building indices

[lemon]

I'm thinking to try build my own index based on several securities using TradeStation 2000i. Does anyone know how? Using DLL may be?

Any comments or suggestions are welcomed. Thanks in advance.

 

[FetteredChinos]

interesting proposition.. may i ask why? is it that you are trying to find something of a "leading indicator" ?


FC

 

[TheBramble]

Mongolian Lamb.

 

[jmreeve]

I have done this but the best way to go about it depends on exactly what sort of index you are trying to put together.

Are you using daily data and how many securities in the index?
Do you need accurate high-low figures or just the open and close?
Do all the constituents have the same trading session and time zone?

 

[lemon]

I have done this but the best way to go about it depends on exactly what sort of index you are trying to put together.

Are you using daily data and how many securities in the index?
Do you need accurate high-low figures or just the open and close?
Do all the constituents have the same trading session and time zone?

Using intraday data for a number of TSX listed stocks.... have Prosuite 2000i.
I was looking for a similar functionality to the composite function in SC4/OmegaDownloader.

Thanks in advance.

 

[lemon]

interesting proposition.. may i ask why? is it that you are trying to find something of a "leading indicator" ?


FC

More of a customized "sector watch" purpose.

 

[jmreeve]

The simplest solution is to create an indicator that uses multiple data streams. Tradestation can handle up to 50 data streams but a practical limitation is more like 10-20.

You will have to set up a chart with all the symbols in the index in it and then add the indicator. Just code all the weights for each index component into the indicator.

This works well if you just need the close price for the index on each bar.