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Hi TJ
I posted an excel macro in the files section that fixes holes, but
only on EOD data files.
My data supplier does not include non trading days due to trading
halts.
On the ASX there seems to be quite a few stocks not trading due to
these halts.
Most likely due to the number of resource stocks in our market.
This affects the composite indexes as sometimes only about 850
stocks are trading out of about 1400.
Since the majority of stocks that have trading halts are usually
stocks which have a low value,
dividing by the count does not get the desired result, as the
percentage difference of stocks not trading is greater than the
percentage difference of their total values.
The macro i use will automatically open a ticker file , then fill
the holes using the previous days data of when it was trading,
wheather there is only a one bar hole or 20 consecutive bars), but
places a zero in the volume array. saves it then repeats this for all
the ticker data files.
It finds the holes by placing the dates of a major index into
the date column of the ticker, then deletes the duplicate dates, when
sorted by the date it creates empty rows( holes) if the ticker did
not trade.
Though this would be quicker if it could be done in Ami.
Peter.
- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> No it does not fix holes - it reports them.
> I am keen to hear how would you like to have holes "fixed".
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
> ----- Original Message -----
> From: "amiabilityy" <amiabilityy@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, April 28, 2003 4:54 AM
> Subject: [amibroker] Re: Database purify tool - short instructions
>
>
> > Does it fix data holes
> >
> > peter.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "William Peters"
> > <williampeters@xxxx> wrote:
> > > Thanks Tomasz, an excellent maintence tool.
> > >
> > > Regards,
> > > William Peters
> > >
> > >
> > > -----Original Message-----
> > > From: Tomasz Janeczko [mailto:tj@x...]
> > > Sent: Sunday 27 April, 2003 9:47 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Database purify tool - short instructions
> > >
> > >
> > > Hello,
> > >
> > > A new database purify tool is provided to detect
> > > all kinds of data errors including:
> > > missing quotes, extra quotes, invalid OHLC,
> > > unadjusted splits.
> > >
> > > The tool is available from Tools->Database Purify
> > > and it looks as follows:
> > >
> > >
> > >
> > > THE DESCRIPTION OF CONTROLS:
> > >
> > > a.. Reference symbol
> > > this is a ticker symbol that should be used as reference for
> > missing/extra
> > > quote detection. Usually this should be set to the INDEX or
other
> > instrument
> > > that is (more or less) guaranteed to be traded every trading
day
> > (without
> > > holes)
> > > Purify tool will use this symbol data to check if other
symbols
> > are traded
> > > on the same days as the reference symbol
> > > b.. Apply to: All symbols/ Current/ Filter
> > > Allows to control if check should be performed on all symbols
in
> > the
> > > database or just currently selected symbol or some symbols
matching
> > custom
> > > category filter (definable via Filter... button)
> > > c.. Quotes: All / Last n=
> > > Decides if report should cover all available quotes or just
last
> > n quotes
> > > (n is user-definable). The value of n refers to last n quotes
in
> > Reference
> > > symbol.
> > > d.. Report invalid OHLC relationship
> > > when checked, purify tool will report bars in which the
> > relationship
> > > between Open, High, Low, Close fields is invalid. The following
> > cases are
> > > reported Open > High, Close > High, Open < Low, Close < Low,
Low >
> > High. ON
> > > by default.
> > > e.. Report missing quotes
> > > when checked, purify tool will report quotes that are present
in
> > Reference
> > > symbol but are NOT present in symbol being checked. ON by
default.
> > > f.. Report missing quotes at the beginning (shorter history
than
> > reference
> > > symbol)
> > > when checked, purify tool will report symbols that have
shorter
> > history
> > > than reference symbol. It will list all quotes at the beginning
of
> > the
> > > history of the reference symbol that do not have matching quote
in
> > symbol
> > > being checked. This is quite usual that indices have longer
history
> > than
> > > most symbols therefore this option should be used sparingly
because
> > this is
> > > not really a problem if history of given symbol starts later
than
> > reference
> > > symbol. OFF by default.
> > > g.. Report possible splits
> > > when checked, purify tool will scan quotes for previous
close -
> > current
> > > open gaps exceeding +/- Detection threshold percentage change.
If
> > such gap
> > > is detected it will 'estimate' possible split factor and report
> > given day as
> > > possible unadjusted split date.
> > > h.. Report extra quotes
> > > when checked, purify tool will report quotes that are present
in
> > symbol
> > > being currently checked but are NOT present in reference
symbol. If
> > you get
> > > a lot of 'extra quote' entries it may mean that the reference
> > symbol you
> > > have choosen does not trade each trading day.
> > > WHAT YOU CAN DO WITH THE RESULT LIST?
> > >
> > > After choosing appropriate options you can run scan for
possible
> > data
> > > problems using "Analyse" button.
> > > At any time you can abort the scan using "Cancel" button in the
> > progress
> > > window.
> > >
> > > One scan is completed (or aborted) you can review the result
list
> > and then
> > > you can click right mouse button
> > > over the result list and choose one of the following options:
> > > a.. add symbols to watch list
> > > b.. add selected symbols to watch list
> > > these options will add either all or selected items to the
watch
> > list of
> > > your choice. You will be able to delete symbols
> > > using Symbol->Organize assignments.
> > > c.. Copy to clipboard
> > > will copy the contents of result list to the clipboard for
> > further use in
> > > any other application
> > > You can also double click on any entry to show given chart with
> > selection
> > > line showing inappropriate entry (with exception
> > > to missing quotes of course)
> > >
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > >
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> > >
> > >
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