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Hi Yuki,
Why not scan your entire DB against your ref ticker & find all the days
for all the stocks where this has happened. (No bars on valid trading days)
ie.
Filter = Ref Stock.
Loop through Watchlist* (ALL STOCKS)
If Foreign* Volume = 0 then Display foreign Valuewhen (V>0 , Close)
Export the results.
And import back into your DB.
I can modify my current Data Hole Filler to do this as well (Cause I also
need to do it - Now that you have mentioned it!!!) And email you the AFL.
Im not going to post this code public - As it requires resposible usage -
Which im only confidant with direct/no confusion email!
** Note **
For bars that already exist with 0 volume - Then overwriting them with last
traded bars close "Should" be ok. Theoreticaly the price "Should" be the
same........
AkBar
Michael.
At 11:28 PM 23/06/2004, you wrote:
>Hi DIMITRIS,
>
>Wednesday, June 23, 2004, 9:20:26 PM, you wrote:
>
>DT> Yuki, the stats should read your stock data. What does your data
>DT> say [after the merge procedure]? Do you have data for the
>DT> non-trading days ? A CSCO trade buy on 18/6, sell on 21/6 is
>DT> reported as Total # of bars in winners: 2 and *not* Total # of
>DT> bars in winners: 4 because 19/6 and 20/6 were not trading days
>DT> [it was a weekend], [I have no data for 19/6 and 20/6 ] How
>DT> could your report "reads2 6-bar trade ??
>
>I do not know DT. I seem to have a problem with this one stock, on
>this one date, and it may be related to the gap, and that other
>stocks do not have this gap, or it may be something else.
>
>Here are some gory details:
>
>1) The back test shows a long entry on March 5, 2003, closing with an
>exit sell on March 12, 2003. There were no intervening bars for
>*this* stock, but the market was open for other stocks of course.
>
>2) The trade shows as 6 bars, and . . . it is, I notice, out of
>sequence. (!) It is the *only* out of sequence trade in nearly a
>thousand trades. Normally, they are listed in order of entry date.
>This one comes between trades on March 10 and March 19 however. It
>is out of sequence, and it is the only one.
>
>3) I have an exploration that I run the night before to identify
>setups. It's time-tested, and accurate. It shows this stock setting
>up on BOTH March 3 and March 4. The data shows the March 3 setup did
>not trigger on March 4, and the back test correctly shows no entry
>then. The data also shows that the March 4 setup did trigger on
>March 5. So the long entry on March 5 is correct.
>
>So, the system is picking up the trade. It was a valid entry. And
>it's selling it on the next bar (for *that* stock), which is March
>12. But . . . the trade is out of sequence -- the only one in almost
>a thousand trades, and it clearly says 6 bars, and that data is being
>averaged into all parts of the back test stats where "bars" are
>calculated.
>
>So, I don't know what is wrong, but the data is clean, and my code is
>fine.
>
>Yuki
>
>
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