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Herman,
One off-side comment: if the system is so sensitive
that 0.04%...0.15% difference in daily prices makes it non-working
it may be extremely risky to trade it.
As for the plugin:
I have just made the experiment and modified the
plugin so it does not get Form-T records. Unfortunatelly
some differences in data still remain.
Do you have eSignal own app installed ? You may take a look at
hourly chart and see that close of last hourly
bar in a day not always equals to close of daily bar.
Let's take a look at AAPL yesterday 3/15 in eSignal's own
application:
Daily Close 26.45 <>
Close of last hourly bar (15:00-16:00)
26.48
The difference is 0.03 (0.11%)
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 7:49
PM
Subject: RE: [amibroker] Does your
Esignal data match your QP2 data???
<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><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. <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). W<FONT
face=Arial>e 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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<TD class=xl29
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<FONT
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<TD class=xl33
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<FONT
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9:30
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$23.26
<TD class=xl31
x:num="5.6399132321041101E-3" x:fmla="=(G12/C12-1)">
0.56%
<TD class=xl31
x:num="0" x:fmla="=(H12/D12-1)">
<TD class=xl31
x:num="0" x:fmla="=(I12/E12-1)">
<TD class=xl31
x:num="4.3010752688177334E-4" x:fmla="=(J12/F12-1)">
0.04%
<TD class=xl33
height=17>
<FONT
size=2>AAPL
<TD class=xl35
x:num="38036.395833333336">
2/19/2004
9:30
<TD class=xl36
x:num="23.28">
$23.28
<TD class=xl36
x:num="23.64">
$23.64
<TD class=xl36
x:num="22.43">
$22.43
<TD class=xl36
x:num="22.49">
$22.49
<TD class=xl37
x:num="23.31">
$23.31
<TD class=xl37
x:num="23.64">
$23.64
<TD class=xl37
x:num="22.41">
$22.41
<TD class=xl37
x:num="22.47">
$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
<FONT face=Tahoma
size=2>
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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