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Graham
I have finished testing with some dummy intraday data and can confirm your statement:
"...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"
It makes total sense on the face of it but I did not expect the feature to propogate UP to longer timeframes such as 30 minute, daily or weekly charts (i.e. produced from intraday data). I must be doing something wrong for sure, because the following test results means that comparing tickers on an intraday database could be inconsistent and produce unexpected results especially when using ASX data.
This is what I found:
Local Database (no RT Interface activated): 1 Minute Bars
Ticker XIJ has quotations for every Odd Minute between 3:31 and 4:00pm, OHLC non zero, V = 0
Ticker CPU has quotations for every Even Minute between 3:31 and 4:00pm, OHLCV non zero
Both tickers have quotations that overlap in time for the previous half hour periods.
Indicator/AFL programmed to detail OHLCV values for the ticker selected and for Foreign Ticker CPU with Padding disabled. Chart displayed candles for OHLC and V from the foreign ticker.
The code uses the following statements to plot:
if ( SetForeign("CPU",0) ) {
CPUvol = V;
RestorePriceArrays();
}
Plot ( C, "Close", ParamColor("Color", colorYellow ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
Plot ( CPUVol, _DEFAULT_NAME(),
IIf( C > O, ParamColor("Price Up Color", colorLightGrey ), ParamColor("Price Down Color", colorGrey50 ) ),
ParamStyle( "Price Style", styleHistogram | styleThick | styleOwnScale, maskHistogram ) )
1.. Display Price Chart
Interpretation and chart display values for CPU odd minute periods only on a 1 Minute Timeframe
Interpretation and chart display values for CPU EVERY period when using a 5,15,30,hourly,daily Timeframe
Interpretation
This was the expected behaviour - OK so far.
2. Display Price Chart for XIJ.
Interpretation and chart display values for XIJ odd minute periods only on a 1 Minute Timeframe
Interpretation and chart display values for XIJ EVERY period when using a 5,15,30,hourly,daily Timeframes
Interpretation for Foreign Ticker CPU showed NO Data on a 1 Minute Timeframe (expected behaviour)
Interpretation for Foreign Ticker CPU showed NO Data on 5,15,30 bar between 3:30 and 4pm
The 1 minute chart behaved as expected, CPU vol was empty for the periods it did not exist. This is easy to compensate for in code by doing the following inside the SetForeign code section:
CPUVol = IIf (IsNull(V),0,V) ;
I did not expect NO DATA for the foreign ticker CPU for timeframes greater than 1 minute.
What I expected was for the 5,15,30 minute bars be generated for CPU prior to aligning with XIJ, thus no data would be lost at the higher timeframe.
Now, if XIJ had a quotation for every 1 minute bar then the volume check above could correctly compensate for the missing bars in the constituent stocks (vis CPU). The OHLC would be OK too I think.
I will send this email to support, and hopefully Amibroker can shed some light on my problem and help solve it. I am looking forward to progressing past my "learning to walk with AFL phase" with Amibroker for I have many ideas I'd like to put to code.
If anyone can see where I have gone wrong, I'd be glad to hear your thoughts.
regards
Chris
-------Original Message-------
Date: 04/01/05 17:03:00
Subject: Re: [amibroker] Intraday Data - SetForeign and data alignment
Thanks Graham
That might be the clue but I think now that there might be more to it.
If I am displaying the chart as a daily then one would expect that if each ticker shows a daily bar for that day (in fact they show a daily bar for all bars as every ticker in my sample has been trading each day), then the code would have bar values for each foreign ticker. The same applies when viewing 15 minute, 30 minute and hourly bars. Each ticker has non zero data for every bar when viewed separately and there are no periods missing.
However, a daily/15 minute/30 minute/hourly bar etc is generated from the underlying 1 minute quotations.
This is where the problem might be: EVERY ticker has missing 1 minute bars, but has at least ONE 1 minute bar inside the Timeframe being displayed (e.g. daily). As per the other post on pitch forks Aussie shares are not liquid enough to ensure trade activity every minute of every day. Even BHP takes a breather.
So I guess that if the underlying ticker and foreign tickers do not line up sufficiently at the 1 minute bar level then the "emptiness" is propogated up to the daily/hourly chart. Hope this makes sense, if not I can give an example.
How can I work around this or is this where one needs to call on Thomaz for help?
Maybe if I could EXPAND the underlying ticker to have a bar for EVERY time period then the problem might go away. I might try testing this on the weekend with a temporary local database where I can add/delete quotations.
regards
Chris
-------Original Message-------
Date: 04/01/05 11:26:45
Subject: Re: [amibroker] Intraday Data - SetForeign and data alignment
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.
> 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:
>
>
>
>
>
>
> 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:
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--
Cheers
Graham
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