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



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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
            This message has been confirmed to be virus-free by Norton 
            Antivirus.<SPAN id=hotbar_element_used 
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