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I am also working with tick charts. I found out yesterday that when
importing ascii files ticks less than five seconds apart are
compressed to one tick, the last tick of those five seconds is the
one used. That five second interval can store an open, high, low,
close. So in order to get all my data into AB I first made 50 tick
bars of my data and then stored each one in each five second slot. My
tick provider didn't provide seconds with the data so I faked it out.
For each bar that was the same time (in minutes) as the previous bar
I added five seconds. For example, 09:08:00, 09:08:05, 09:08:10, etc.
This way instead of begin limited to 12 ticks per minute (60/5), I
could store 600 ticks as 12 50tick bars. In this way I could import
my full two years of NQ emini tick data with full resolution, i.e. no
tick compression. BTW, I "built" the tick bars and fake time slots
with a VB app. Don't expect AB to do that for you. Hope this helps.
--- In amibroker@xxxx, "allm4m" <allm4m@xxxx> wrote:
> Tomasz,
>
> Ok I see the system speed problem, but for the strategy I'm trying
> out I need tick charts.
> ( n minute charts don't work very well here, so I'm not expecting
> much from n secs charts either. Different tick charts seem to
perform
> much better for this strategy.)
> So it would be nice to have a few more days of tick data for
> backtesting purposes only. And then, after having done my testing,
> for trading I presume I can go back to 100000 or less to load
without
> losing the extra data from the database?
> Question/suggestion: How are bars to be loaded counted? If I have
> e.g. a 100 tick chart, those 100 ticks do not seem to count as one
> bar, but as the full 100. I presume this is necessary for
calculating
> the chart? Or could it be done in such a way that they count
together
> as one? In that case a 100 tick chart would need 100 times less
data
> to be loaded, from a far larger database. I'm just brainstorming
> here, maybe it doesn't make much sense.
>
> Anyway, I surely would like the possibility of loading 100000+ bars
> (provided I can at any time go back to load less).
>
> Regards,
>
> Ralph
>
>
> --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > Ralph,
> >
> > For *very* actively traded instrument 100000 ticks indeed
> > may span 1-2 days. To cover longer period I suggest
> > to switch to 5-second mode. It gives you 720 bars per hour
> > and greatly increases speed of charting.
> >
> > I can also increase the limit of 100000 bars in the next beta
> > (this is soft-coded limit) but note that AmiBroker (and any other
> app) will
> > slow down very, very much if you try for example to chart one
> million of bars.
> > So it is anyway not too good idea to generate charts from that
much
> data.
> >
> > 5-second mode is much better choice.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "allm4m" <allm4m@xxxx>
> > To: <amibroker@xxxx>
> > Sent: Thursday, October 03, 2002 1:24 PM
> > Subject: [amibroker] TJ: tick charts, historical data
> >
> >
> > > Hi,
> > >
> > > I'm setting up a tick database for the eminis, but I'm only
> getting 1
> > > day of historical tick data. A quick calculation learns that
this
> is
> > > about the 100000 bars which is the maximum for a database to
> load.
> > > Is there a workaround for this? Will this max be changed soon?
> > > Are the requested bars present in my database anyway now,
without
> > > being able to load them?
> > >
> > > Regards,
> > >
> > > Ralph
> > >
> > >
> > >
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > >
> > > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
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