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



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<FONT face=Arial color=#0000ff 
size=2>Herman,
<FONT face=Arial color=#0000ff 
size=2> 
I 
think Tomasz hit the nail on the head. Are you finding the errors to be in 
Nasdaq stocks only? You will not match exactly RT and EOD  because of 
nasdaq rules. But the real question is, are they errors? I would say no, they 
are accurate reflections of the nasdaq rules. RT data by design is a zoomed in 
snapshot of what actually occurred during the trading day and does in fact 
include trades that the EOD numbers do not see. Did those trades not happen? Of 
course they did and of course they will be reflected in the decisions of RT 
traders during the after hours session and again tomorrow in the pre market. 
Personally I hate the pre and after markets as they just muddy of the waters but 
nasdaq has them and if you plan to trade RT data you have to learn to live with 
it. An alternative would be to avoid the Nasdaq stocks for your system 
testing
 
Regards, 
Jayson 
<FONT face=Tahoma 
size=2>-----Original Message-----From: Herman van den Bergen 
[mailto:psytek@xxxxxxxx]Sent: Tuesday, March 16, 2004 9:13 
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] 
Does your eSignal data match your QP2 data???
<SPAN 
class=796213912-16032004><FONT face=Arial 
color=#0000ff size=2>see also my inline response to 
Tomasz...
<SPAN 
class=796213912-16032004><SPAN 
class=796213912-16032004> 
<SPAN 
class=796213912-16032004>I 
challenge anybody to produce code that extracts EOD OHLC prices from 
eSignal RT that "reasonable accurate" matches either eSignal EOD or QP2 data. 
<FONT face=Arial color=#0000ff 
size=2>Considering the trend of EOD traders moving into RT this is an important 
topic; nobody wants to throw out working EOD trading systems that took years to 
develop; the idea is to improve existing EOD systems with RT data, not to 
start from scratch developing new systems.
<FONT face=Arial color=#0000ff 
size=2> <FONT face=Arial 
color=#0000ff size=2>
The 
TimeFrameGetPrice() doesn't seem to help here (see code posted 
earlier). We may need a way to switch 
from eSignal RT or eSignal EOD on the fly. The only alternative I 
see is to run two AB instances and use custom files to share data 
between them. This means forever synchronizing two code versions for each 
system, maintain two databases, and develop additional data-sharing code. All 
this work is a very discouraging thought. If you have a better idea I'd like to 
hear from you.
<SPAN 
class=796213912-16032004> 
If somebody proves me wrong 
(wouldn't be the first time) I will humbly and publicly post a retraction and 
apology.
 
<SPAN 
class=796213912-16032004>best 
regards,
<SPAN 
class=796213912-16032004>herman
<SPAN 
class=796213912-16032004> <FONT color=#0000ff 
size=2>

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    x:num="22.82">
      $22.82
    <TD class=xl37 
     
    x:num="22.22">
      $22.22
    <TD class=xl37 
     
    x:num="22.9">
      $22.90
    <TD class=xl37 
     
    x:num="22.21">
      $22.21
    <TD class=xl37 
     
    x:num="22.81">
      $22.81
    <TD class=xl31 
     
    x:num="9.009009009008917E-4" x:fmla="=(G17/C17-1)">
      0.09%
    <TD class=xl31 
     
    x:num="0" x:fmla="=(H17/D17-1)">
       
    <TD class=xl31 
     
    x:num="9.0130689499767769E-4" x:fmla="=(I17/E17-1)">
      0.09%
    <TD class=xl31 
     
    x:num="-4.3821209465388922E-4" x:fmla="=(J17/F17-1)">
      -0.04%
  
    <TD class=xl33 
     
    height=17>
      AAPL
    <TD class=xl35 
     
    x:num="38043.395833333336">
      2/26/2004 
    9:30
    <TD class=xl36 
     
    x:num="22.81">
      $22.81
    <TD class=xl36 
     
    x:num="23.18">
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    <TD class=xl36 
     
    x:num="22.8">
      $22.80
    <TD class=xl36 
     
    x:num="23.11">
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    <TD class=xl37 
     
    x:num="22.84">
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    <TD class=xl37 
     
    x:num="23.18">
      $23.18
    <TD class=xl37 
     
    x:num="22.8">
      $22.80
    <TD class=xl37 
     
    x:num="23.04">
      $23.04
    <TD class=xl31 
     
    x:num="1.3152126260411734E-3" x:fmla="=(G18/C18-1)">
      0.13%
    <TD class=xl31 
     
    x:num="0" x:fmla="=(H18/D18-1)">
       
    <TD class=xl31 
     
    x:num="0" x:fmla="=(I18/E18-1)">
       
    <TD class=xl31 
     
    x:num="-3.0289917784509512E-3" x:fmla="=(J18/F18-1)">
      -0.30%
  
    <TD class=xl33 
     
    height=17>
      AAPL
    <TD class=xl35 
     
    x:num="38044.395833333336">
      2/27/2004 
    9:30
    <TD class=xl36 
     
    x:num="22.96">
      $22.96
    <TD class=xl36 
     
    x:num="24.02">
      $24.02
    <TD class=xl36 
     
    x:num="22.95">
      $22.95
    <TD class=xl36 
     
    x:num="23.9">
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    x:num="22.96">
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    <TD class=xl37 
     
    x:num="24.02">
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    <TD class=xl37 
     
    x:num="22.95">
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    <TD class=xl37 
     
    x:num="23.92">
      $23.92
    <TD class=xl31 
     
    x:num="0" x:fmla="=(G19/C19-1)">
       
    <TD class=xl31 
     
    x:num="0" x:fmla="=(H19/D19-1)">
       
    <TD class=xl31 
     
    x:num="0" x:fmla="=(I19/E19-1)">
       
    <TD class=xl31 
     
    x:num="8.3682008368213268E-4" x:fmla="=(J19/F19-1)">
      0.08%
  
    <TD class=xl33 
     
    height=17>
      AAPL
    <TD class=xl35 
     
    x:num="38047.395833333336">
      3/1/2004 
    9:30
    <TD class=xl36 
     
    x:num="24.1">
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    x:num="24.3">
      $24.30
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    x:num="23.87">
      $23.87
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    x:num="24">
      $24.00
    <TD class=xl37 
     
    x:num="24.09">
      $24.09
    <TD class=xl37 
     
    x:num="24.3">
      $24.30
    <TD class=xl37 
     
    x:num="23.87">
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    x:num="24.02">
      $24.02
    <TD class=xl31 
     
    x:num="-4.1493775933620913E-4" x:fmla="=(G20/C20-1)">
      -0.04%
    <TD class=xl31 
     
    x:num="0" x:fmla="=(H20/D20-1)">
       
    <TD class=xl31 
     
    x:num="0" x:fmla="=(I20/E20-1)">
       
    <TD class=xl31 
     
    x:num="8.3333333333324155E-4" x:fmla="=(J20/F20-1)">
      0.08%
  
    <TD class=xl33 
     
    height=17>
      AAPL
    <TD class=xl35 
     
    x:num="38048.395833333336">
      3/2/2004 
    9:30
    <TD class=xl36 
     
    x:num="24">
      $24.00
    <TD class=xl36 
     
    x:num="24.1">
      $24.10
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    x:num="23.8">
      $23.80
    <TD class=xl36 
     
    x:num="23.83">
      $23.83
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    x:num="24">
      $24.00
    <TD class=xl37 
     
    x:num="24.1">
      $24.10
    <TD class=xl37 
     
    x:num="23.77">
      $23.77
    <TD class=xl37 
     
    x:num="23.81">
      $23.81
    <TD class=xl31 
     
    x:num="0" x:fmla="=(G21/C21-1)">
       
    <TD class=xl31 
     
    x:num="0" x:fmla="=(H21/D21-1)">
       
    <TD class=xl31 
     
    x:num="-1.2605042016806678E-3" x:fmla="=(I21/E21-1)">
      -0.13%
    <TD class=xl31 
     
    x:num="-8.3927822073015523E-4" x:fmla="=(J21/F21-1)">
      -0.08%
  
    <TD class=xl33 
     
    height=17>
      AAPL
    <TD class=xl35 
     
    x:num="38049.395833333336">
      3/3/2004 
    9:30
    <TD class=xl36 
     
    x:num="23.6">
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    x:num="24.19">
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    x:num="23.6">
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    x:num="24.19">
      $24.19
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    x:num="23.6">
      $23.60
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    x:num="23.92">
      $23.92
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    x:num="0" x:fmla="=(G22/C22-1)">
       
    <TD class=xl31 
     
    x:num="0" x:fmla="=(H22/D22-1)">
       
    <TD class=xl31 
     
    x:num="0" x:fmla="=(I22/E22-1)">
       
    <TD class=xl31 
     
    x:num="1.2557555462537895E-3" x:fmla="=(J22/F22-1)">
      <FONT 
size=2>0.13%

  <FONT face=Tahoma 
  size=2>-----Original Message-----From: Tomasz Janeczko 
  [mailto:amibroker@xxxxxx]Sent: Tuesday, March 16, 2004 4:15 
  AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] 
  Does your eSignal data match your QP2 data???Importance: 
  High
  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. <SPAN 
  class=796213912-16032004>  
  
  <FONT face=Arial 
  color=#0000ff> 
  <FONT face=Arial 
  color=#0000ff>Tomasz, I followed all suggestions you made to the 
  letter. All my settings are correct and I also created the new eSignal 
  EOD database. If anybody  doubts my findings then just run the two 
  code samples to convince yourself - don't go by my word alone. I fact I 
  challenge anybody to prove me wrong using the code shown previously. 
  
   
  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.<FONT 
  face=Arial color=#0000ff> 
   
  <FONT face=Arial 
  color=#0000ff>I do not expect a 100% match however I do not expect a 
  38% error rate accross all price fields (OHLC) either this is too high to 
  successfully translate any EOD short term trading system to 
  RT. 
  <FONT face=Arial 
  color=#0000ff> 
  <FONT face=Arial 
  color=#0000ff>The TimeFrameGetPrice() does not help here. <FONT 
  face=Arial color=#0000ff>What we need is a way to switch from eSignal 
  RT or eSignal EOD on the fly. The only alternative I 
  see is to run two AB instances and use custom files to share data 
  between them. This means forever synchronizing two code versions, maintain two 
  databases, and develop additional data-sharing 
code.
  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 
  face="Times New Roman,Times"><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???
    
    <FONT face=Arial color=#0000ff 
    size=2>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> 
    <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() == <FONT 
    color=#ff00ff>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;<FONT 
    color=#0000ff>AddColumn(O,"O",<FONT 
    color=#ff00ff>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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        AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web 
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