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Hi Tomasz,
Okay, TJ, I understand. But for the fixing of bad ticks, which
apparently eSignal makes an attempt to do, is there any solution
other than a symbol-by-symbol 'force backfill'?
In our case over here, there are really no pre- or post-market ticks
to consider. (Such will not always be the case, I'm sure; even now
some brokers offer a "moon service", but based on the ridiculous
spreads, I'm not sure who is "mooning" whom.) ^^_^^ Nobody really
considers this a serious market -- maybe it would be an escape hatch
if there was some overnight terror, assassination, or something.
In any case, eSignal gets the daily high or low wrong sometimes, and
it seems this often happens when the daily high or low is made in the
first minute (so it's in the first bar of my database). They often
subsequently fix it. But unless I catch it, I don't know to do a
force backfill, later. I have a 200-symbol subscription. It would be
so nice if I could periodically force backfill on all of them, and
know that my data in my intraday database is at least as good as
eSignal's. Unless I happen to catch the bad tick, my data in AB is
*not* as good as eSignal's, though. This is a real shame, because AB
is by far the better platform for viewing and testing the data. But
if the data is bad . . . it doesn't really matter what platform you
are using to view or test it, right?
Yuki
Thursday, August 25, 2005, 6:15:10 PM, you wrote:
TJ> Yuki,
TJ> While bad ticks present a problem, the difference the other user pointed out
TJ> is not coming from bad tick but from the fact that he is using different data
TJ> in eSignal and different in AB. eSignal when switched to DAILY mode always
TJ> shows "official" daily quotes without pre/after hour market trading and exactly
TJ> as they were published by the exchange.
TJ> Such quotes can be obtained in AMiBroker when you create database
TJ> with
TJ> BASE TIME INTERVAL
TJ> set to "DAILY".
TJ> These quotes are however different from intraday data. You can easily
TJ> check it in eSignal itself by taking a note of open price in 1-minute chart
TJ> at 9:30 and then switching to DAILY chart.
TJ> These two numbers would be different in most cases.
TJ> The reason for that is that minute data are created by eSignal from incoming
TJ> data tick stream. "Official" exchange open is sent as arbitrary number by exchange.
TJ> They may or may not match the tick that was that was streaming exactly at 9:30
TJ> (due to delays and/or timing problems that may occur all the way from the exchange to tick server).
TJ> If you are using 1-minute database base time interval and display daily chart
TJ> you are getting daily chart created by time-compression of intraday data which may
TJ> include pre/after hours data and are prone to those differences mentioned above.
TJ> The same differences can be observed by comparing open and close prices of first
TJ> and last bar during trading hours on intraday and EOD chart using eSignal.
TJ> Best regards,
TJ> Tomasz Janeczko
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