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Re: [amibroker] Does your eSignal data match your QP2 data???



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Yes 
Tomasz I did created a new EOD eSignal data base and i found that (over the same 
20-day random sample) QP2 and eSignal data were exactly the same using EOD, the 
problem i have is with the RT data conversion to EOD prices using only 
the eSignal RT database. 
<FONT face=Arial color=#0000ff 
size=2> 
Also, 
as you suggested, setting AA Settings to the Daily 
mode <FONT face=Arial 
color=#0000ff size=2>gave EOD prices that matched the OHLC extracted from RT 
data, but they do not match either QP2 or eSignal EOD data - this suggests that 
either my code is wrong or RT data is different. When setting the AA 
to Minutes and using <FONT color=#0000ff 
size=2>TimeFrameGetPrice(<FONT color=#ff00ff 
size=2>"O", inDaily, expandFirst ); to 
extract EOD prices from eSignal RT data this gives me different 
prices from both QP2 and eSignal EOD data. 
<FONT face=Arial color=#0000ff 
size=2> 
Any suggestions on how <SPAN 
class=765523122-15032004>I can extract EOD data from eSignal 
RT will be appreciated. 
<FONT 
face=Arial color=#0000ff size=2> 
best 
regards,
<FONT face=Arial color=#0000ff 
size=2>Herman.
// Real 
time Exploration Run on eSignal, use 1 Minute 
settingsOt= TimeFrameGetPrice(<FONT 
color=#ff00ff>"O", inDaily,expandLast );Ht = <FONT 
color=#0000ff>TimeFrameGetPrice("H", 
inDaily,expandLast );Lt = <FONT 
color=#0000ff>TimeFrameGetPrice("L", 
inDaily,expandLast );Ct = <FONT 
color=#0000ff>TimeFrameGetPrice("C", 
inDaily,expandLast );Vt = <FONT 
color=#0000ff>TimeFrameGetPrice("V", 
inDaily,expandLast 
);Buy=Sell=Short=Cover=<FONT 
color=#ff00ff>0;Filter = TimeNum() 
== 093000;<FONT 
color=#0000ff>AddColumn(Ot,"O",<FONT 
color=#ff00ff>1.2);AddColumn(Ht,<FONT 
color=#ff00ff>"H",1.2);<FONT 
color=#0000ff>AddColumn(Lt,"L",<FONT 
color=#ff00ff>1.2);AddColumn(Ct,<FONT 
color=#ff00ff>"C",1.2);<SPAN 
class=765523122-15032004> <FONT 
color=#008000>// Exploration Run on QP2, use 
Daily 
settingsBuy=Sell=Short=Cover=<FONT 
color=#ff00ff>0;Filter = <FONT 
color=#ff00ff>1;AddColumn(O,<FONT 
color=#ff00ff>"O",1.2);<FONT 
color=#0000ff>AddColumn(H,"H",<FONT 
color=#ff00ff>1.2);<FONT 
color=#0000ff>AddColumn(L,"L",<FONT 
color=#ff00ff>1.2);<FONT 
color=#0000ff>AddColumn(C,"C",<FONT 
color=#ff00ff>1.2);

<FONT 
size=2> -----Original 
Message-----From: Tomasz Janeczko 
[mailto:amibroker@xxxxxx]Sent: Monday, March 15, 2004 4:45 
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] 
Does your eSignal data match your QP2 data???Importance: 
High

  Herman,
   
  Did you do what I suggested ? I.e. creating eSignal database 
  with base time interval set to "EOD (daily)" ?
  Best regards,Tomasz Janeczkoamibroker.com
  <BLOCKQUOTE 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    Herman van den 
    Bergen 
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">AmiBroker 
    Sent: Monday, March 15, 2004 6:09 
    PM
    Subject: [amibroker] Does your eSignal 
    data match your QP2 data???
    
    <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);Send 
    BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
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    href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
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    Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend 
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    AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: 
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    href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
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Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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