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<SPAN
class=531415316-15032004>Hello,
<SPAN
class=531415316-15032004>
I run both eSignal
and QP2 data and am porting some mature QP2 EOD code to eSignal to see
if it can be enhanced with RT data. Before changing any code I wanted
to confirm identical EOD performance in both data environments, I found
huge discrepancies. Comparing daily OHLC prices derived from eSignal RT data
with OHLC data from QuotePlus I found that taking a Random 20-day sample showed
38% disagreement between the two data sources. Now the question arises as to
which is the correct one?
<SPAN
class=531415316-15032004>
If you have both
data sources please let me know if you have noticed this discrepancy. I used the
following code snippets to illustrate this problem. I used two separate AB
instances; one configured for eSignal and one for QuotePlus. Perhaps I am
doing something wrong....I hope so!
<SPAN
class=531415316-15032004>
Many thanks for any
comments you can make,
<SPAN
class=531415316-15032004>Herman.
<SPAN
class=531415316-15032004>
// Exploration Run
on QP2Buy=Sell=Short=Cover=0;Filter =
1;AddColumn(O,"O",1.2);AddColumn(H,"H",1.2);AddColumn(L,"L",1.2);AddColumn(C,"C",1.2);
<SPAN
class=531415316-15032004>
// Real time
Exploration Run on eSignalOt= TimeFrameGetPrice("O", inDaily);Ht =
TimeFrameGetPrice("H", inDaily);Lt = TimeFrameGetPrice("L", inDaily);Ct
= TimeFrameGetPrice("C", inDaily);Vt = TimeFrameGetPrice("V",
inDaily);
<SPAN
class=531415316-15032004>Buy=Sell=Short=Cover=0;Filter = TimeNum() ==
093000;AddColumn(Ot,"O",1.2);AddColumn(Ht,"H",1.2);AddColumn(Lt,"L",1.2);AddColumn(Ct,"C",1.2);
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