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Since I have been singing praise of CSI-UA data, I feel
bound to share the bug report I sent to CSI a few minutes
ago. I am confident that CSI will be able to fix these
bugs.
Until then, I personally will not be using UA 2.7.7 to
create any "research" database (ie, one that includes 10 or
more years of data). Fortunately I have another, albeit
slower, method that can be used.
I have yet to decided if I will use UA 2.7.7 to maintain
my "trading" database that has just 250 days of data. The
missing ticker bug certainly affects short history exports
to a much smaller degree, but I can not say whether the
affect is small or none at all.
I look forward to UA 2.7.8 which will hopefully have fixed
these bugs.
Happy trading.
b
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Copy of Bug Report (slightly edited)
The Excel sheet is not included with this post.
------------------------------------------------
Good Day.
This is a follow up to my report of a possible bug on Feb
16. At that time, I was not able to consistently repeat the
problem. But I have been able to repeat the bug
consistently today. The details are given below.
DEFINATE BUG – MISSING TICKERS
On Feb 16, I noticed that the new UA 2.7.7 distribution
feature to Amibroker would sometimes omit “QQQ” and other
tickers. I now know how to get this problem to recur – set
the maximum number of days to export to a high number. For
each of the following I created a new Amibroker database
and had UA do a distribution with different days of data
specified. I used UA’s Database/Maunual Database
Distribution to start all of the distributions. UA’s own
database was current as of Feb 26, 2004.:
Days to.....Tickers.......Size on......QQQ is or
Export......in AB.........Hard Disk....is not present
50........16,328........ 37 MB.......present
250........14,830........103 MB.......present
500........14,904........174 mb.......present
1000........12,554........235 mb.......no QQQ
2000........ 9,995........243 mb.......no QQQ
3500........ 9,439........245 mb.......no QQQ
Observations:
QQQ is not the only ticker that is missing, but it is the
one used to illustrate the problem.
There seems to be a limit when the database size reaches
approximately 240 MB. No matter how many bars of data are
set for export, the final size of the Amibroker database
seems to peak around 240 MB. I have Amibroker databases
that are over 1GB in size so the bug must be either in the
UA export routine (or in how much Amibroker will accept for
importing). I doubt that it is the latter since I have been
able to import 900 MB files in CSV format into Amibroker
without a problem..
At first, I suspected that the tickers with higher
csiNumbers would be the first to be “dropped” since QQQ has
a rather high csiNumber of 13,341, but this does not appear
so. For example, in the 1000 day export/distribution, QQQ
with a csiNumber of 13,341 is missing but some stocks with
higher csiNumbers are present.
This is all I know about the behavior of this bug at the
present.
ANOTHER (POSSIBLE) BUG – ABBREVIATED HISTORIES
Attached is an Excel sheet that shows UA 2.7.7 produces a
surprising number of tickers with very short data histories
(less than 10 days of trading). Either there have been a
lot of IPOs in the last 2 weeks or UA has a bug that is
cutting off data histories for about 1% of the stocks.
The number of stocks affected is somewhat inconsistent.
Some stocks reappear on lists if one redoes the
distribution to a new Amibroker database, but some new ones
show up and others are no longer short history stocks.
Another puzzle - if one does a an export of 50 days of data
to a new Amibroker database, one finds 169 tickers with
less than 10 days of data, but if one exports 250 days of
data to another new Amibroker database, one gets 158 such
tickers. The number of short history tickers is less when
it should have been higher (since 250 days should have more
inactive stocks than 50 days).
Yet another “short history” observation - I have be doing
the regular UA distribution to one Amibroker database for a
couple of weeks. Although that database was started as a
250 day export (UA’s default), and I have let UA decide how
many days to distribute (ie, I have not done a forced
distribution of 250 days of data for all the stocks since
it was created), yet the number of short history tickers
has grown to over 2,000 at last count. A list of these
tickers is also included in the attached Excel sheet..
I have not been able to figure out why such short histories
appear, but they “may” indicate the presence of a bug.
If no bug is present (ie, if it is due to user error), then
instructions should be given so users can avoid this
situation.
Thank you for your attention to these matters.
All the best to you.
---------------------------------------------
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