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



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Can someone tell me 
what the trade tick values are for US stocks?
 
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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: Chuck Rademacher 
  [mailto:chuck_rademacher@xxxxxxxxxx] Sent: Saturday, 5 July 2003 
  11:15 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
  [amibroker] H=L and V=0
  You may be interested in knowing that 
  since 1984, there were 2,044,478 instances of U.S. stocks trading at least 100 
  shares where the high and low were the same.
   
  Since 1984, there were 981,006 instances 
  of U.S. stocks trading at least 1,000 shares where the high and low were the 
  same.
   
  Since 1984, there were 193,717 
  instances of U.S. stocks trading at least 10,000 shares where the high and low 
  were the same.
   
  The above figures are based on all stocks, 
  including stocks that are now extinct.
   
  Be careful, 
  though.   With heavy backadjusting, your data may show 
  something like DELL, YHOO, etc. trading at the same price (O,H,L,C) for 
  several days when, in fact, it wasn't really trading at the same 
  price.    The backadjusted prices (O,H,L,C) may be showing 
  as 0.10, for instance, for several days.   In reality, the price may 
  have been ranging between $30 and $32.  It's only the backadjusting that 
  makes it appear that the high and low are the same.
   
  Have fun!
  <BLOCKQUOTE 
  >
    -----Original 
    Message-----From: Al Venosa 
    [mailto:advenosa@xxxxxxxxxxxx]Sent: Friday, July 04, 2003 9:32 
    AMTo: 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 
    (although I don't know how, do you?). The real problem is what to do about 
    those majority of days when H==L, yet the volume was normal. 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? 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.
           
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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 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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