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Herman,
As I wrote you in a separate e-mail: if you are in EST time
zone you should turn on pre/after hours filtering and set
START time to 9:30 and END time to 15:59. If you set it
otherwise open or close price may be slightly different
than QP2 data because of after hours trading being accounted.
So please check start-end times you have in
File->Database Settings->Intraday Settings.
Anyway you will never be able to reach 100% match
because
intraday data contain all trading (including Form-Ts). My
observation is that Form-Ts start flowing even before 16:00
hence streaming intraday data will contain them while EOD data
not as per nasdaq regulations.
See the following excerpt from: <A
href="">http://www.csidata.com/techjournal/csinews/200010/page01.htm
"A complicating feature of this arrangement was the
inconsistent way trades were reported for the various exchanges. All trades for
Nasdaq-listed issues that occurred in the late trading session (after 4:00 p.m.)
were sent from Nasdaq as Form-T trades. By Nasdaq rule, these trades were not
(and still are not) allowed to change the official daily high-low-last price
data, but they do increment the volume. Ostensibly, this is because Nasdaq uses
4:00 p.m. prices to calculate indices. They (apparently) have no way to preserve
the 4:00 p.m. price quote for each index component. In contrast, trades on
Nasdaq of NYSE-listed issues were sent as regular trades, which altered the
official composite high-low-last quote.<FONT
color=#000000> "
Best regards,Tomasz
Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman van den
Bergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, March 16, 2004 1:09
AM
Subject: RE: [amibroker] Does your
eSignal data match your QP2 data???
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>
<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.
<SPAN
class=765523122-15032004><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= <FONT
color=#0000ff>TimeFrameGetPrice("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 = <FONT
color=#0000ff>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
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