Re: [amibroker] H=L and V=0

["Al Venosa" <advenosa@xxxxxxxxxxxx>]

Thanks, Graham. I use QP2 EOD data, so I 
thought the QP2 folks eliminated what you call 'padded' data. I'll write them an 
email and ask. 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=gkavanagh@xxxxxxxxxxxxx 
  href="">Graham 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Thursday, July 03, 2003 10:30 
  PM
  Subject: RE: [amibroker] H=L and 
V=0
  
  Sounds like your 
  data you receive is padded, ie non traded days are included in the data as 
  zero volume and the C = yesterdays close with o=h=l=c
  This is common in 
  Australia to use this form, but I don't know if used anywhere 
  else.
   
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  <B 
  ><I 
  ><SPAN 
  >Cheers<SPAN 
  class=GramE>,<st1:PersonName 
  ><B 
  ><I 
  ><SPAN 
  >Graham
  <A 
  href=""><SPAN 
  >http://groups.msn.com/ASXShareTrading
  <A 
  href=""><SPAN 
  >http://groups.msn.com/FMSAustralia
  
    
    <FONT 
    face=Tahoma size=2>-----Original Message-----From: Al Venosa 
    [mailto:advenosa@xxxxxxxxxxxx] Sent: Friday, 4 July 2003 10:22 
    AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] 
    H=L and V=0
    Hi, everyone:
     
    Tonight, I thought I'd do a quickie exploration of a watchlist 
    containing almost 800 stocks (range setting on all quotations). I was 
    interested in finding out how many times the high was equal to the low or 
    the volume equaled 0. I used the following exploration:
    Buy=Sell=Short=Cover=<FONT color=#ff6820 
    size=2>0;Error = H==L<FONT 
    face="Microsoft Sans Serif" size=2> OR V==<FONT 
    face="Microsoft Sans Serif" color=#ff6820 size=2>0<FONT 
    face="Microsoft Sans Serif" size=2>;<FONT color=#0000ff 
    size=2>AddColumn(H,<FONT color=#ff00ff 
    size=2>"H",<FONT color=#ff6820 
    size=2>1.2);<FONT color=#0000ff 
    size=2>AddColumn(L,<FONT color=#ff00ff 
    size=2>"L",<FONT color=#ff6820 
    size=2>1.2);<FONT face="Microsoft Sans Serif" 
    color=#0000ff size=2>AddColumn<FONT face="Microsoft Sans Serif" 
    size=2>(V,<FONT face="Microsoft Sans Serif" color=#ff00ff 
    size=2>"V",<FONT 
    face="Microsoft Sans Serif" color=#ff6820 size=2>1<FONT 
    face="Microsoft Sans Serif" size=2>);<FONT color=#0000ff 
    size=2>AddColumn(Error,<FONT color=#ff00ff 
    size=2>"Bad Price Patterns",<FONT color=#ff6820 
    size=2>1);<FONT face="Microsoft Sans Serif" 
    size=2>Filter=Error><FONT face="Microsoft Sans Serif" 
    color=#ff6820 size=2>0<FONT face="Microsoft Sans Serif" 
    size=2>;
     
    To my surprise, I found over 13,000 instances of H==L and almost 2,700 
    instances of V==0. On the days when V==0, the H and L were also equal. So, 
    those days were truly bad data (or non-trade) days. However, in the other 
    10,000+ instances when H==L, there was legitimate volume, sometimes high 
    volume. What does it mean when the price bars are all equal (O=H=L=C), yet 
    volume was finite? 
     
    Al Venosa
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