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--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> A new version of IQFeed plugin (1.5.0) has been released to
> http://www.amibroker.com/iqfeed.html
>
> Direct link: http://www.amibroker.com/bin/IQFeed1500.exe
>
Thanks, great work!!! It appears that the "Open=0, Low=0" bug (when
the base-interval is daily) has been fixed now. Elimination of this
bug is a real improvement.
IQFeed's daily data is NOT aggregated from individual ticks (or put in
other words: the aggregation is not conducted by the IQFeed servers).
Therefore, historical data with timeframe daily is CLEAN and no
filtering is necessary.
Filtering would only be necessary for historical minute data as this
data is formed by tick aggregation conducted by the IQFeed servers.
But it's not simply possible for client applications to implement
correct (sound) filtering for historical minute data, unless the
client application downloads historical tick data itself (which
consumes much more bandwith than the download of historical minute bars).
It would be possible to implement a simplified filtering mechanism on
IQFeed's server side, however, as proposed in my thread at
http://www.elitetrader.com/vb/showthread.php?s=&threadid=29282
+++++++++++++++++++++++
Interestingly, eSignal doesn't really filter its backfill data either
(see answers by eSignal to the following questions):
(1) Do data feed vendors such as eSignal get notifications by the
exchanges after trades are busted or re-priced?
(2) If the answer to question (1) is yes, does eSignal adjust the
historical intraday data by filtering out bad ticks?
If the answer to question (1) is no, does eSignal employ any other
filtering approach regarding historical intraday data?
1. This varies on the exchange, but most major exchanges do send out
notifications in their feed for corrections, repricements, etc. Some
exchanges just send emails when certain trades are busted (i.e. CBOT).
2. I'll answer both of your questions in #2... At this time, eSignal
does not automatically adjust it's historical data when it receives
these correction messages, however we do have a team of Quality
Assurance Specialists that monitor the feeds throughout the day and
issue manual corrections if needed. We also have a Bad Tick Reporter
built into eSignal to quickly report any bad ticks directly to our QA
Team. Please know that we are working towards revamping our historical
data servers (specifically our Tick Servers) in order to do this.
eSignal, on the software side, does have configurable client side
price filtering on the eSignal Advanced Charts. In addition, bars can
be edited quickly using the Bar Editor, if a specific change needs to
be implemented for your particular methodology.
If you have any additional questions, please let me know.
__________________
Regards,
Jay F.
eSignal Community Support
http://forum.esignalcentral.com
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