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Tomasz,
It is NOT misaligned data. Here is what I did to test this hypothesis:
I created a new database, imported 2 symbols into it with data
starting from 12/24/2003 to 1/29/2004. This range is easily
verifiable with the naked eye. There are NO missing days, NO
misalignments. I can see that from the charts. I also checked the
data in notepad before I imported into AB.
Next, I ran the exploration after selecting qqq. qROC was calculated
starting from the 4th bar, which is correct because the formula is
qROC = ROC(close, 3);
Next, I selected aapl and ran this same exploration. The qROC was
calculated starting from the 5th bar, which is WRONG since there is
data from 12/24/2004 for aapl. This is exactly what I see when I load
all the data, the formula is shifted by 1 bar.
here are the files of data and results that I used:
qqq:
12/23/2003,1315,35.60,36.02,35.53,35.84,67060700,0
12/24/2003,1315,35.84,36.02,35.80,35.90,44840300,0
12/26/2003,1315,35.96,36.09,35.82,35.85,25499000,0
12/29/2003,1315,36.03,36.53,36.02,36.44,63456000,0
12/30/2003,1315,36.53,36.58,36.30,36.56,48282100,0
12/31/2003,1315,36.60,36.64,36.25,36.46,60531500,0
01/02/2004,1315,36.65,36.79,36.22,36.36,55263700,0
01/05/2004,1315,36.60,37.16,36.56,37.09,69757000,0
01/06/2004,1315,37.08,37.42,36.95,37.34,60075300,0
01/07/2004,1315,37.28,37.68,37.07,37.68,71895800,0
01/08/2004,1315,37.87,38.00,37.60,37.98,78268200,0
01/09/2004,1315,37.71,38.35,37.59,37.73,94326896,0
01/12/2004,1315,37.85,38.35,37.68,38.33,77719504,0
01/13/2004,1315,38.27,38.36,37.60,37.95,93060896,0
01/14/2004,1315,38.08,38.25,37.84,38.08,69074400,0
01/15/2004,1315,37.93,38.46,37.63,38.18,104597104,0
01/16/2004,1315,38.38,38.63,38.17,38.57,77371600,0
01/20/2004,1315,38.73,38.85,38.31,38.54,82083600,0
01/21/2004,1315,38.39,38.66,38.00,38.38,112316800,0
01/22/2004,1315,38.55,38.69,38.06,38.15,90966400,0
01/23/2004,1315,38.21,38.46,37.78,38.01,88805504,0
01/26/2004,1315,37.98,38.65,37.84,38.59,84703400,0
01/27/2004,1315,38.51,38.63,37.69,37.74,97365800,0
01/28/2004,1315,37.94,38.06,37.00,37.10,128169296,0
01/29/2004,1315,37.24,37.31,36.66,37.24,144040496,0
aapl:
12/23/2003,1300,19.92,19.95,19.60,19.81,5509189,0
12/24/2003,1300,19.72,20.59,19.65,20.41,3169128,0
12/26/2003,1300,20.35,20.91,20.34,20.78,1851614,0
12/29/2003,1300,20.91,21.16,20.86,21.15,4168852,0
12/30/2003,1300,21.18,21.50,21.15,21.28,3658351,0
12/31/2003,1300,21.35,21.53,21.18,21.37,3115460,0
01/02/2004,1300,21.55,21.75,21.18,21.28,2583378,0
01/05/2004,1300,21.42,22.39,21.42,22.17,7060234,0
01/06/2004,1300,22.25,22.42,21.71,22.09,9101133,0
01/07/2004,1300,22.10,22.83,21.93,22.59,10481444,0
01/08/2004,1300,22.84,23.73,22.65,23.36,8220176,0
01/09/2004,1300,23.23,24.13,22.79,23.00,7641639,0
01/12/2004,1300,23.31,24.00,23.10,23.73,8711348,0
01/13/2004,1300,24.70,24.84,23.86,24.12,12126874,0
01/14/2004,1300,24.40,24.54,23.78,24.20,11153762,0
01/15/2004,1300,22.91,23.40,22.50,22.85,18185794,0
01/16/2004,1300,23.00,23.04,22.61,22.72,6658609,0
01/20/2004,1300,22.67,22.80,22.25,22.73,5642722,0
01/21/2004,1300,22.70,22.97,22.43,22.61,4054951,0
01/22/2004,1300,22.56,22.83,22.18,22.18,3660782,0
01/23/2004,1300,22.42,22.74,22.25,22.56,4057256,0
01/26/2004,1300,22.46,23.06,22.43,23.01,4845078,0
01/27/2004,1300,23.03,23.25,22.80,23.07,5486319,0
01/28/2004,1300,22.84,23.38,22.41,22.52,4917934,0
01/29/2004,1300,22.63,22.80,22.19,22.68,379
qqq:
And here are the results:
Ticker Date/Time QROC
qqqDailyTest 12/24/2003 13:15
qqqDailyTest 12/26/2003 13:15
qqqDailyTest 12/29/2003 13:15
qqqDailyTest 12/30/2003 13:15 1.84
qqqDailyTest 12/31/2003 13:15 1.7
qqqDailyTest 1/2/2004 13:15 -0.22
qqqDailyTest 1/5/2004 13:15 1.45
qqqDailyTest 1/6/2004 13:15 2.41
qqqDailyTest 1/7/2004 13:15 3.63
qqqDailyTest 1/8/2004 13:15 2.4
qqqDailyTest 1/9/2004 13:15 1.04
qqqDailyTest 1/12/2004 13:15 1.73
qqqDailyTest 1/13/2004 13:15 -0.08
qqqDailyTest 1/14/2004 13:15 0.93
qqqDailyTest 1/15/2004 13:15 -0.39
qqqDailyTest 1/16/2004 13:15 1.63
qqqDailyTest 1/20/2004 13:15 1.21
qqqDailyTest 1/21/2004 13:15 0.52
qqqDailyTest 1/22/2004 13:15 -1.09
qqqDailyTest 1/23/2004 13:15 -1.38
qqqDailyTest 1/26/2004 13:15 0.55
qqqDailyTest 1/27/2004 13:15 -1.07
qqqDailyTest 1/28/2004 13:15 -2.39
qqqDailyTest 1/29/2004 13:15 -3.5
aapl:
Ticker Date/Time QROC
aaplDailyTest 12/24/2003 13:00
aaplDailyTest 12/26/2003 13:00
aaplDailyTest 12/29/2003 13:00
aaplDailyTest 12/30/2003 13:00
aaplDailyTest 12/31/2003 13:00 1.84
aaplDailyTest 1/2/2004 13:00 1.7
aaplDailyTest 1/5/2004 13:00 -0.22
aaplDailyTest 1/6/2004 13:00 1.45
aaplDailyTest 1/7/2004 13:00 2.41
aaplDailyTest 1/8/2004 13:00 3.63
aaplDailyTest 1/9/2004 13:00 2.4
aaplDailyTest 1/12/2004 13:00 1.04
aaplDailyTest 1/13/2004 13:00 1.73
aaplDailyTest 1/14/2004 13:00 -0.08
aaplDailyTest 1/15/2004 13:00 0.93
aaplDailyTest 1/16/2004 13:00 -0.39
aaplDailyTest 1/20/2004 13:00 1.63
aaplDailyTest 1/21/2004 13:00 1.21
aaplDailyTest 1/22/2004 13:00 0.52
aaplDailyTest 1/23/2004 13:00 -1.09
aaplDailyTest 1/26/2004 13:00 -1.38
aaplDailyTest 1/27/2004 13:00 0.55
aaplDailyTest 1/28/2004 13:00 -1.07
aaplDailyTest 1/29/2004 13:00 -2.39
you can see that qROC for aapl is shifted by 1 bar.
here is the formula:
SetForeign("qqqDailyTest");
qROC = ROC(Close, 3);
RestorePriceArrays();
Filter = 1;
AddColumn(qROC, "QROC");
This is very important. Please take the time to test this yourself
and tell me where I am making a mistake.
thanks,
ken
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> >
> > How can data be misaligned? no matter what the value of aapl, on
> > 1/2/2004, I expect qROC to be -.22 because it is calculated based
on
> > qqq data, not aapl.
>
> Again - there is NO bug and the behaviour is correct (i.e. as
documented)
>
> Please do what I write. I am not brushing away.
>
> So again:
> Please do read the documentation
> http://www.amibroker.com/f?foreign
>
> It says:
> "Foreign function synchronizes the data file
> you are referencing with the currently selected symbol.
>
> Synchronization makes sure that EACH bar of FOREIGN data
> matches exactly with each bar of currently selected symbol.
>
> So if DateNum() function returns 990503 for given bar
> then Close array represents the CLOSE of currently selected symbol
at May 3, 1999
> and Foreign("SYMBOL", "C") represents close of foreign symbol at
May 3, 1999 TOO.
>
> This is absolutely necessary because otherwise you won't be able
> to do ANY meaningful operations involving both selected symbol and
foreign symbol.
>
> This also needed for the display so when you mark the quote with
vertical
> line it will always match the date displayed regardless if you use
Foreign or not.
>
> 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."
>
>
> Now if you have misaligned QQQ and AAPL data in three last bars you
will GET
> DIFFERENT results of your qROC.
>
> So AGAIN PLEASE
> Go to Tools->Database Purify, enter QQQ as reference symbol and
> click "ANALYSE" and you will see.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "k_binder_" <k_binder_@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, October 06, 2004 4:13 PM
> Subject: [amibroker] Re: setforeign bug
>
>
> >
> >
> > Tomasz,
> > Let me explain the situation again, in case you are just brushing
> > this away as misaligned data again:
> > there are 2 data streams, qqq and aapl. (This happens with all
nasdaq
> > 100 stocks for me).
> >
> > This is the formula:
> > SetForeign("qqq");
> >> > > qROC = ROC(Close, 3);
> >> > > RestorePriceArrays();
> >> > >
> >> > > Filter = 1;
> >> > > AddColumn(qROC, "QROC");
> >
> > when I "explore" this on qqq, I get a value of qROC=-.22 on
1/2/2004
> > when I "explore" this on aapl, qROC on the bar after 1/2/2004 is -
.22.
> >
> > How can data be misaligned? no matter what the value of aapl, on
> > 1/2/2004, I expect qROC to be -.22 because it is calculated based
on
> > qqq data, not aapl.
> >
> > I would appreciate a quick reply to this problem.
> >
> > ken
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "k_binder_" <k_binder_@xxxx>
wrote:
> >>
> >> tomasz,
> >> This happens not only with aapl but also with other stocks. I
just
> >> gave you aapl as an example.
> >>
> >> I also use tradestation for intraday trading. I got the data from
> >> tradestation and this same formula works fine with TS. Ofcourse,
I
> >> cannot test this at a portfolio level with TS, that's why I want
to
> >> use AB.
> >>
> >> ken
> >>
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> > <amibroker@xxxx>
> >> wrote:
> >> > Hello,
> >> >
> >> > There is no bug, simply your data is misaligned.
> >> > Check again because AAPL is for sure not updated to the same
> >> > data as QQQ.
> >> >
> >> > Please read the documentation
> >> > http://www.amibroker.com/f?foreign
> >> >
> >> > (about synchronizing arrays)
> >> >
> >> > Best regards,
> >> > Tomasz Janeczko
> >> > amibroker.com
> >> > ----- Original Message -----
> >> > From: "k_binder_" <k_binder_@xxxx>
> >> > To: <amibroker@xxxxxxxxxxxxxxx>
> >> > Sent: Wednesday, October 06, 2004 9:17 AM
> >> > Subject: [amibroker] setforeign bug
> >> >
> >> >
> >> > >
> >> > >
> >> > > I have a database with 2 stocks, qqq and aapl in it. Both are
> >> daily
> >> > > data for 2004, upto 9/3/2004. My layout has both charts in
it.
> >> > > I run the following code:
> >> > >
> >> > > SetForeign("qqq");
> >> > > qROC = ROC(Close, 3);
> >> > > RestorePriceArrays();
> >> > >
> >> > > Filter = 1;
> >> > > AddColumn(qROC, "QROC");
> >> > >
> >> > > I find that when I "explore" aapl with this formula, "QROC"
is
> >> > > shifted back 1 bar. like ref(qROC, -1) instead of qROC. When
I
> >> select
> >> > > qqq, everything is properly aligned.
> >> > >
> >> > > Has anyone experienced this?
> >> > >
> >> > > Any help will be appreciated.
> >> > > thanks,
> >> > > ken
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > > Check AmiBroker web page at:
> >> > > http://www.amibroker.com/
> >> > >
> >> > > Check group FAQ at:
> >> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >> > > Yahoo! Groups Links
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
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