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Terry,
Let me just explain ONE source of dataholes (For me anyway).
* Normal EOD data comes in ok.
* Then you happen to have a Public Holiday, No stocks trade.
At this point NO BAR exists for said day.
* Time Goes By.....
* Then you get some stock updates.
Stock Updates (For me) have valid data prices (No volume) for
stocks ON THE PUBLIC HOLIDAY!!!
* NOW you have some data (Handfull of stocks that have been updated) with
data in the bar that previously did not exist. (Still with 0 volume).
The result - When you create a composite - There will be some days (eg
holidays) that only have a few stocks worth of data - As opposed to the
entire listing of stocks. Obviously - These days will gave MUCH less data
in them.
And can be seen as large down spikes in the composite.
ATB
Michael.
At 11:04 AM 23/06/2004, you wrote:
>Thanks. A couple more questions. For now I'm using Yahoo data. (Will
>switch to CSIData when someone figures out how to import & update without
>major problems).
>
> * RE: v>0 test: the data problems are completely missing days. It
> seems that I will never find a case where V = 0. Those days simply aren't
> there, right or?
> * RE: create a Composite of all stocks. What, exactly, do you mean? If
> I combine all stocks I won't find any zero volume days either...so I must
> not understand.
>
>Thanks for the help.
>
>Terry
>--
>
>Without going through a complete exercise I have found this line useful to
>fill in gaps when I need to
>
>C = iif( V>0, C, valuewhen( V>0, C ) );
>
>This will fill in gaps in data regardless of number of consecutive zero
>volume days
>
>Cheers,
>Graham
><http://e-wire.net.au/~eb_kavan/>http://e-wire.net.au/~eb_kavan/
>
>-----Original Message-----
>From: Michael.S.G. [<mailto:OzFalcon@xxxxxxxxxx]>mailto:OzFalcon@xxxxxxxxxx]
>Sent: Wednesday, June 23, 2004 7:36 AM
>To: amibroker@xxxxxxxxxxxxxxx
>Subject: Re: [amibroker] Foreign and Data Holes
>
>Terry,
>
>This is what I do to fix dataholes.
>
>1) Create a composite from all stocks.
>2) Scan said composite for 0 volume days.
>3) Use these days as reference points to pull the previous bars close price.
>4) Insert previous bars close into OHLC of days with 0 Volume (Step 2).
>
>If you have a few holes in a row, You may need to do an extra pass or two.
>
>ATB
> Michael.
>
>
>
>
>
>At 08:31 AM 23/06/2004, you wrote:
> >I have an indicator based on the ^IXIC. It runs as a function so I can
> >call it whenever. I know the ^IXIC data is correct (no holes anyway).
> >Depending on the symbol I have selected I get DIFFERENT ANSWERS for the
> >value of my indicator and thus different BUY/SELLS. I have determined this
> >is because there are data holes in some of the other symbols.
> >
> >According to the documentation: Please note that if you have data holes in
> >currently selected symbol then in order to synchronize bars Foreign
> >function will remove bars that exist in Foreign symbol but do not exist in
> >currently selected symbol.
> >
> >Question 1: Since my indicator using the ^IXIC is the PRIMARY symbol, is
> >there a way to FILL the selected symbol to match the Foreign symbol
> >instead of deleting data from the Foreign symbol?
> >
> >Question 2: Is there a function or formula to detect data holes? I
> >reloaded my history and solved 99% of the problems (can't fix, for
> >example, ^N225 as Japan probably does not have same market days as U.S.).
> >It seems there should be an easy way for AB to let you know you have data
> >holes.
> >
> >Thanks.
> >
> >Terry
>
>
>
>
>
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>
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