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<FONT face=Arial color=#0000ff
size=2>Tomasz, I recognize there may not be an easy way and it is not your
responsibility to solve it; it will be up to the individual user to develop a
custom solution.
<FONT face=Arial color=#0000ff
size=2>
The
problem faced is simply that many traders have designed and traded systems using
standard EOD data for years, systems that may not (in my case they do
not) work with RT-Compressed data. This is a problem of the times
and i am not blaming anybody for it.
<FONT face=Arial color=#0000ff
size=2>
<SPAN
class=453413718-16032004>I posted my solution last week wrt another
topic: I will run two instances of AB (RT&EOD) and share an
information file between them. Not a nice solution but i cannot think of a
better one. Perhaps we could spawn an EOD AmiBroker version from an RT
AmiBroker version and pass data from one to the
other...
<SPAN
class=453413718-16032004>
<SPAN
class=453413718-16032004>Best regards,
<SPAN
class=453413718-16032004>Herman.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Tahoma
size=2>-----Original Message-----From: Tomasz Janeczko
[mailto:amibroker@xxxxxx]Sent: Tuesday, March 16, 2004 1:29
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Does your Esignal data match your QP2 data???Importance:
High
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
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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$22.47
<TD class=xl31
x:num="1.2886597938144284E-3" x:fmla="=(G13/C13-1)">
0.13%
<TD class=xl31
x:num="0" x:fmla="=(H13/D13-1)">
<TD class=xl31
x:num="-8.9166295140430396E-4" x:fmla="=(I13/E13-1)">
-0.09%
<TD class=xl31
x:num="-8.8928412627831133E-4" x:fmla="=(J13/F13-1)">
-0.09%
<TD class=xl33
height=17>
<FONT
size=2>AAPL
<TD class=xl35
x:num="38037.395833333336">
2/20/2004
9:30
<TD class=xl36
x:num="22.49">
$22.49
<TD class=xl36
x:num="22.51">
$22.51
<TD class=xl36
x:num="22.21">
$22.21
<TD class=xl36
x:num="22.38">
$22.38
<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)">
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 <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> <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
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
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