Hello everyone!

I modified the sample Visual Basic code that was given to retrieve historical data via COM so that I could compute RSI on the fly from historical 5-minute bars. It would start with the first bar returned (the oldest) and calculate all the way to the last bar. I assumed a 14-period (15 data points) period for Wilder RSI.

I used the formula taken from here for Wilder RSI: http://www.stockcharts.com/education/IndicatorAnalysis/indic_RSI.html. However, my results don't seem to be returning the same RSI as sites like prophet.net and other technical analysis tools. Also, when I put in a longer timeframe for the data pulled (like 5 days), the RSI remains the same although it should be different since it is smoothed. I have pasted the code below. Maybe someone could help me out here? I am not sure what I am doing wrong!

This is my modified version of the original history.frm. I added a list box, List1, that contains ticker symbols. The code of the form is below (with comments). Most of the code is in CalcRS and hlookup_MinuteCompleted.

For whatever reason, the RSI is not changing when I give it more data (5 days instead of, say, 2) which is bizaare. I must be doing something wrong. Does anybody have any experience with this that could help me?

Option Explicit
Dim WithEvents hlookup As HistoryLookup ' History COM object
Dim loaded As Boolean
Dim curSymbol As String
Dim globSpun As Boolean
Dim lAG, lAL
Dim okayz As Boolean

'-----------------------
' Registers the application with IQFeed, and starts the IQConnect data service
' Also populates the HistoryType combo box with type of history requests
Private Sub Form_Load()
    loaded = False
    Dim strName As String
    Dim strVersion As String
    Dim strKey As String
    
    strName = "IQFEED_DEMO"
    strVersion = "1"
    strKey = "1"
    
    loaded = IQFeedY1.RegisterClientApp(strName, strVersion, strKey)
      
    Set hlookup = New HistoryLookup
    Go.Enabled = False
    
    lAG = 0
    lAL = 0
End Sub

Private Sub Form_Unload(icancel As Integer)
    Set hlookup = Nothing
    IQFeedY1.RemoveClientApp
End Sub

'-----------------------
'Initialize COM object and make the request when user clicks on the go button.
Private Sub Go_Click()
    Dim i As Integer
    
    If Not loaded Then
        Set hlookup = New HistoryLookup
    End If
  
    okayz = True
    
    For i = 1 To List1.ListCount
        ' Wait for the last request to finish
        While okayz = False
            DoEvents
        Wend
        
        ' List1 contains a list of ticker symbols
        curSymbol = List1.List(i)
        okayz = False
        hlookup.RequestMinuteHistory curSymbol, 1, 5
    Next i
End Sub

Private Sub hlookup_AbortedLoad(ByVal bsReason As String)
    MsgBox bsReason
End Sub

' This function calculates the RS
Private Function CalcRS(closes As Variant)
    Dim UpTotal, DownTotal
    Dim i As Integer
    Dim Diff
    Dim AvgGain, AvgLoss, RS
    
    UpTotal = 0
    DownTotal = 0
    
    ' We start at 2 since the first value is only used for reference
    For i = 2 To 15
        Diff = closes(i) - closes(i - 1)
        If Diff > 0 Then
            ' Up Session
            UpTotal = UpTotal + Abs(Diff)
        ElseIf Diff < 0 Then
            ' Down Session
            DownTotal = DownTotal + Abs(Diff)
        Else
            ' Flat leave it the same
        End If
    Next i

    ' Compute "average" gain & loss
    AvgGain = UpTotal / 14
    AvgLoss = DownTotal / 14
    
    ' Set global variables
    lAG = AvgGain
    lAL = AvgLoss
    
    ' Return RS (AvgGain / AvgLoss)
    CalcRS = AvgGain / AvgLoss
End Function

'-----------------------
' If minute request databars are returned then display them
Private Sub hlookup_MinuteCompleted(ByVal lMinutesLoaded As Long, ByVal aTime As Variant, ByVal aOpen As Variant, ByVal aClose As Variant, ByVal aHigh As Variant, ByVal aLow As Variant, ByVal aVolume As Variant, ByVal IntVolume As Variant)
    Dim data As String
    Dim i, c, n As Integer  ' Counters
    Dim closes(15)      ' Variable holding closing prices
    Dim rsi             ' Actual RSI computed at end from smooth RSI
    Dim offset As Integer
    Dim pGain, pLoss    ' Previous gain & loss
    Dim srs             ' Will contain smoothed RS
    
    pGain = 0
    pLoss = 0
    
    ' Set closing prices array to get first RS from CalcRS()
    For i = 1 To 15
        closes(i) = aClose(i)
    Next i
    
    ' Calculate first RS and set global variables
    CalcRS (closes)
    
    ' Now, we start from the second closing price instead of the first
    offset = 2
    
    ' For each data point, run the CalcRS function and smooth it
    For i = 16 To lMinutesLoaded
        c = 1
        
        ' Set closes array from offset to the closing price data point we're currently at
        For n = offset To i
            closes(c) = aClose(n)
            c = c + 1
        Next n
        
        ' Remember previous gain and loss
        pGain = lAG
        pLoss = lAL

        ' Set new gain/loss into lAG and lAL. This is why we saved them.
        CalcRS (closes)
        
        ' Now calculate the smoothed RS.
        srs = (((pGain * 13) + lAG) / 14) / (((pLoss * 13) + lAL) / 14)
        
        ' Increase offset so we start off with the next closing price
        offset = offset + 1
    Next i
    
    ' Get the actual RSI value from the smoothed RS
    rsi = 100 - (100 / (1 + srs))

    HistoryList.Text = HistoryList.Text & "RSI for " & CStr(curSymbol) & ": " + CStr(rsi) + vbCrLf
    
    ' Set this variable to TRUE so that the requesting loop knows its okay to go on
    okayz = True
End Sub

'-----------------------
' If day request databars are returned then display them
Private Sub hlookup_DayCompleted(ByVal lDaysLoaded As Long, ByVal aTime As Variant, ByVal aOpen As Variant, ByVal aClose As Variant, ByVal aHigh As Variant, ByVal aLow As Variant, ByVal aVolume As Variant)
    Dim data As String
    Dim i As Integer
    For i = 1 To lDaysLoaded
        data = data & aTime(i) & "," & aOpen(i) & "," & aClose(i) & "," & aHigh(i) & "," & aLow(i) & "," & aVolume(i) & vbCrLf
    Next i
    HistoryList.Text = data

End Sub
'-----------------------
' Receives the status of the IQConnect data service
' status = 0, Then IQConnect is unavailable
' status = -1, Then IQConnect could not be loaded (Possible installation issue)
Private Sub IQFeedY1_IQConnectStatus(strStatus As String)
    If strStatus = "-1" Then
        MsgBox "IQFeedY Reports an error loading IQFeed."
    ElseIf strStatus = "0" Then
        MsgBox "IQFeedY Reports IQConnect shutdown."
        Unload History
    End If
End Sub

Private Sub IQFeedY1_SystemMessage(strSystemData As String)
If InStr(strSystemData, "S,SERVER CONNECTED") > 0 Then
   Go.Enabled = True
End If
End Sub

Thanks!

Brandon
Edited by brandon on Feb 11, 2006 at 09:24 AM

Sorry I can't help with your code.

You might take a look at

http://www.modulusfe.com/tasdk/vb.asp

I've used the C++ version and it might save you a lot of time/headaches.