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



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Jayson,
Sure this will be USER-DEFINABLE , I would not hard code 
that because lots of people use pre/afterhours.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Jayson 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Tuesday, March 16, 2004 5:16 
  PM
  Subject: RE: [amibroker] Does your 
  Esignal data match your QP2 data???
  
  <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: <A 
  href="">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><SPAN 
    class=796213912-16032004>
    
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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 
      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> -----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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