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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>
<TABLE cellSpacing=0
cellPadding=0 width=700 border=0 x:str>
<COL
width=46>
<COL
width=94>
<COL
span=8 width=46>
<COL
span=4 width=48>
<TD class=xl32
width=46 height=17>
<TD class=xl33
width=94>
<TD class=xl25
width=184 colSpan=4>
eSignal-RT
<TD class=xl22
width=184 colSpan=4>
<FONT
size=2>eSignal-EOD
<TD class=xl29
width=192 colSpan=4>
%Error
<TD class=xl33
height=17>
Ticker
<TD class=xl33
>
Date/Time
<TD class=xl34
>
O
<TD class=xl34
>
H
<TD class=xl34
>
L
<TD class=xl34
>
C
<TD class=xl28
>
O
<TD class=xl28
>
H
<TD class=xl28
>
L
<TD class=xl28
>
C
<TD class=xl30
>
O
<TD class=xl30
>
H
<TD class=xl30
>
L
<TD class=xl30
>
C
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38021.395833333336">
2/4/2004
9:30
<TD class=xl36
x:num="22">
$22.00
<TD class=xl36
x:num="22.09">
$22.09
<TD class=xl36
x:num="21.7">
$21.70
<TD class=xl36
x:num="21.78">
$21.78
<TD class=xl37
x:num="22">
$22.00
<TD class=xl37
x:num="22.09">
$22.09
<TD class=xl37
x:num="21.7">
$21.70
<TD class=xl37
x:num="21.79">
$21.79
<TD class=xl31
x:num="0" x:fmla="=(G3/C3-1)">
<TD class=xl31
x:num="0" x:fmla="=(H3/D3-1)">
<TD class=xl31
x:num="0" x:fmla="=(I3/E3-1)">
<TD class=xl31
x:num="4.5913682277309853E-4" x:fmla="=(J3/F3-1)">
0.05%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38022.395833333336">
2/5/2004
9:30
<TD class=xl36
x:num="21.82">
$21.82
<TD class=xl36
x:num="22.91">
$22.91
<TD class=xl36
x:num="21.81">
$21.81
<TD class=xl36
x:num="22.42">
$22.42
<TD class=xl37
x:num="21.82">
$21.82
<TD class=xl37
x:num="22.91">
$22.91
<TD class=xl37
x:num="21.81">
$21.81
<TD class=xl37
x:num="22.42">
$22.42
<TD class=xl31
x:num="0" x:fmla="=(G4/C4-1)">
<TD class=xl31
x:num="0" x:fmla="=(H4/D4-1)">
<TD class=xl31
x:num="0" x:fmla="=(I4/E4-1)">
<TD class=xl31
x:num="0" x:fmla="=(J4/F4-1)">
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38023.395833333336">
2/6/2004
9:30
<TD class=xl36
x:num="22.45">
$22.45
<TD class=xl36
x:num="22.89">
$22.89
<TD class=xl36
x:num="22.4">
$22.40
<TD class=xl36
x:num="22.7">
$22.70
<TD class=xl37
x:num="22.45">
$22.45
<TD class=xl37
x:num="22.89">
$22.89
<TD class=xl37
x:num="22.4">
$22.40
<TD class=xl37
x:num="22.71">
$22.71
<TD class=xl31
x:num="0" x:fmla="=(G5/C5-1)">
<TD class=xl31
x:num="0" x:fmla="=(H5/D5-1)">
<TD class=xl31
x:num="0" x:fmla="=(I5/E5-1)">
<TD class=xl31
x:num="4.4052863436139233E-4" x:fmla="=(J5/F5-1)">
0.04%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38026.395833333336">
2/9/2004
9:30
<TD class=xl36
x:num="22.62">
$22.62
<TD class=xl36
x:num="22.86">
$22.86
<TD class=xl36
x:num="22.5">
$22.50
<TD class=xl36
x:num="22.67">
$22.67
<TD class=xl37
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$22.62
<TD class=xl37
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$22.86
<TD class=xl37
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$22.50
<TD class=xl37
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$22.67
<TD class=xl31
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<TD class=xl31
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<TD class=xl31
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<TD class=xl31
x:num="0" x:fmla="=(J6/F6-1)">
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38027.395833333336">
2/10/2004
9:30
<TD class=xl36
x:num="22.63">
$22.63
<TD class=xl36
x:num="23.12">
$23.12
<TD class=xl36
x:num="22.44">
$22.44
<TD class=xl36
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$23.03
<TD class=xl37
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$22.62
<TD class=xl37
x:num="23.12">
$23.12
<TD class=xl37
x:num="22.44">
$22.44
<TD class=xl37
x:num="22.98">
$22.98
<TD class=xl31
x:num="-4.4189129474137001E-4" x:fmla="=(G7/C7-1)">
-0.04%
<TD class=xl31
x:num="0" x:fmla="=(H7/D7-1)">
<TD class=xl31
x:num="0" x:fmla="=(I7/E7-1)">
<TD class=xl31
x:num="-2.1710811984368972E-3" x:fmla="=(J7/F7-1)">
-0.22%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38028.395833333336">
2/11/2004
9:30
<TD class=xl36
x:num="23.12">
$23.12
<TD class=xl36
x:num="23.87">
$23.87
<TD class=xl36
x:num="23.05">
$23.05
<TD class=xl36
x:num="23.8">
$23.80
<TD class=xl37
x:num="23.09">
$23.09
<TD class=xl37
x:num="23.87">
$23.87
<TD class=xl37
x:num="23.05">
$23.05
<TD class=xl37
x:num="23.8">
$23.80
<TD class=xl31
x:num="-1.2975778546713279E-3" x:fmla="=(G8/C8-1)">
-0.13%
<TD class=xl31
x:num="0" x:fmla="=(H8/D8-1)">
<TD class=xl31
x:num="0" x:fmla="=(I8/E8-1)">
<TD class=xl31
x:num="0" x:fmla="=(J8/F8-1)">
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38029.395833333336">
2/12/2004
9:30
<TD class=xl36
x:num="23.75">
$23.75
<TD class=xl36
x:num="24">
$24.00
<TD class=xl36
x:num="23.6">
$23.60
<TD class=xl36
x:num="23.78">
$23.78
<TD class=xl37
x:num="23.67">
$23.67
<TD class=xl37
x:num="23.99">
$23.99
<TD class=xl37
x:num="23.6">
$23.60
<TD class=xl37
x:num="23.73">
$23.73
<TD class=xl31
x:num="-3.3684210526314651E-3" x:fmla="=(G9/C9-1)">
-0.34%
<TD class=xl31
x:num="-4.166666666667318E-4" x:fmla="=(H9/D9-1)">
-0.04%
<TD class=xl31
x:num="0" x:fmla="=(I9/E9-1)">
<TD class=xl31
x:num="-2.102607232968956E-3" x:fmla="=(J9/F9-1)">
-0.21%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38030.395833333336">
2/13/2004
9:30
<TD class=xl36
x:num="23.73">
$23.73
<TD class=xl36
x:num="24.1">
$24.10
<TD class=xl36
x:num="22.83">
$22.83
<TD class=xl36
x:num="22.99">
$22.99
<TD class=xl37
x:num="23.85">
$23.85
<TD class=xl37
x:num="24.1">
$24.10
<TD class=xl37
x:num="22.83">
$22.83
<TD class=xl37
x:num="23">
$23.00
<TD class=xl31
x:num="5.0568900126422012E-3" x:fmla="=(G10/C10-1)">
0.51%
<TD class=xl31
x:num="0" x:fmla="=(H10/D10-1)">
<TD class=xl31
x:num="0" x:fmla="=(I10/E10-1)">
<TD class=xl31
x:num="4.349717268379294E-4" x:fmla="=(J10/F10-1)">
0.04%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38034.395833333336">
2/17/2004
9:30
<TD class=xl36
x:num="23.15">
$23.15
<TD class=xl36
x:num="23.49">
$23.49
<TD class=xl36
x:num="23.1">
$23.10
<TD class=xl36
x:num="23.17">
$23.17
<TD class=xl37
x:num="23.1">
$23.10
<TD class=xl37
x:num="23.49">
$23.49
<TD class=xl37
x:num="23.1">
$23.10
<TD class=xl37
x:num="23.16">
$23.16
<TD class=xl31
x:num="-2.1598272138227959E-3" x:fmla="=(G11/C11-1)">
-0.22%
<TD class=xl31
x:num="0" x:fmla="=(H11/D11-1)">
<TD class=xl31
x:num="0" x:fmla="=(I11/E11-1)">
<TD class=xl31
x:num="-4.315925766077422E-4" x:fmla="=(J11/F11-1)">
-0.04%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38035.395833333336">
2/18/2004
9:30
<TD class=xl36
x:num="23.05">
$23.05
<TD class=xl36
x:num="23.44">
$23.44
<TD class=xl36
x:num="23.05">
$23.05
<TD class=xl36
x:num="23.25">
$23.25
<TD class=xl37
x:num="23.18">
$23.18
<TD class=xl37
x:num="23.44">
$23.44
<TD class=xl37
x:num="23.05">
$23.05
<TD class=xl37
x:num="23.26">
$23.26
<TD class=xl31
x:num="5.6399132321041101E-3" x:fmla="=(G12/C12-1)">
0.56%
<TD class=xl31
x:num="0" x:fmla="=(H12/D12-1)">
<TD class=xl31
x:num="0" x:fmla="=(I12/E12-1)">
<TD class=xl31
x:num="4.3010752688177334E-4" x:fmla="=(J12/F12-1)">
0.04%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38036.395833333336">
2/19/2004
9:30
<TD class=xl36
x:num="23.28">
$23.28
<TD class=xl36
x:num="23.64">
$23.64
<TD class=xl36
x:num="22.43">
$22.43
<TD class=xl36
x:num="22.49">
$22.49
<TD class=xl37
x:num="23.31">
$23.31
<TD class=xl37
x:num="23.64">
$23.64
<TD class=xl37
x:num="22.41">
$22.41
<TD class=xl37
x:num="22.47">
$22.47
<TD class=xl31
x:num="1.2886597938144284E-3" x:fmla="=(G13/C13-1)">
0.13%
<TD class=xl31
x:num="0" x:fmla="=(H13/D13-1)">
<TD class=xl31
x:num="-8.9166295140430396E-4" x:fmla="=(I13/E13-1)">
-0.09%
<TD class=xl31
x:num="-8.8928412627831133E-4" x:fmla="=(J13/F13-1)">
-0.09%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38037.395833333336">
2/20/2004
9:30
<TD class=xl36
x:num="22.49">
$22.49
<TD class=xl36
x:num="22.51">
$22.51
<TD class=xl36
x:num="22.21">
$22.21
<TD class=xl36
x:num="22.38">
$22.38
<TD class=xl37
x:num="22.5">
$22.50
<TD class=xl37
x:num="22.51">
$22.51
<TD class=xl37
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$22.21
<TD class=xl37
x:num="22.4">
$22.40
<TD class=xl31
x:num="4.4464206313921117E-4" x:fmla="=(G14/C14-1)">
0.04%
<TD class=xl31
x:num="0" x:fmla="=(H14/D14-1)">
<TD class=xl31
x:num="0" x:fmla="=(I14/E14-1)">
<TD class=xl31
x:num="8.9365504915095428E-4" x:fmla="=(J14/F14-1)">
0.09%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38040.395833333336">
2/23/2004
9:30
<TD class=xl36
x:num="22.45">
$22.45
<TD class=xl36
x:num="22.5">
$22.50
<TD class=xl36
x:num="21.89">
$21.89
<TD class=xl36
x:num="22.1">
$22.10
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x:num="22.45">
$22.45
<TD class=xl37
x:num="22.46">
$22.46
<TD class=xl37
x:num="21.89">
$21.89
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$22.19
<TD class=xl31
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<TD class=xl31
x:num="-1.777777777777767E-3" x:fmla="=(H15/D15-1)">
-0.18%
<TD class=xl31
x:num="0" x:fmla="=(I15/E15-1)">
<TD class=xl31
x:num="4.0723981900452344E-3" x:fmla="=(J15/F15-1)">
0.41%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38041.395833333336">
2/24/2004
9:30
<TD class=xl36
x:num="22.11">
$22.11
<TD class=xl36
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$22.74
<TD class=xl36
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$22.00
<TD class=xl36
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$22.37
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$22.14
<TD class=xl37
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$22.74
<TD class=xl37
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$22.00
<TD class=xl37
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$22.36
<TD class=xl31
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0.14%
<TD class=xl31
x:num="0" x:fmla="=(H16/D16-1)">
<TD class=xl31
x:num="0" x:fmla="=(I16/E16-1)">
<TD class=xl31
x:num="-4.4702726866341358E-4" x:fmla="=(J16/F16-1)">
-0.04%
<TD class=xl33
height=17>
AAPL
<TD class=xl35
x:num="38042.395833333336">
2/25/2004
9:30
<TD class=xl36
x:num="22.2">
$22.20
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$22.90
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<TD class=xl36
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$22.82
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$22.22
<TD class=xl37
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$22.90
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$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">
$23.18
<TD class=xl36
x:num="22.8">
$22.80
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$23.11
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$22.84
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$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
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$22.95
<TD class=xl36
x:num="23.9">
$23.90
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x:num="22.96">
$22.96
<TD class=xl37
x:num="24.02">
$24.02
<TD class=xl37
x:num="22.95">
$22.95
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x:num="23.92">
$23.92
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x:num="0" x:fmla="=(G19/C19-1)">
<TD class=xl31
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<TD class=xl31
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<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">
$24.10
<TD class=xl36
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$24.30
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x:num="23.87">
$23.87
<TD class=xl36
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$24.00
<TD class=xl37
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$24.09
<TD class=xl37
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$24.30
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$23.87
<TD class=xl37
x:num="24.02">
$24.02
<TD class=xl31
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-0.04%
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<TD class=xl31
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<TD class=xl31
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0.08%
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AAPL
<TD class=xl35
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3/2/2004
9:30
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$24.00
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$24.10
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$23.77
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$23.81
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<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
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AAPL
<TD class=xl35
x:num="38049.395833333336">
3/3/2004
9:30
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$23.60
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$23.92
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<TD class=xl31
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<TD class=xl31
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<TD class=xl31
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<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
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