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Re: TJ: tick charts, historical data



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I have the realtime version but not with a eSignal feed. With eSignal 
can you request historical tick data from their servers? If so, how 
much can you load into AB?

Given the ascii import limitation how is a person supposed to go 
about realistically backtesting longer amounts of tick data, 
especially if eSignal doesn't provide access to large amounts of 
historical tick data? For running the system, eSignal would be fine, 
but unless you can request severals months or longer worth of tick 
data from eSignal how could you possibly back test?

I also don't understand why their is a difference between the way 
ascii importer works and the eSignal plugin. Is the eSignal data 
compressed in the same way as the ascii importer data or not?

I understand that you don't officially support tick data charting 
without the eSignal plugin, but please appreciate that I am 
attempting to backtest here. I really am not currently concerned with 
realtime tick charting. When I get to the point of running my 
systems, then maybe, but not now. I also understand that you only 
have so much time and that you can't go supporting every crazy 
project of every person that buys your software. I am ALL FOR going 
about this myself, but please appreciate the fact that there is 
nothing at all in the help files about tick charting or the 5 second 
issue with ascii import.


--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Dear o_2_b_sean,
> 
> Ralph is using eSignal plugin to feed data into AmiBroker and 
everyone using eSignal feed is able to get TICK, N-tick, 5- and 15- 
seconds charts.
> 
> 
> You are using ASCII importer while it is NOT suitable for that.
> ================================================
> ASCII importer can import only interval data (officially only 1-
minute and up, in practice from 5-second bars up).
> 
> 
> As it is written in the User's Guide:
> Tick, 5-second, 15-seconds charts are available ONLY with RT 
version running with eSignal feed.
> 
> Feature Standard Edition Real Time Edition 
> End-of-day charting/backtesting/scanning Yes Yes 
> 1-, 5-, 15- minute, hourly Intraday 
charting/backtesting/scanning Yes Yes 
> Custom minute bars Yes Yes 
> Tick charts/backtesting/scanning No Yes 
> 5- second, 15-second bar charts/backtesting/scanning No Yes 
> Streaming real time quote display No Yes 
> Automatically updating real time charts No Yes 
> Requires RT data subscription No Yes (eSignal) 
> 
> 
> 
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message ----- 
> From: "o_2_b_sean" <seanrmartinez@xxxx>
> To: <amibroker@xxxx>
> Sent: Thursday, October 03, 2002 5:42 PM
> Subject: [amibroker] Re: TJ: tick charts, historical data
> 
> 
> > 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/)
> > > > > 
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> > > > > 
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> > > > > 
> > > > > 
> > > > >
> > 
> > 
> > 
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> > 
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