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Bob,
I reviewed quickly the csv file I created last
night to see the occurrences of H==L and V== some value. You seem to be correct
for the vast majority of situations, i.e., the volume is a round number, like
2,400; 40,800, etc., suggesting one big trade either by a mutual fund or a high
flyer trader. However, not all were that way. Sorting on volume in descending
order, the top 2 occurrences were V= 2,900,812 (VRTS on 10/12/94 when the
price was only 0.36) and V= 1,995,873 (XTO when the price was 2.07). There
were other isolated instances of big volume and no evidence of a round lot type
of number. But, again the vast majority were round numbers. <FONT
face="Times New Roman">So, there were instances that didn't look like a single
large trade, but I agree they still could have been. Thanks.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Bob Jagow
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 04, 2003 11:32
AM
Subject: RE: [amibroker] H=L and
V=0
<SPAN
class=978042214-04072003>Al,
<SPAN
class=978042214-04072003>See my inserted
comments..
<SPAN
class=978042214-04072003>
<SPAN
class=978042214-04072003>Bob
<FONT
face=Tahoma>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Friday, July 04, 2003 6:32
AMTo: <A
href="">amibroker@xxxxxxxxxxxxxxxSubject:
Re: [amibroker] H=L and V=0
Thanks, Bob, for the explanation of
what data vendors do for V==0 days. I didn't know that. My list, too, was
originally created using ma(V,50)>250,000. Your explanation for days when
H==L AND V==0 is good and I feel confident in deleting those days completely
[Bob
Jagow] I don't see the point in deleting
them
<SPAN
class=385243314-04072003> (although I don't know how, do
you?).<SPAN
class=385243314-04072003> <SPAN
class=385243314-04072003>[Bob Jagow] Nope, you can't change or
delete QP2 data within AB.
<SPAN
class=385243314-04072003> The real problem is what to do about
those majority of days when H==L, yet the volume was normal. <SPAN
class=385243314-04072003>[Bob Jagow] I
don't agree that the volumes were "normal" Many were round lots and 25% had
V <= 1000.
<SPAN
class=385243314-04072003> You confirmed this yourself. Are those
real trading days? What does it mean when the high and low are the same and
the volume appears normal? <FONT
face=Arial color=#0000ff>[Bob Jagow] That happens if there was only one
trade. That's why I commented that the 25% " clearly could have been a
single transaction".
<SPAN
class=385243314-04072003> Are these real errors by QP2? If not,
do we just assume them to be correct and go our merry way?
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Bob Jagow
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 04, 2003 1:49
AM
Subject: 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
namespaceuri="urn:schemas-microsoft-com:office:smarttags"
name="PersonName"><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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