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Yuki,
While bad ticks present a problem, the difference the other user pointed out
is not coming from bad tick but from the fact that he is using different data
in eSignal and different in AB. eSignal when switched to DAILY mode always
shows "official" daily quotes without pre/after hour market trading and exactly
as they were published by the exchange.
Such quotes can be obtained in AMiBroker when you create database
with
BASE TIME INTERVAL
set to "DAILY".
These quotes are however different from intraday data. You can easily
check it in eSignal itself by taking a note of open price in 1-minute chart
at 9:30 and then switching to DAILY chart.
These two numbers would be different in most cases.
The reason for that is that minute data are created by eSignal from incoming
data tick stream. "Official" exchange open is sent as arbitrary number by exchange.
They may or may not match the tick that was that was streaming exactly at 9:30
(due to delays and/or timing problems that may occur all the way from the exchange to tick server).
If you are using 1-minute database base time interval and display daily chart
you are getting daily chart created by time-compression of intraday data which may
include pre/after hours data and are prone to those differences mentioned above.
The same differences can be observed by comparing open and close prices of first
and last bar during trading hours on intraday and EOD chart using eSignal.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
To: "picard_226" <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, August 25, 2005 10:18 AM
Subject: Re: [amibroker] data feed price differences
> Hi Gary,
>
> I am not going to pretend even for a second to be an expert on this.
> But my understanding, right or wrong, is that: When you open an
> eSignal database in AB, eSignal updates from the last current bar in
> your database. For example, if your database is based on one-minute
> bars, and the last bar on any given symbol was today at 2:05 pm,
> eSignal would update from the next bar forward, ignoring all previous
> data.
>
> But eSignal does get bad ticks, and apparently detects and fixes at
> least some of them. They will not, however, get fixed in your AB
> database unless you do a 'force backfill', in which case they *will*
> get fixed -- eSignal will then overwrite old data with new.
>
> But, it's also my understanding, right or wrong, that there is no way
> to do a 'force backfill' in AB, other than symbol-by-symbol -- a
> terrible limitation, if true. If true, this limitation means that
> one must detect all bad ticks independently, and force backfill where
> detected (and where eSignal has actually done a correction), or have
> some routine that forces backfills symbol-by-symbol periodically.
>
> I'm sure someone will correct or enlighten us if my understandings
> are incorrect.
>
> One thing I know that you CANNOT do, without getting complaints from
> the data manager, is have a full subscription complement of symbols
> loaded into AB's RT window, and have *any* symbol loaded in eSignal's
> own software. Even if the symbols are redundant, the data manager
> will complain that you are over your subscription limit, and slow
> things down considerably.
>
> It's quite a problem. AB has the best TA software, but apparently no
> way to automatically make any changes to old data that eSignal might
> make -- without user intervention, which requires user awareness of
> the differential in the first place. If one is dealing with a lot of
> symbols, one is taking a lot on faith, I think. I hope I am wrong,
> and that a global 'force backfill' is available, or soon will be.
>
> Yuki
>
> Thursday, August 25, 2005, 3:54:01 AM, you wrote:
>
> p> Has anyone else had issues with data differeces with esignal and AB ?
>
> p> The DAILY range for the S&P (.SPX) yesterday on Esignal was -
> p> O = 1221.77
> p> H = 1223.04
> p> L = 1214.44
> p> C = 1220.33
>
> p> In AB the same info shows as -
>
> p> O =1221.73
> p> H = 1223.04
> p> L = 1214.44
> p> C = 1217.59
>
> p> This means that there is additional price info on the esignal feed
> p> that AB hasn't picked up ( either before and/or after hours?). For
> p> me, this directly affects the following days' Pivot point and Fib
> p> calculations ( which is why I noticed it) -
>
> p> Has anyone else seen the same thing, and if so, how can I get the
> p> prices to match up and/or which prices should we trade with ?
>
> p> Rgds
>
> p> Gary
>
>
>
>
>
>
> 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
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
>
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