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UM,
Thank you for the thorough reply.
It has shown me some new ways to approach the storing of
more data than can normally be fit into AB's 6 data fields.
By the way, have you had a look at UA 2.7.7 (just
released)? CSI support indicates that it has a new call
that will retrive raw and adjusted data in a single step.
Snip from CSI support email:
"Unfair Advantage version 2.7.7 will have a function
RetrieveAdjAndUnadjStock that will obtain the data you are
requesting."
b
--- uenal.mutlu@xxxxxxxxxxx wrote:
> From: "b" <b519b@xxxxxxxxx>
> >
> > That sounds like some nice programming. Your daily
> update
> > speed is short enough so that it is a minor issue.
>
> Yes, I'm doing 3 API calls to get all possible cases:
> 1) Raw (unadjusted original) quotes
> 2) Split adjusted
> 3) Dividend adjusted
> 4) 2+3
>
> Ie. all combinations are possible. I'm using a secondary
> DB which
> stores the raw data + split dates&ratios + dividend
> dates&amounts.
> From that I can quickly generate desired data for AB. I
> personally
> use raw (unadjusted) data in AB for my backtests. In ABs
> OI I store a flag:
> 0=none, 1=Dividend, 2=Split, 3=Both
>
> That is: one knows quickly if that bar is affected by any
> Splits or Dividends.
> In case one is interessted in the Split ratio (or
> Dividend value), or in the
> adjusted data series, than one can quickly get them via
> usual AB arrays
> from the secondary DB using a "foreign" like AFL function
> call. This secondary
> DB is accessible via the ABtool plugin, and offers a very
> flexible and
> easily extendable fast stocks database. One can
> practically store any
> data one likes, even variable length data. It is also
> possible to store intraday
> data either in the same or in a new database. Multiple
> databases can be
> used and queried at the same time.
>
> For about a month now I'm collecting intraday quotes for
> all US tickers
> from free internet sources using this DB. I can even plot
> these intraday
> quotes in AB eventhough an AB EOD DB is in use :-)
>
> BTW, the Sectors and Industries a stock belongs to get
> automatically
> assigned in AB since CSI has this data available.
>
> > Does your daily update process have a way to detect if
> a
> > stock has split? I assume your program puts the CSI
> data
> > into the following AB fields:
> >
> > O = Open backadjusted for splits etc
> > H = High backadjusted for splits etc
> > L = Low backadjusted for splits etc
> > C = Close backajusted for splits etc
> > V = Volume
> > OI = Close NOT adjusted (ie, the "raw" close)
> >
> > If your program just appends the CSI data for the new
> day,
> > the OHLC fields will be out of ratio with previous days
> if
> > there was a split today.
>
> As said, I use raw data and than this does not apply.
> But it is possible to refresh the whole data of a ticker
> after
> a split. This can be detected and performed
> automatically.
>
> > Let me explain the problem as I see it.
> >
> > Let's say stock ABC is already in the AB database with
> > perfectly adjusted data current as of yesterday.
> >
> > But a split takes effect before the open today. CSI
> will
> > process that split on their computers and calculate all
> the
> > prior prices for ABC's entire history. Your download
> from
> > CSI will communicate those changes to the CSI database
> on
> > your hard drive. But how will those new adjusted prices
> for
> > the entire history of that stock get into your AB
> database?
>
> As I have learnt, CSI internally stores only the raw data
> +
> split dates&ratios + dividend dates+amounts. You can
> query
> the DB for the type of data you want: ie. the 4 possible
> cases
> mentioned above.
>
> > When your program gets today's prices to add to the AB
> > database, it will get today's OHLC prices which reflect
> the
> > split. But the AB data base for ABC stock will not have
> > been updated for yesterday and all the preceeding
> history.
> > Thus the OHLC arrays will show a huge gab from
> yesterday to
> > today because all but today's data has not be adjusted
> for
> > the most recent split.
>
> Since I prefer raw data it was not necessary to do so
> yet.
> But true, if one wants adjusted data to be stored in AB
> than it
> indeed would be necessary to perform like you describe.
> But since the number of tickers having a split on a day
> is
> limited it would not take much time to completely
> retransfer
> all quotes for such split affected tickers.
>
> > Does your program have a way to detect which stocks had
> > splits since the last update?
>
> Yes, of course. Even (or especially) with raw data I need
> to know
> whether there was a split. During daily update this of
> course is
> detected.
>
> >And a way to readjust the prior history of stocks with a
> split today?
>
> As said above: it is possible and easily doable, but in
> my case
> it was not necessary because raw data doesn't change with
> splits.
>
> BTW, my tool is still in development, and I'm not sure if
> I ever should
> release it to public. If there is interest by people who
> would like to
> realize some advanced things, fe. data mining, or
> creating individually
> structured databases than contact me privately.
>
> UM
>
> > --- uenal.mutlu@xxxxxxxxxxx wrote:
> > > Hi b,
> > > the fundamentals I posted in my prev posting today
> > > can be retrieved via their API; but as you might know
> > > the API is not one of the fastest. It took me more
> > > than 6 hours on a 2600MHz AMD machine to initially
> > > fill the AB quotes database from the CSI DB.
> > > Daily updates of the AB DB take up about 15 minutes;
> > > this of course has to be added to the CSI DB daily
> update
> > > time which usually takes about 5 min. BTW, I'm
> talking
> > > of timings of my own plugin I wrote; maybe there is a
> > > much faster way with other plugins or methods.
> > > UM
> > >
> > > ----- Original Message -----
> > > From: "b" <b519b@xxxxxxxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Monday, January 19, 2004 6:24 PM
> > > Subject: [amibroker] Fundamental Data in QP and CSI
> (was
> > > Institutional
> > > Sponsorship)
> > >
> > >
> >
> > __________________________________
> > Do you Yahoo!?
>
>
>
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