run the following scan on 5-minute data.
MA > MA(MPD)
MA would represent the 5-minute moving average. MPD would represent the daily closing prices. MA(MPD) would represent the moving average of those daily closing prices.
Bars
Back Option
An example, a user may wish to access the previous day (session)
high on an intraday, 5-minute chart.
In the past, in order to do something like this, it was
necessary to first create a custom indicator with the syntax
"HI.1", and then use the custom indicator as the data
source within the MPD preferences.
In and effort to eliminate the need for this extra,
time-consuming, step of creating a custom indicator, the "bars
back" option was added. Now,
the previous day's high can be accessed by simply specifying
"Mix Periodicity: Daily", "Data Source: Instrument
Data: High", "1 Bars Back", and "Stretch"
checked. No more need
to create a custom indicator. This new method is not only less time consuming during setup,
but also more efficient internally.
This method could be use to access the low two days ago,
yesterday's moving average, yesterday's close, the CCI three days
ago, etc., all without the use of an intermediate custom indicator.
Custom Statistical Results
Several new "Custom Statistical Results" have been added to the
Mixed Periodicity Indicator. These custom results give the user the
ability to see what's "inside" of a bar, by giving access to data of
a smaller periodicity or timeframe. For instance, on a 1-minute
chart, you can get a look inside each 1-minute bar at the tick data
that composed it. Similarly, you could look inside each 30-minute
bar at the 1-minute bars that composed it, or inside each monthly
bar at each daily bar that composed it.
The new custom results include Sum, Average, Maximum, Minimum,
First, Last, and Count. Each result is further explained below. As a
relatively example, let's assume we have added MPD (with Mix
Periodicity: 1-minute) to a 10-minute chart. One specific 10-minute
bars has the following characteristics: High = 99.5, Low = 98.8,
Open = 99.0, Close = 99.3. In the MPD, we'll choose a Data Source of
"Instrument Data: Close". "Align Data To Proper Date/Times" is also
checked. Each 10-minute bar is composed of 10 1-minute bars.
Therefore, within our 10-minute bar above, we have 10 1-minute bars
with the following closing prices: 99.1, 99.3, 99.2, 99.1, 98.9,
98.8, 99.1, 99.4, 99.5, and 99.3.
Sum: Sums all the "data" values within the bar. In the example
above, each 10-minute bar is composed of 10 1-minute bars. The
closing price of the 10 1-minute bars would be summed for a result
of:
99.1 + 99.3 + 99.2 + 99.1 + 98.9 + 98.8 + 99.1 + 99.4 + 99.5 + 99.3
= 991.7
Average: Averages all the data values within the bar. In the example
above, each 10-minute bar is composed of 10 1-minute bars. The
closing price of the 10 1-minute bars would be averaged for a result
of:
(99.1 + 99.3 + 99.2 + 99.1 + 98.9 + 98.8 + 99.1 + 99.4 + 99.5 +
99.3) / 10 = 99.17
Maximum: The Maximum of all the data values within the bar. In the
example above, the maximum value is 99.5 (which corresponds with the
"high" price of the 10-minute bar).
Minimum: The Minimum of all the data values within the bar. In the
example above, the minimum value is 98.8 (which corresponds with the
"low" price of the 10-minute bar).
First: The first data value within the bar. In the example above,
the first value is 99.1 (the closing price of the first 1-minute bar
within the 10-minute timeframe). Notice that this first value (99.1)
did not match the opening price of the 10-minute bar (99.0). If,
however, a data source of "Instrument Data: Open" would have been
chosen, then these two values would have matched at 99.0.
Last: The last data value within the bar. In the example above, the
last value is 99.3 (the closing price of the last 1-minute bar
within the 10-minute timeframe). Notice that this last value does
match the closing price of the 10-minute bar.
Count: Count of all the data values that exist within the bar. In
the above example, the count is 10, and the count would always be 10
in this case on all bars except the current forming bar (for which
the value will build from 1 to 10 as the bar forms). This custom
result might be more effective when using an MPD periodicity of
"tick", providing the ability to "count" the number of ticks inside
each 1-minute bar, each 15-second bar, each 30-minute bar, or even
each Daily bar.
Although the example above is relatively straightforward, the ways
in which these new results can be used are essentially countless.
Instead of a data source of "close", a user can choose any technical
indicator, including volume or custom indicators, or any other
instrument data, including custom prices. Also, the ability to "Mix
Ticker" remains, giving the user to count to display the number of
times MSFT ticked inside each 1-minute bar of INTC, on a 1-minute
chart, for instance.
Here are some other examples of how MPD could be used with the new
custom results.
- Show the highest (maximum) volume of all the ticks (trades) within
each 15-second or 1-minute bar. The "Maximum" result would be used
with a periodicity of "Tick" and a data source of "Instrument Data:
Volume".
- Show the number of ticks that were used to compose any time-based
bar (1-minute for example). The "Count" result would be used with a
periodicity of "Tick" and a data source of "Instrument Data: Close"
(data source is really irrelevant here, but using this one would be
most efficient).
- Show the average of the closing prices all the daily bars that
compose a monthly (or weekly) bar. The "Average" result would be
used with a periodicity of "Daily" and a data source of "Instrument
Data: Close". |
VIDEO: Running
an Efficient MPD
- this video is strongly
recommended for anyone
using MPD.