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G'day, Graham...
I may be missing your point, but don't all
U.S. stocks trade in cents (0.01)?
Backadjusted and/or historical prices can be
different. U.S. stocks use to trade in 1/8's.
Backadjusted prices can be virtually anything. I carry eight decimal
places in my prices in order to detect minor changes in backadjusted
prices. TC2000, for instance, might show the O,H,L.C. for some stock
all as being 0.10. My database may contain 0.091129514 for the low
and 0.10423193 for the high.
I'm trying to answer the question you asked
as well as what I think your next question might be.
Cheers
<BLOCKQUOTE
>
-----Original
Message-----From: Graham
[mailto:gkavanagh@xxxxxxxxxxxxx]Sent: Saturday, July 05, 2003 1:42
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
H=L and V=0
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.
<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
<DIV class=OutlookMessageHeader lang=en-us dir=ltr
align=left>-----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>;<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"
size=2>,<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
size=2>,1<FONT
size=2>);<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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