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Yes, U.S. stocks recently changed from
fractions to decimals. The change was phased in over time. I
don't recall the dates. I'm at the point in life where I can't
remember any dates!
<BLOCKQUOTE
>
-----Original
Message-----From: Graham
[mailto:gkavanagh@xxxxxxxxxxxxx]Sent: Saturday, July 05, 2003 1:59
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
H=L and V=0
Thanks
Chuck
My query really is
just that, as in the ASX the tick vlaues vary according to the share
price
< 10c tick =
0.1c
>10 to <50
tick = 0.5c
>50 tick is
1c
and I believe
there is a larger tick value for stocks >$100 or so, but I am not sure what
that is as not many stocks exceed $100
I just wondered
what the US tick values were and if they vary like the silly ones on the
ASX
The change to
decimals of cents in the US was just recent if I am correct in
memory<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: Chuck
Rademacher [mailto:chuck_rademacher@xxxxxxxxxx] Sent: Saturday, 5
July 2003 1:52 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
RE: [amibroker] H=L and V=0
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?
<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: 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
>
<FONT
face="Times New Roman">-----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
<FONT face=Arial
color=#0000ff>Most vendors set O = H = L = C == Ref(C,-1) for
zero-V days, Al.
<FONT face=Arial
color=#0000ff>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.
<FONT face=Arial
color=#0000ff>Of the remaining 17,300, 4300 had V
<= 1000 shares; these clearly could have been a single
transaction.
<FONT face=Arial
color=#0000ff>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
<SPAN
class=224572802-04072003>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<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>);<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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