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Hello,
Of course it is possible - using time-compressed
data.
But we should agree that daily data created by compression of
intraday data
are perfectly valid - in fact they represent _ALL_ actual
trades.
Best regards,Tomasz
Janeczkoamibroker.com
<BLOCKQUOTE dir=ltr
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, March 16, 2004 7:14
PM
Subject: RE: [amibroker] Does your
Esignal data match your QP2 data???
<FONT face=Arial
color=#0000ff size=2>So, in your opinion is it possible to do what Herman is
trying to do ie work on intraday stops, etc but use EOD
signals?
<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 1:05
PMTo: <A
href="">amibroker@xxxxxxxxxxxxxxxSubject:
Re: [amibroker] Does your Esignal data match your QP2
data???
Herman,
This would lead to much bigger problems than you think.
Now daily (compressed) data in intraday database match intraday
data.
This allows to use multiple time frames and price levels
in different time frames match each other.
With your suggestion implemented you will have daily
data that do not match intraday data. In other words
your single formula would operate on different
data and generate different signals.
Right now if you calculate highest from intraday it is
also highest from daily (compressed) data.
With your approach this would not work.
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 5:50
PM
Subject: RE: [amibroker] Does your
Esignal data match your QP2 data???
<FONT face=Arial color=#0000ff
size=2>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>
<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>
<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>
<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
<FONT face=Arial color=#0000ff
size=2>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><SPAN
class=796213912-16032004>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.
<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> <SPAN
class=796213912-16032004>
<FONT
face=Arial>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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$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>
<FONT
size=2>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
<TD class=xl37
x:num="22.45">
$22.45
<TD class=xl37
x:num="22.46">
$22.46
<TD class=xl37
x:num="21.89">
$21.89
<TD class=xl37
x:num="22.19">
$22.19
<TD class=xl31
x:num="0" x:fmla="=(G15/C15-1)">
<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>
<FONT
size=2>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
x:num="22.74">
$22.74
<TD class=xl36
x:num="22">
$22.00
<TD class=xl36
x:num="22.37">
$22.37
<TD class=xl37
x:num="22.14">
$22.14
<TD class=xl37
x:num="22.74">
$22.74
<TD class=xl37
x:num="22">
$22.00
<TD class=xl37
x:num="22.36">
$22.36
<TD class=xl31
x:num="1.3568521031208647E-3" x:fmla="=(G16/C16-1)">
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>
<FONT
size=2>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
x:num="22.9">
$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>
<FONT
size=2>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>
<FONT
size=2>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
x:num="0" x:fmla="=(H19/D19-1)">
<TD class=xl31
x:num="0" x:fmla="=(I19/E19-1)">
<TD class=xl31
x:num="8.3682008368213268E-4" x:fmla="=(J19/F19-1)">
0.08%
<TD class=xl33
height=17>
<FONT
size=2>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>
<FONT
size=2>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>
<FONT
size=2>AAPL
<TD class=xl35
x:num="38049.395833333336">
3/3/2004
9:30
<TD class=xl36
x:num="23.6">
$23.60
<TD class=xl36
x:num="24.19">
$24.19
<TD class=xl36
x:num="23.6">
$23.60
<TD class=xl36
x:num="23.89">
$23.89
<TD class=xl37
x:num="23.6">
$23.60
<TD class=xl37
x:num="24.19">
$24.19
<TD class=xl37
x:num="23.6">
$23.60
<TD class=xl37
x:num="23.92">
$23.92
<TD class=xl31
x:num="0" x:fmla="=(G22/C22-1)">
<TD class=xl31
x:num="0" x:fmla="=(H22/D22-1)">
<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
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><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
TimeFrameGetPrice<FONT
size=2>("O"<FONT
size=2>, 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> <SPAN
class=765523122-15032004>
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= <FONT
color=#0000ff>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,<FONT
color=#ff00ff>"O",<FONT
color=#ff00ff>1.2);<FONT
color=#0000ff>AddColumn(Ht,<FONT
color=#ff00ff>"H",<FONT
color=#ff00ff>1.2);<FONT
color=#0000ff>AddColumn(Lt,<FONT
color=#ff00ff>"L",<FONT
color=#ff00ff>1.2);<FONT
color=#0000ff>AddColumn(Ct,<FONT
color=#ff00ff>"C",<FONT
color=#ff00ff>1.2);<SPAN
class=765523122-15032004> <FONT
size=2>// Exploration Run on QP2<SPAN
class=765523122-15032004>, use Daily
settingsBuy=Sell=Short=Cover=<FONT
color=#ff00ff>0;Filter = <FONT
color=#ff00ff>1;<FONT
color=#0000ff>AddColumn(O,<FONT
color=#ff00ff>"O",<FONT
color=#ff00ff>1.2);<FONT
color=#0000ff>AddColumn(H,<FONT
color=#ff00ff>"H",<FONT
color=#ff00ff>1.2);<FONT
color=#0000ff>AddColumn(L,<FONT
color=#ff00ff>"L",<FONT
color=#ff00ff>1.2);<FONT
color=#0000ff>AddColumn(C,<FONT
color=#ff00ff>"C",<FONT
color=#ff00ff>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:
<A title=psytek@xxxxxxxx
href="">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>
<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>
<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>
<SPAN
class=531415316-15032004>Many thanks for any comments you
can make,
<SPAN
class=531415316-15032004>Herman.
<SPAN
class=531415316-15032004>
<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>
<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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