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Thank
you Tomasz and others for all your comments however I really think i
understand ALL the issues and i am NOT arguing with any of them. The problem has
been confirmed: I am not seeking an explanantion; i am seeking a practical
solution.
<FONT face=Arial color=#0000ff
size=2>
The
differences appear in all price fields (OHLC) and seem to exceed that which may
be caused by Form-T trades so there is no garantee that adding a Form-T
filter would solve the problem. If it is an easy test we could try but
perhaps the effort would be better spend on development of a function that
allows us to access both the eSignal EOD and eSignal RT DB from the same code. I
know this will introduce other problems however i think we can code around
those.
<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: 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???Importance:
High
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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<FONT
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<FONT
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O
<TD class=xl34
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H
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L
<TD class=xl34
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C
<TD class=xl28
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O
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H
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L
<TD class=xl28
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C
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O
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H
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L
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C
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AAPL
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2/5/2004
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AAPL
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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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9:30
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$23.73
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<TD class=xl31
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-0.04%
<TD class=xl31
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<TD class=xl31
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AAPL
<TD class=xl35
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2/13/2004
9:30
<TD class=xl36
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$23.73
<TD class=xl36
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$24.10
<TD class=xl36
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$22.99
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<TD class=xl31
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<TD class=xl31
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AAPL
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2/17/2004
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$23.16
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<TD class=xl31
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2/18/2004
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$23.26
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<TD class=xl31
x:num="0" x:fmla="=(I12/E12-1)">
<TD class=xl31
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AAPL
<TD class=xl35
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2/19/2004
9:30
<TD class=xl36
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$23.28
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$22.47
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<TD class=xl31
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AAPL
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2/20/2004
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<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
<TD class=xl36
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$22.90
<TD class=xl36
x:num="22.19">
$22.19
<TD class=xl36
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">
$23.18
<TD class=xl36
x:num="22.8">
$22.80
<TD class=xl36
x:num="23.11">
$23.11
<TD class=xl37
x:num="22.84">
$22.84
<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">
$23.90
<TD class=xl37
x:num="22.96">
$22.96
<TD class=xl37
x:num="24.02">
$24.02
<TD class=xl37
x:num="22.95">
$22.95
<TD class=xl37
x:num="23.92">
$23.92
<TD class=xl31
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
x:num="24.3">
$24.30
<TD class=xl36
x:num="23.87">
$23.87
<TD class=xl36
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">
$23.87
<TD class=xl37
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
<TD class=xl36
x:num="23.8">
$23.80
<TD class=xl36
x:num="23.83">
$23.83
<TD class=xl37
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">
$23.60
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$24.19
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$23.60
<TD class=xl36
x:num="23.89">
$23.89
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x:num="23.6">
$23.60
<TD class=xl37
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$24.19
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$23.60
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$23.92
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<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. <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
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