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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>Tomasz,
I for 
one do NOT want that. Form T and after hours are a part of nasdaq trading. 
Filtering them out does not make them vanish it just makes them 
invisible...... 
 
Regards, 
Jayson 
<FONT face=Tahoma 
size=2>-----Original Message-----From: Tomasz Janeczko 
[mailto:amibroker@xxxxxx]Sent: Tuesday, March 16, 2004 11:05 
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] 
Does your eSignal data match your QP2 data???
Herman,
 
As I wrote in my previous e-mails. Form-T records may lead to 
those differences. As long as you create "daily" bars
from intraday data all records (including Form-T) account into 
daily OHLC bar. On the other hand "pure" EOD records 
given by exchanges do not include trading from 
Form-Ts.
 
If you wish I can make some adjustments to eSignal plugin 
so it will filter-out all Form-T records
(side effect will be that you won't see any pre/after 
hours trading at all, even if you turn off filtering).
 
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 3:12 
  PM
  Subject: RE: [amibroker] Does your 
  eSignal data match your QP2 data???
  
  <FONT face=Arial color=#0000ff 
  size=2><FONT 
  face=Arial color=#0000ff size=2>see also my inline response to 
  Tomasz...
  <FONT face=Arial color=#0000ff 
  size=2><SPAN 
  class=796213912-16032004> 
  <FONT face=Arial color=#0000ff 
  size=2><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. <SPAN 
  class=796213912-16032004>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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        9:30
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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. <FONT face=Arial 
    color=#0000ff>  
    <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 
    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 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.
      <FONT 
      color=#008000>// Real time Exploration Run on eSignal<SPAN 
      class=765523122-15032004>, use 1 Minute settingsOt= 
      TimeFrameGetPrice(<FONT 
      color=#ff00ff>"O", inDaily,expandLast );Ht = 
      TimeFrameGetPrice(<FONT 
      color=#ff00ff>"H", inDaily,expandLast );Lt = 
      TimeFrameGetPrice(<FONT 
      color=#ff00ff>"L", inDaily,expandLast );Ct = 
      TimeFrameGetPrice(<FONT 
      color=#ff00ff>"C", inDaily,expandLast );Vt = 
      TimeFrameGetPrice(<FONT 
      color=#ff00ff>"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);<FONT 
      color=#0000ff>AddColumn(Ht,"H",<FONT 
      color=#ff00ff>1.2);<FONT 
      color=#0000ff>AddColumn(Lt,"L",<FONT 
      color=#ff00ff>1.2);<FONT 
      color=#0000ff>AddColumn(Ct,"C",<FONT 
      color=#ff00ff>1.2);<FONT 
      size=2> // 
      Exploration Run on QP2, use Daily 
      settingsBuy=Sell=Short=Cover=<FONT 
      color=#ff00ff>0;Filter = <FONT 
      color=#ff00ff>1;<FONT 
      color=#0000ff>AddColumn(O,<FONT 
      color=#ff00ff>"O",1.2);<FONT 
      color=#0000ff>AddColumn(H,<FONT 
      color=#ff00ff>"H",1.2);<FONT 
      color=#0000ff>AddColumn(L,<FONT 
      color=#ff00ff>"L",1.2);<FONT 
      color=#0000ff>AddColumn(C,<FONT 
      color=#ff00ff>"C",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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