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--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> A new version of IQFeed plugin (1.5.1) has been released to
> http://www.amibroker.com/iqfeed.html
>
> Direct link: http://www.amibroker.com/bin/IQFeed1510.exe
>
now we have the old bug again. I know this experience ;-)
Open & Low of last (rightmost) bar is now always 0 again, when the
base-interval is daily.
Well, as a workaround I'll try if it's possible to install Amibroker
two times, each installation with a different version of the IQFeed
plugin.
To Ed: The important thing to note here is that data with
base-interval daily does NOT contain any bad ticks. Your QQQ
example was a daily chart generated by compressing 1 minute bars. Of
course, if you compress bars with bad ticks (garbage in), you get
again bars with bad ticks (garbage out).
But if the backfill is done with daily-bars (instead of minute data),
there is no spike problem and the data is wonderfully clean. Which
means that with IQFeed one would be able to look at clean daily
charts, updated in realtime without any spikes, if only the plugin
didn't contain any logic errors.
The fact that daily data doesn't have bad ticks has something to do
with how the IQFeed historical data architecture is working: daily
data is NOT generated from tick data (so it cannot include bad ticks),
but minute data is.
> It implements bad data filter which is based on ATR (average true
range).
> The filter is turned ON by default and uses 9-bar ATR of High-Low range.
> If next bar High-Low range exceeds X times ATR then this bar data
are filtered
> to eliminate spikes.
>
> You can control both averaging (ATR) period and X (the detection
threshold)
> from File->Database Settings->Configure.
>
> You can also TURN OFF the filter already by going to
> File->Database Settings then clicking CONFIGURE button and
UNCHECKING "Enable" flag in
> "CONFIGURE" dialog.
>
> Please note that filter by default runs ATR(9) and if current daily
H-L range
> exceeds by default 4 (four) times the ATR then it considers this bar
as a spike.
>
> This may or may not be correct for each and every symbol. (My
experiments shows
> that this is good choice but I was checking only Nasdaq 100 symbols).
>
> You may increase the threshold from default 4 to say 5.
>
> Anyway as I wrote many times the filtering or fixing bad ticks
should be done by feed
> on tick-by-tick level (not on minute bars) since only that way it
can be accurate.
> And this is what I am hoping for in API 3.0.
>
> Anyway I have done already more than I planned (I have planned to
wait for bad tick filter in IQFeed
yes, filtering on the plug-in level doesn't make much sense as you
need all individual ticks instead of ticks in aggregated form (=
minute bars).
Therefore instead of the ATR-filter, it would be very helpful if the
plug-in was simply working correctly when the base-time interval is daily
(see rationale above).
Btw: Maybe Jay Froscheiser from DTN Market access is following this
thread. This problem with the IQFeed plugin underscores why I
strongly argued for making IQFeed's API publically available (without
the $300 licencse fee).
Even though I'm busy with a lot of other things I have to work on, I
certainly would be interested in developing an own IQFeed plug-in for
Amibroker which could also be released to the public. (I would do
the plugin development in Java, however, and TRY to do the integration
with Amibroker via Java's JNI interface, the latter would be the
hardest part.) What's more, the plug-in development could ideally
even be an open source project, hence allowing a peer review of the
sourcecode and in turn better elimination of bugs!).
best regards,
Wolfgang S.
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