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Further testing shows that the
"Export to AmiBroker" stuff mentioned below has no
functionality implemented yet; I could not detect any
files generated for AB.
UM
----- Original Message -----
From: "Uenal Mutlu" <uenal.mutlu@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, January 20, 2004 12:55 PM
Subject: Re: [amibroker] Getting CSI data into AB (a question for UM)
> I had a first look at the 2.7.7 beta, but I have the feeling that they
> have forgotten to make the mentioned new function available in
> the type library; in the DOC it already is described but it's not
> present in the UA.tlb:
>
> Rev Date Section
> Description By
> 0.00.1 Jan 2, 2004 4.3.1.15
> CopyRetrievedDataToArray2 SKD
> 0.00.2 Jan 14, 2004 4.3.7
> RetrieveAdjAndUnadjStock SKD
>
> The first function is already in the UA.tlb, but the second is not, and
> the TLB is dated 1/2/2004.
>
> Besides this, in Preferences/Distribution3 they have added AmiBroker.
> One can enable "Export all stocks to AmiBroker", then the number
> of days of history, and a checkbox for "Export history with next download".
> Unfortunately I was not able to find any info about these new items, also
> couldn't find out whether there is a UA version history file present anywhere
> in the installation directory. The most funniest thing was: you have to
> completely deinstall your prior version, reboot, install new version,
> reboot, refresh database.
>
> UM
>
>
> ----- Original Message -----
> From: "Uenal Mutlu" <uenal.mutlu@xxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, January 20, 2004 10:11 AM
> Subject: Re: [amibroker] Getting CSI data into AB (a question for UM)
>
>
> > b, I'm just trying it out the latest beta.
> > I'll report of my findings.
> > UM
> >
> >
> > ----- Original Message -----
> > From: "b" <b519b@xxxxxxxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Tuesday, January 20, 2004 2:19 AM
> > Subject: Re: [amibroker] Getting CSI data into AB (a question for UM)
> >
> >
> > > 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)
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