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Andrew:
I have been using CSI stock data in AB for a couple years.
After one gets it set up, it work fairly well. Although
there are still "issues" to work around, it is now 10 times
easier than it was a year ago.
First the things I like about the current CSI/UA 2.81
version and Amibroker (AB):
1. Updating AB's database is now automatically done during
the daily download and distribution from CSI. One sets this
up in the Preferences section of UA.
2. Pre-split prices get put into the OI field of the AB
database. So one can back test using realistic price
filters to remove penny stocks, etc.
3. De-listed stocks can be included in export to AB, if you
select this option in UA's preferences section. I
personally use this. To keep stocks with the same ticker
(tickers get reused after a stock is delisted), CSI will
export a distinctiv ticker for each stock: I use "Ticker" +
"CSI number". There are other naming options.
However some issues remain.
1. CSI sector classification for stocks does not yet get
automatically transferred to AB's database - at least I
have not figured out how to do it. I have no use for the
classifications so I have not look too hard for a way to
transfer them.
2. CSI currently exports British and Canadian stocks with
the US ones and appends letters to designate the foreign
exchanges: for example, TD-T would be TD on the Toronto
exchange. I have written some AFL code the will
automatically assign stocks to various watchlists. That way
I can use the watchlist filter in backtesting to exclude
foreign stocks. I handle the US preferred stocks in the
same way. Citigroup has over 6 preferred stocks in the CSI
database.
3. I am not completely sure about this next issue, but it
appears that if I am out of town for a few days and do a
catch up download of CSI covering several days, that CSI
only exports the most recent two days of data. That creates
data holes in AB. There is a work around - one can tell UA
to do a full history export to AB (in the UA preferrences
section). This fixes the data gap issues, but see the next
issue.
4. When UA does a full history export, it first deletes all
the current stocks in the AB database. I assume this is on
purpose since it ensures that a stock that has changed
tickers is not duplicated in the AB database. That fixes
one problem but causes others - First, the watchlists I
mentioned above have to be recreated (not a big deal since
my AFL code does it automatically in 5 minutes). What is a
bigger deal for me is that any of my custom "composite"
tickers made with AB's composite function get deleted -
recreating them from AFL is possible, but it takes time. In
addition, I think the deletion of the current stock files
also removes any studies and chart lines one has added
including notes etc. - That might be a big deal for some
although it is not for me.
A couple of additional points:
1. So based on issues 3 and 4, it is best to download CSI
data regularly - ie, take as few vacations as possible. Oh,
since UA always downloads the previous day's data to
include any corrections, I think UA automatically exports 2
days of data to AB. If so, then one can safely skip one
daily download and not end up with data holes in AB's
database. I am not completely sure about this - the idea
just came to me.
2. I maintain 2 separate databases of CSI data in AB. One
database is for trading and only needs a year's worth of
history and does not need inactive stocks - I update this
one daily. The other database is for research which
includes inactives and 14 years of data history. I only
update the research database every 3 to 6 months.
3. There may be other issues that I am not yet aware of.
However, dispite all the issues, I still view CSI as my
preferred data provider, mainly because it includes
delisted stocks with pre-split prices.
b
--- rak000000 <rak000000@xxxxxxxxx> wrote:
>
> Hello all,
>
>
> Are there many people here who use CSI data with
> amibroker. I use
> CSI unfair advantage and was wondering how compatible
> CSI is with
> amibroker. (I am deinitely sticking with CSI because I
> need that
> level of accuracy).
>
>
> So to restate are there many CSI users and how compatible
> is it with
> amibroker?
>
>
> Many thanks in advance,
>
>
>
> Andrew
>
>
>
>
>
>
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