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<FONT face=Arial
color=#0000ff>Graham,
You have
mentioned before that Australia pads weekends and Holidays, so I should have
been more explicit.
<FONT face=Arial
color=#0000ff>-No vendor that I'm aware of provides data for
[pads] weekends.
<SPAN
class=008171614-04072003>-No vendor that I'm aware of intentionally
provides data for [pads] Holidays.
<FONT face=Arial
color=#0000ff>Therefore most vendors, including QP2, do match your
desire.
<FONT face=Arial
color=#0000ff>
<FONT
size=3> <<<SPAN
class=408170006-04072003>Personally I would like to see non traded days
only when the market is open, and public holidays excluded from the charts.<SPAN
class=008171614-04072003>>>
<FONT
size=3><SPAN
class=008171614-04072003>
<FONT
size=3><SPAN
class=008171614-04072003>Bob
<SPAN
class=008171614-04072003>
<FONT
face=Arial color=#0000ff> -----Original
Message-----From: Graham
[mailto:gkavanagh@xxxxxxxxxxxxx]Sent: Thursday, July 03, 2003 11:02
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
H=L and V=0
Bob this comes
into one of those ongoing debates over the value of including non traded days
over including them. There is an effect on the indicators, but whether this is
valid or not I think comes to your own interpretation.
Personally I would
like to see non traded days only when the market is open, and public holidays
excluded from the charts. but this facility is not available from data
suppliers that I know of.
<o:SmartTagType
name="PersonName"
namespaceuri="urn:schemas-microsoft-com:office:smarttags">
<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: Bob Jagow
[mailto:bjagow@xxxxxxxxxxx] Sent: Friday, 4 July 2003 1:50
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] H=L and V=0
Most
vendors set O = H = L = C == Ref(C,-1) for zero-V days,
Al.
To do
otherwise would trash most indicators.
<FONT face=Arial
color=#0000ff>
I also
use QP2 so ran your scan on a watch list of stocks with MA(V,10)
>250K.
<SPAN
class=315273903-04072003>This 1301-stock
list had 22452 errors; 5152 with V==0.
Of the
remaining 17,300, 4300 had V <= 1000 shares; these
clearly could have been a single transaction.
I'm
therefore not surprised by the overall % errors he two tests
showed.
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff>Bob
<FONT face=Arial
color=#0000ff>
<FONT
face=Tahoma>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Thursday, July 03, 2003
7:34 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] H=L and V=0
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.
<o:SmartTagType
name="PersonName"
namespaceuri="urn:schemas-microsoft-com:office:smarttags"><FONT
face="Times New Roman" color=#008080
size=3>
<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 OR
V==<FONT face="Microsoft Sans Serif" color=#ff6820
size=2>0<FONT face="Microsoft Sans Serif"
size=2>;AddColumn<FONT
size=2>(H,"H"<FONT
size=2>,1.2<FONT
size=2>);AddColumn<FONT
size=2>(L,"L"<FONT
size=2>,1.2<FONT
size=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"
size=2>,<FONT face="Microsoft Sans Serif" color=#ff6820
size=2>1<FONT face="Microsoft Sans Serif"
size=2>);AddColumn<FONT
size=2>(Error,"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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