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Re: [amibroker] I've problems with the BARCOUNT concept, please



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<FONT face=Arial 
color=#0000ff size=2>The plugin change sounds like the ideal solution to this. 
BUT need I say that some might want it like it is?
<FONT face=Arial 
color=#0000ff size=2> 
<FONT face=Arial 
color=#0000ff size=2>d

  
  
  From: Tomasz Janeczko 
  [mailto:amibroker@xxxxxx] Sent: Tuesday, March 16, 2004 11:11 
  AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] 
  Does your Esignal data match your QP2 data???
  
  Herman,
  TimeFrameGetPrice as any other timeframe funciton COMPRESSES 
  data.
  In your case it creates DAILY bars from intraday data. Those intraday 
  data contain
  ALL trades, while EOD records published by NASDAQ do NOT include all 
  trades.
  Hence the difference.
   
  As Jayson pointed out this is by nasdaq regulation and you may only wish 
  NOT to receive Form-T
  in intraday data - this is doable but would require changing the plugin 
  to REMOVE Form-T records
  from intraday data.
  Best regards,Tomasz Janeczkoamibroker.com
  <BLOCKQUOTE dir=ltr 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    Herman van den 
    Bergen 
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">amibroker@xxxxxxxxxxxxxxx 
    Sent: Tuesday, March 16, 2004 5:03 
    PM
    Subject: RE: [amibroker] Does your 
    Esignal data match your QP2 data???
    
    <FONT face=Arial color=#0000ff 
    size=2>Hello Jayson, I think everybody misses the point.
    <FONT face=Arial color=#0000ff 
    size=2> 
    As 
    my subject line indicates I found a significant difference between 
    eSignal/QP2 EOD and eSignal RT data. Initially this was denied, now it is 
    explained. 
    <FONT face=Arial color=#0000ff 
    size=2> 
    <FONT face=Arial color=#0000ff 
    size=2>The point I made and that is missed by most readers remains 
    exactly the same: the data differs significantly and you cannot convert 
    short term EOD systems to RT and expect the same results. BTW, I trade 
    NASDAQ exclusively and wouldn't think of changing, also pre/after hours data 
    is NOT included in the comparison.
    <FONT face=Arial color=#0000ff 
    size=2> 
    <FONT face=Arial color=#0000ff 
    size=2>AmiBroker does not let you access separate EOD and RT databases from 
    one program (as far as I know) so it is impossible to convert complicated 
    code that took years to develop and is based on EOD-quality data to an RT 
    environment. This means that EOD short-term traders will not be able 
    to optimize Stops, Targets and Limit orders with adding RT data; 
    using that type of orders will give you unrealistic results in EOD 
    backtesting. The only solution i can think of is to maintain two 
    databases and develop some form of communication between the RT and EOD 
    instances of AB (Composites don't work because they reside in different 
    DBs).
    <FONT face=Arial color=#0000ff 
    size=2> 
    <FONT face=Arial color=#0000ff 
    size=2>After going around in circles a few times my original question has 
    been answered: eSignal RT OHLC data retrieved using <FONT color=#0000ff 
    size=2>TimeFrameGetPrice() is NOT the same as eSignal or QP2 EOD 
    OHLC data. The reason for this is irrelevant, the fact stands and 
    causes problems in system design and conversion from EOD to RT. Now that 
    this has been confirmed I have to find a way to work around/with 
    it.
    <FONT face=Arial color=#0000ff 
    size=2> 
    <FONT face=Arial color=#0000ff 
    size=2>Thank you for your comments Jason,
    <FONT face=Arial color=#0000ff 
    size=2>best regards,
    <FONT face=Arial color=#0000ff 
    size=2>herman.
    
      <FONT face=Tahoma 
      size=2>-----Original Message-----From: Jayson 
      [mailto:jcasavant@xxxxxxxxxxx]Sent: Tuesday, March 16, 2004 
      10:11 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
      [amibroker] Does your Esignal data match your QP2 
      data???Importance: High
      <FONT face=Arial color=#0000ff 
      size=2>Herman,
      <FONT face=Arial color=#0000ff 
      size=2> 
      <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???
      <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> 
      <SPAN 
      class=796213912-16032004>best 
      regards,
      <SPAN 
      class=796213912-16032004>herman
      <SPAN 
      class=796213912-16032004> <FONT 
      color=#0000ff size=2><SPAN 
      class=796213912-16032004>
      
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          x:num="22.38">
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          <TD class=xl37 
           
          x:num="22.5">
            $22.50
          <TD class=xl37 
           
          x:num="22.51">
            $22.51
          <TD class=xl37 
           
          x:num="22.21">
            $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)">
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          <TD class=xl33 
           
          height=17>
            AAPL
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          x:num="38040.395833333336">
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            9:30
          <TD class=xl36 
           
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          <TD class=xl36 
           
          x:num="22.5">
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          <TD class=xl36 
           
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          <TD class=xl36 
           
          x:num="22.1">
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          <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)">
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          <TD class=xl33 
           
          height=17>
            AAPL
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          x:num="38041.395833333336">
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            9:30
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            $22.36
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          x:num="0" x:fmla="=(H16/D16-1)">
             
          <TD class=xl31 
           
          x:num="0" x:fmla="=(I16/E16-1)">
             
          <TD class=xl31 
           
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          <TD class=xl33 
           
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            AAPL
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          x:num="38042.395833333336">
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            9:30
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          <TD class=xl31 
           
          x:num="9.0130689499767769E-4" x:fmla="=(I17/E17-1)">
            0.09%
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          x:num="-4.3821209465388922E-4" x:fmla="=(J17/F17-1)">
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            AAPL
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            9:30
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          <TD class=xl31 
           
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            9:30
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          <TD class=xl31 
           
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          <TD class=xl31 
           
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            AAPL
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            9:30
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          x:num="0" x:fmla="=(I20/E20-1)">
             
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            9:30
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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.<SPAN 
        class=796213912-16032004><FONT face=Arial 
        color=#0000ff> 
        <SPAN 
        class=796213912-16032004> 
        <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. 
        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 <SPAN 
          class=765523122-15032004>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> <FONT face=Tahoma 
          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 
              suggest@xxxxxxxxxxxxx-----------------------------------------Post 
              AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
              (Web page: <A 
              href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
              group FAQ at: <A 
              href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
              Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend 
              SUGGESTIONS to 
              suggest@xxxxxxxxxxxxx-----------------------------------------Post 
              AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
              (Web page: <A 
              href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
              group FAQ at: <A 
              href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
              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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      bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
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      href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
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      href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
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