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Padding allows indicators to fill across data gaps, but if the
underlying ticker does not have a bar at that particular day/time bar
then the foreign ticker will not show data there.
On Mar 31, 2005 10:21 PM, Terry <MagicTH@xxxxxxxxxxx> wrote:
> Chris,
>
> I don't know the answer to your question. I just observe that yesterday
> someone was asking for data hole filling on intraday data. AB does (if you
> tell it) fill data holes on daily data. Sounds like more than one user sees
> that it does not fill holes intraday.
>
> Terry
>
> Chris Shawcross wrote:
>
> I'm not sure where the problem is and I think there is more than one problem
> to solve. My assumption at present is that I have done something really
> silly. I hope someone can help me out.
>
> I have constructed a volume calculation for Aussie sector indexes using the
> SetForeign function. The code works great on EOD local data (even where some
> of the constituent stocks have missing bars) BUT it performs totally
> differently for intraday data.
>
> Data sources tested:
> A. EOD Data only
> B. Marketcast RT plugin (1 minute data local storage in AB)
> C. Local data store of 1 minute data
>
> Cut down version of the code is provided at the base of this post.
>
> On EOD data, whilst displaying XIJ, the volume indicator provides a
> summation of each days volume as a histogram and details the individual
> volumes in the interpretation section. I consciously delete a couple of
> daily bars for CPU and the code correctly replaced the gaps with zero volume
> for that period.
>
> However, when switching to the intraday databases, holes suddenly appear in
> the data when each constituent ticker has valid data for that period. i.e.
> if I display the daily price/volume chart for each ticker, the code below
> shows the correct volume for today for the same ticker (and every period as
> there are no missing days in the data for any ticker). However there are
> zero volume values for some of the other tickers 9depending on which bar is
> selected) even though individually each has volume for that day.
>
> It is very hard to describe, so I hope someone understands what I am getting
> at. It appears to me that when the intraday data is compressed to provide
> daily bars, some empty bar characteristics may be propogating to a daily
> bar, but only when accessed via GetForeign. Or rather, I have made an
> obvious and silly coding error. I truly hope it is the later. What concerns
> me is that I cannot replicate the problem on the EOD data whilst viewing
> daily/weekly/monthly charts. But it is easily reproduced using daily/30
> minute/weekly etc charts with a 1 minute database. Note that the tickers DO
> have gaps between 1 minute bars as the stocks are not continuously traded.
> This is the norm for Aus as mentioned in a recent query on pitch forks.
>
> The code below allows for fill to be enabled, this produces some more
> interesting (but undesirable) effects which deserve their own post. Once
> again, I hope it is my code that has stuffed up (and easily rectified). But
> one problem at a time.
>
> regards
> Chris (Shawky)
>
> P.S. I really like the new formula environment, include files, parameter
> options etc, drag and drop, especially the insert linked facility. Looking
> forward to an Overlay Linked option in the future ;)
> The code:
>
> PadEmptyBars=ParamToggle("Pad Empty Bars","No|Yes",0);
> tickers="CPU,BCA,IRE,VSL";
> MyVol = 0;
> for ( num = 0; ( sym = StrExtract(tickers,num) ) != "" ; num++)
> {
> if ( SetForeign(sym,PadEmptyBars) )
> {
> VarSet("Vol"+num, IIf(IsNull(V),0,V) );
> RestorePriceArrays();
> }
> else
> {
> printf("Ticker "+sym+" not found\n");
> VarSet("Vol"+num, 0);
> }
> }
>
> for ( i = 0; i < num; i++ )
> {
> MyVol = MyVol + VarGet("Vol"+i);
> }
>
> Plot( MyVol, _DEFAULT_NAME(),
> IIf( C > O, ParamColor("Price Up Color", colorLightGrey ),
> ParamColor("Price Down Color", colorGrey50 ) ),
> ParamStyle( "Price Style", styleHistogram | styleThick | styleOwnScale,
> maskHistogram )
> );
>
> for ( i = 0; i < num; i++ )
> printf( " " + StrExtract(tickers,i) + " " + WriteVal(VarGet("Vol"+i),10.0)
> + "\n");
>
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
>
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--
Cheers
Graham
http://e-wire.net.au/~eb_kavan/
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