I'm currently converting a ThinkScript indicator to python, however, I've run into this piece of code and I'm kinda confused on how it works:
input rollingPeriodMinutes = 60;
def factor = (SecondsFromTime(Market_Open_Time) / (60 * rollingPeriodMinutes) / 100);
def rolloverTime = if factor == Round(factor) then 1 else 0;
rec H1 = compoundValue(1, if !rolloverTime then if high > H1[1] then high else H1[1] else high, high);
rec H = compoundValue(1, if rolloverTime then H1[1] else H[1], high);
I can't really understand what is stored at the end in the variable "H". Can you help me understand?
Any help is really appraciated!! Thanks
input rollingPeriodMinutes = 60;
declares (defines) and sets a variable, rollingPeriodMinutes, to a default value of 60. The input declaration indicates that the user will be able to alter this value in the thinkorswim settings for this script.
def factor = (SecondsFromTime(Market_Open_Time) / (60 * rollingPeriodMinutes) / 100);
declares and sets a variable, factor to a calculated value. This uses the rollingPeriodMinutes value, above, as well as the SecondsFromTime function and a Market_Open_Time variable that must have been set elsewhere in the script.
def rolloverTime = if factor == Round(factor) then 1 else 0;
declares and sets a variable, rolloverTime to a boolean based on the if statement. This uses the factor variable above (1 is true and 0 is false in thinkscript).
rec H1 = compoundValue(1, if !rolloverTime then if high > H1[1] then high else H1[1] else high, high);
rec H = compoundValue(1, if rolloverTime then H1[1] else H[1], high);
rec is actually the same as def and has been obsoleted. Previously, it specifically declared a recursive variable; now one would just use def regardless. See the notes below for more information.
CompoundValue is an easy statement in thinkscript, but complicated to understand from the Learning Center reference.
In short, the declarations for H and H1 are saying 'going back 1 bar: if no data is present, then use the if statement to determine a value; else if data is present, then use the high value.
Broken out, the algorithm for H1 (where high is a reserved word for the high price for a given bar) could look like:
let numBarsBack = 1
if (data is present for the bar at numBarsBack) then
if (!rolloverTime == true) then
if high > (H1 value one bar previous) then H1 = high
else H1 = (H1 value one bar previous)
else H1 = high // thinkscript sometimes requires a "default" in `if` statements, even if there's no 3rd possible value
else (if rolloverTime == true) then H1 = high
else (if data is not present for the bar at numBarsBack) then H1 = high
*** See my complete description of how CompoundValue works in thinkscript at the SO question "Understanding & Converting ThinkScripts CompoundValue Function".***
Notes:
SecondsFromTime, according to the current thinkscript Learning Center reference looks like:
SecondsFromTime ( int fromTime);
Description
Returns the number of seconds from the specified time (24-hour clock notation) in the EST timezone. Note that this function always returns zero when chart's aggregation period is greater than or equal to 1 day.
Input parameters
Parameter Default value Description
fromTime - Defines time from which seconds are counted, in the HHMM format, 24-hour clock notation.
The Learning Center reference for rec says this:
rec
Notice: this is an article about an obsolete thinkScript® notation. Although rec variables are still supported by thinkScript®, they can be completely replaced by def.
Syntax
rec
Description
Enables you to reference a historical value of a variable that you are calculating in the study or strategy itself. Rec is short for "recursion".
Example
rec C = C[1] + volume;
plot CumulativeVolume = C;
This example plots the cumulative volume starting from the beginning of the time period.
and, finally:
Remember that thinkscript code is executed for every bar in a selected period. Ie, if you're looking at 10 days with a daily period, there will be a bar for each of the 10 days; and the script will run a loop, repeating the code for each of those 10 bars. As a result, the variables will have appropriate values for each bar.
Although the OP is wanting to convert a script to Python, if someone comes here interested in how thinkscript works, there are tricks to keep a value constant for an entire script (though this section of code does not include examples for that). For information on how to do this in thinkscript, see my answer to SO question "thinkscript - How to create a variable that retains its value".
Related
Goal: perform rolling window calculations on panel data in Stata with variables PanelVar, TimeVar, and Var1, where the window can change within a loop over different window sizes.
Problem: no access to SSC for the packages that would take care of this (like rangestat)
I know that
by PanelVar: gen Var1_1 = Var1[_n]
produces a copy of Var1 in Var1_1. So I thought it would make sense to try
by PanelVar: gen Var1SumLag = sum(Var1[(_n-3)/_n])
to produce a rolling window calculation for _n-3 to _n for the whole variable. But it fails to produce the results I want, it just produces zeros.
You could use sum(Var1) - sum(Var1[_n-3]), but I also want to be able to make the rolling window left justified (summing future observations) as well as right justified (summing past observations).
Essentially I would like to replicate Python's ".rolling().agg()" functionality.
In Stata _n is the index of the current observation. The expression (_n - 3) / _n yields -2 when _n is 1 and increases slowly with _n but is always less than 1. As a subscript applied to extract values from observations of a variable it always yields missing values given an extra rule that Stata rounds down expressions so supplied. Hence it reduces to -2, -1 or 0: in each case it yields missing values when given as a subscript. Experiment will show you that given any numeric variable say numvar references to numvar[-2] or numvar[-1] or numvar[0] all yield missing values. Otherwise put, you seem to be hoping that the / yields a set of subscripts that return a sequence you can sum over, but that is a long way from what Stata will do in that context: the / is just interpreted as division. (The running sum of missings is always returned as 0, which is an expression of missings being ignored in that calculation: just as 2 + 3 + . + 4 is returned as 9 so also . + . + . + . is returned as 0.)
A fairly general way to do what you want is to use time series operators, and this is strongly preferable to subscripts as (1) doing the right thing with gaps (2) automatically working for panels too. Thus after a tsset or xtset
L0.numvar + L1.numvar + L2.numvar + L3.numvar
yields the sum of the current value and the three previous and
L0.numvar + F1.numvar + F2.numvar + F3.numvar
yields the sum of the current value and the three next. If any of these terms is missing, the sum will be too; a work-around for that is to return say
cond(missing(L3.numvar), 0, L3.numvar)
More general code will require some kind of loop.
Given a desire to loop over lags (negative) and leads (positive) some code might look like this, given a range of subscripts as local macros i <= j
* example i and j
local i = -3
local j = 0
gen double wanted = 0
forval k = `i'/`j' {
if `k' < 0 {
local k1 = -(`k')
replace wanted = wanted + L`k1'.numvar
}
else replace wanted = wanted + F`k'.numvar
}
Alternatively, use Mata.
EDIT There's a simpler method, to use tssmooth ma to get moving averages and then multiply up by the number of terms.
tssmooth ma wanted1=numvar, w(3 1)
tssmooth ma wanted2=numvar, w(0 1 3)
replace wanted1 = 4 * wanted1
replace wanted2 = 4 * wanted2
Note that in contrast to the method above tssmooth ma uses whatever is available at the beginning and end of each panel. So, the first moving average, the average of the first value and the three previous, is returned as just the first value at the beginning of each panel (when the three previous values are unknown).
I'm currently converting a ThinkScript indicator to C#, however, I've run into this CompoundValue function and I'm unsure how to covert it.
The documents reads :
Calculates a compound value according to following rule: if a bar
number is greater than length then the visible data value is returned,
otherwise the historical data value is returned. This function is used
to initialize studies with recursion.
Example Use:
declare lower;
def x = CompoundValue(2, x[1] + x[2], 1);
plot FibonacciNumbers = x;
My interpretation:
Based on description and example. It appears we are passing a calculation in x[1] + x[2] and it performing this calculation on the current bar and the previous bar (based on first param of 2). I'm unsure what the parameter 1 is for.
My Question:
Please explain what this function is actually doing. If possible, please illustrate how this method works using pseudo-code.
For the TLDR; crowd, some simple code that hopefully explains what the CompoundValue() function is trying to do, and which might help in converting it's functionality:
# from: Chapter 12. Past/Future Offset and Prefetch
# https://tlc.thinkorswim.com/center/reference/thinkScript/tutorials/Advanced/Chapter-12---Past-Offset-and-Prefetch
# According to this tutorial, thinkScript uses the highest offset, overriding
# all lower offsets in the script - WOW
declare lower;
# recursive addition using x[1] is overridden by 11 in the plot for
# Average(close, 11) below; SO `x = x[1] + 1` becomes `x = x[11] + 1`
def x = x[1] + 1;
# using CompoundValue, though, we can force the use of the *desired* value
# arguments are:
# - length: the number of bars for this variable's offset (`1` here)
# - "visible data": value to use IF VALUES EXIST for a bar (a calculation here)
# - "historical data": value to use IF NO VALUE EXISTS for a bar (`1` here)
def y = CompoundValue(1, y[1] + 1, 1);
# *plotting* this Average statement will change ALL offsets to 11!
plot Average11 = Average(close, 11);
# `def`ing the offset DOES NOT change other offsets, so no issue here
# (if the `def` setup DID change the offsets, then `x[1]` would
# become `x[14]`, as 14 is higher than 11. However, `x[1]` doesn't change.
def Average14 = Average(close, 14);
plot myline = x;
plot myline2 = y;
# add some labels to tell us what thinkScript calculated
def numBars = HighestAll(BarNumber());
AddLabel(yes, "# Bars on Chart: " + numBars, Color.YELLOW);
AddLabel(yes, "x # bar 1: " + GetValue(x, numBars), Color.ORANGE);
AddLabel(yes, "x # bar " + numBars + ": " + x, Color.ORANGE);
AddLabel(yes, "y # bar 1: " + GetValue(y, numBars), Color.LIGHT_ORANGE);
AddLabel(yes, "y # bar " + numBars + ": " + y, Color.ORANGE);
Now, some, er, lots of details...
First, a quick note on "offset" values:
thinkScript, like other trading-related languages, uses an internal looping system. This is like a for loop, iterating through all the "periods" or "bars" on a chart (eg, 1 bar = 1 day on a daily chart; 1 bar = 1 minute on a 1 minute intraday chart, etc). Every line of code in thinkScript is run for each and every bar in the chart or length of time specified in the script.
As noted by the OP, x[1] represents an offset of one bar before the current bar the loop is processing. x[2] represents two bars before the current bar, and so on. Additionally, it's possible to offset into the future by using negative numbers: x[-1] means one bar ahead of the current bar, for example.
These offsets work similarly to the for loop in C#, except they're backwards: x[0] in C# would represent the current x value, as it would in thinkScript; however, moving forward in the loop, x[1] would be the next value, and x[-1] wouldn't exist because, well, there is no past value before 0. (In general, of course! One can definitely loop with negative numbers in C#. The point is that positive offset indices in thinkScript represent past bars, while negative offset indices in thinkScript represent future bars - not the case in C#.)
Also important here is the concept of "length": in thinkScript, length parameters represent the distance you want to go - like the offset, but a range instead of one specific bar. In my example code above, I used the statement plot Average11 = Average(close, 11); In this case, the 11 parameter represents plotting the close for a period of 11 bars, ie, offsets x[0] through x[10].
Now, to explain the CompoundValue() function's purpose:
The Chapter 12. Past/Future Offset and Prefetch thinkScript tutorial explains that thinkScript actually overrides smaller offset or length values with the highest value in a script. What that means is that if you have two items defined as follows:
def x = x[1] + 1;
plot Average11 = Average(close, 11);
thinkScript will actually override the x[1] offset with the higher length used in the Average statement - therefore causing x[1] to become x[11]!
Yike! That means that the specified offsets, except the highest offset, mean nothing to thinkScript! So, wait a minute - does one have to use all the same offsets for everything, then? No! This is where CompoundValue() comes in...
That same chapter explains that CompoundValue() allows one to specify an offset for a variable that won't be changed, even if a higher offset exists.
The CompoundValue() function, with parameter labels, looks like this:
CompoundValue(length, "visible data", "historical data")
As the OP noted, this isn't really particularly clear. Here's what the parameters represent:
length: the offset number of bars for this variable.
In our example, def x = x[1] + 1, there is a 1 bar offset, so our statement starts as CompoundValue(length=1, ...). If instead, it was a larger offset, say 14 bars, we'd put CompoundValue(length=14, ...)
"visible data": the value or calculation thinkScript should perform if DATA IS AVAILABLE for the current bar.
Again, in our example, we're using a calculation of x[1] + 1, so CompoundValue(length=1, "visible data"=(x[1] + 1), ...). (Parentheses around the equation aren't necessary, but may help with clarity.)
"historical data": the value to use if NO DATA IS AVAILABLE for the current bar.
In our example, if no data is available, we'll use a value of 1.
Now, in thinkScript, parameter labels aren't required if the arguments are in order and/or defaults are supplied. So, we could write this CompoundValue statement like this without the labels:
def y = CompoundValue(1, y[1] + 1, 1);
or like this with the labels:
def y = CompoundValue(length=1, "visible data"=(y[1] + 1), "historical data"=1);
(Note that parameter names containing spaces have to be surrounded by double quotes. Single-word parameter names don't need the quotes. Also, I've placed parens around the equation just for the sake of clarity; this is not required.)
In summary: CompoundValue(...) is needed to ensure a variable uses the actual desired offset/number of bars in a system (thinkScript) that otherwise overrides the specified offsets with a higher number if present.
If all the offsets in a script are the same, or if one is using a different programming system, then CompoundValue() can simply be broken down into its appropriate calculations or values, eg def x = x[1] + 1 or, alternatively, an if/else statement that fills in the values desired at whatever bars or conditions are needed.
Please let me provide two equivalent working versions of the code in thinkscript itself. We use this approach to prove equivalence by subtracting the equivalent outputs from each other - the result should be 0.
# The original Fibonacci code with a parameter "length" added.
# That parameter is the first parameter of the CompoundValue function.
declare lower;
def length = 2;
def x = CompoundValue(length, x[1] + x[2], 1);
# plot FibonacciNumbers = x;
# Equivalent code using the `if` statement:
def y;
if(BarNumber() > length){
# Visible data. This is within the guarded branch of the if statement.
# Historical data y[1] (1 bar back) and y[2] (2 bars back) is available
y = y[1] + y[2];
}else{
# Not enough historical data so we use the special case satisfying the
# original rule.
y = 1;
}
plot FibonacciNumbersDiff = y - x;
Thinkscript "recursion" is a somewhat inflated term. The function name CompoundValue is not very helpful so it may create confusion.
The version using the if statement is more useful in general because when walking through the time series of bars, we often need a program structure with multiple nested if statements - this cannot be done with the CompoundValue function. Please see my other articles which make use of this in the context of scanning.
In Java, using the same structure, it looks like this:
int size = 100;
int length = 2;
int[] values = new int[size];
for(int index = 1; index < size; index++){
if(index > length){
values[index] = values[index - 1] + values[index - 2];
}else{
values[index] = 1;
}
}
The fundamental difference is the for loop which is not present in the thinkscript code. thinkscript provides the loop in a kind of inversion of control where it executes user code multiple times, once for each bar.
The thinkscript if function fails to branch as expected in an important case. The following test case can be used to reproduce this severe bug / defect.
In a nutshell, an if statement may normally be used to prevent a function call from being executed if one of its function parameters is invalid. We show that this is not the case. In fact, both branches are executed, including the branch not meeting the if condition.
This absolutely defeats the purpose of the test of the if condition, the test that every if statement in every language has.
Following is some sample code that shows the problem on a chart. The result can be seen by clicking on the "i" message icon blinking in the left top corner of the chart:
Folding: 'from' cannot be greater than 'to': 1 > -1.
# Get the current offset from the right edge from BarNumber()
# BarNumber(): The current bar number. On a chart, we can see that the number increases
# from left 1 to number of bars e.g. 140 at the right edge.
def barNumber = BarNumber();
def barCount = HighestAll(barNumber);
# rightOffset: 0 at the right edge, i.e. at the rightmost bar,
# increasing from right to left.
def rightOffset = barCount - barNumber;
# This script gets the minimum value from data in the offset range between startIndex
# and endIndex. It serves as a functional but not direct replacement for the
# GetMinValueOffset function where a dynamic range is required. Expect it to be slow.
script getMinValueBetween {
input data = low;
input startIndex = 0;
input endIndex = 0;
plot minValue = fold index = startIndex to endIndex with minRunning = Double.POSITIVE_INFINITY do Min(GetValue(data, index), minRunning);
}
# Call this only once at the last bar.
script buildConditions {
input startIndex = 1;
input endIndex = -1;
# Since endIndex < startIndex, getMinValueBetween() should never
# be executed. However it is executed nevertheless.
plot minValue = if (endIndex > startIndex) then getMinValueBetween(low, startIndex, endIndex) else close[startIndex];
}
plot scan;
if (rightOffset == 0) {
scan = buildConditions();
} else {
scan = 0;
}
declare lower;
The question has the answer in its first sentence.
One might contemplate using the if statement (vs the if function). However, that is broken as demonstrated in
thinkscript if statement failure
At least as of April 2021, the documentation for the if reserved word says:
... while the if-expression always calculates both then and else branches, the if-statement only calculates the branch defined by whether the condition is true or false.
(bolding and italics mine)
Definitely confusing and unexpected behavior!
What I am trying to do is a little addon which would let me know how much time I have spent casting during combat in %,
function()
local spell, _, _, _, _, endTime = UnitCastingInfo("player")
-- getting information from the game itself whether im "Casting"
local inCombat = UnitAffectingCombat("player")
-- getting information form the game if combat is true (1) or not (nil)
local casting = {}
local sum = 0
if inCombat == 1 then
if spell then
table.insert(casting, 1)
else
table.insert(casting, 0)
end
else
for k in pairs (casting) do
casting [k] = nil
end
end
for i=1, #casting, 1 do
sum = sum + casting[i]
end
return( sum / #casting ) end
-- creating a list which adds 1 every frame I am casting and I am in combat,
-- or adds 0 every frame I'm not casting and I'm not in combat.
-- Then I sum all the numbers and divide it by the number of inputs to figure
-- out how much % I have spent "casting".
-- In case the combat condition is false, delete the list
For some reason these numbers don't add up at all, I only see "1" when both conditions are satisfied, or 0 if the combat condition is satisfied.
There might be some better approach I'm sure, but I am kind of new to lua and programming in general.
You say you're new to Lua, so I will attempt to explain in detail what is wrong and how it can be improved, so brace yourself for a long read.
I assume that your function will be called every frame/step/tick/whateveryouwanttocallit of your game. Since you set sum = 0 and casting = {} at the beginning of the function, this will be done every time the function is called. That's why you always get 0 or 1 in the end.
Upvalues to the rescue!
Lua has this nice thing called lexical scoping. I won't go into much detail, but the basic idea is: If a variable is accessible (in scope) when a function is defined, that function remembers that variable, no matter where it is called. For example:
local foo
do
local var = 10
foo = function() return var end
end
print(bar) -- nil
print(foo()) -- 10
You can also assign a new value to the variable and the next time you call the function, it will still have that new value. For example, here's a simple counter function:
local counter
do
count = 0
counter = function() count = count + 1; return count; end
end
print(counter()) -- 1
print(counter()) -- 2
-- etc.
Applying that to your situation, what are the values that need to persist from one call to the next?
Number of ticks spent in combat
Number of ticks spent casting
Define those two values outside of your function, and increment / read / reset them as needed; it will persist between repeated calls to your function.
Things to keep in mind:
You need to reset those counters when the player is no longer casting and/or in combat, or they will just continue where they left off.
casting doesn't need to be a table. Tables are slow compared to integers, even if you reuse them. If you need to count stuff, a number is more than enough. Just make casting = 0 when not in combat and increase it by 1 when in combat.
Thank you for feedback everyone, in the end after your suggestions and some research my code looks like this and works great:
function()
local spell, _, _, _, startTime, endTime, _, _, _ = UnitCastingInfo("player")
local inCombat = UnitAffectingCombat("player")
local inLockdown = InCombatLockdown()
local _, duration, _, _ = GetSpellCooldown("Fireball")
casting = casting or {}
local sum = 0
if inCombat == 1 or inLockdown == 1 then
if spell or duration ~= 0 then
casting[#casting+1] = 1
elseif spell == nil or duration == 0 then
casting[#casting+1] = 0
end
else
local next = next
local k = next(casting)
while k ~= nil do
casting[k] = nil
k = next(casting, k)
end
end
for i=1, #casting, 1 do
sum = sum + casting[i]
end
return(("%.1f"):format( (sum / #casting)*100 ).. "%%") end
what i noticed is there was a problem with reseting the table in the original code:
for k in pairs (casting) do
casting [k] = nil
it seemed like either some zeros stayed there, or the table size didnt "shrink" i dont know.
Maybe intereger would be faster then a table, but honestly i dont see any performance issues even when the table gets ridicolously big (5 min, 60 fps, thats 18k inputs) also for the sake of learning a new language its better to do it harder way in my opinion
Regards
I'm new to OpenModelica and I've a few questions regarding the code of 'BouncingBall.mo' which is distributed with the software as example code.
1) what's the difference between 'when' and 'if'?
2)what's the purpose of variable 'foo' in the code?
3)in line(15) - "when {h <= 0.0 and v <= 0.0,impact}",, shouldn't the expression for 'when' be enough as "{h <= 0.0 and v <= 0.0}" because this becomes TRUE when impact occurs, what's the purpose of impact(to me its redundant here) and what does the comma(,) before impact means?
model BouncingBall
parameter Real e = 0.7 "coefficient of restitution";
parameter Real g = 9.81 "gravity acceleration";
Real h(start = 1) "height of ball";
Real v "velocity of ball";
Boolean flying(start = true) "true, if ball is flying";
Boolean impact;
Real v_new;
Integer foo;
equation
impact = h <= 0.0;
foo = if impact then 1 else 2;
der(v) = if flying then -g else 0;
der(h) = v;
when {h <= 0.0 and v <= 0.0,impact} then
v_new = if edge(impact) then -e * pre(v) else 0;
flying = v_new > 0;
reinit(v, v_new);
end when;
end BouncingBall;
OK, that's quite a few questions. Let me attempt to answer them:
What is the difference between when and if.
The questions inside a when clause are only "active" at the instant that the conditional expressions used in the when clause becomes active. In contrast, equations inside an if statement are true as long as the conditional expression stays true.
What's the purpose of foo?
Probably for visualization. It has no clear impact on the model that I can see.
Why is impact listed in the when clause.
One of the problems you have so-called Zeno systems like this is that it will continue to bounce indefinitely with smaller and smaller intervals. I suspect the impact flag here is meant to indicate when the system has stopped bouncing. This is normally done by checking to make sure that the conditional expression h<=0.0 actually becomes false at some point. Because event detection includes numerical tolerancing, at some point the height of the bounces never gets outside of the tolerance range and you need to detect this or the ball never bounces again and just continues to fall. (it's hard to explain without actually running the simulation and seeing the effect).
What does the , do in the when clause.
Consider the following: when {a, b} then. The thing is, if you want to have a when clause trigger when either a or b become true, you might think you'll write it as when a or b then. But that's not correct because that will only trigger when the first one becomes true. To see this better, consider this code:
a = time>1.0;
b = time>2.0;
when {a, b} then
// Equation set 1
end when;
when a or b then
// Equation set 2
end when;
So equation set 1 will get executed twice here because it will get executed when a becomes true and then again when b becomes true. But equation set 2 will only get executed once when a becomes true. That's because the whole expression a or b only becomes true at one instant.
These are common points of confusion about when. Hopefully these explanations help.