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Re: [amibroker] eSignal plug-in problems



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Hi Tomasz,

Well, what does one do, then?  I want to be able to view 1 & 5 minute
charts in RT during the day.  I assume (maybe incorrectly, but there
you go) that to see a 1-minute chart I must have the database set to
1-minute bars as a base time interval.

But, there is, of course, only one real opening price, at least in
Tokyo.  It is determined by computer at the exchange based on order
flow up to a cutoff time.  Everyone who is in either way 'at market'
prior to that cutoff time gets that opening price.  It isn't
'official', it just "is".  It is the opening price.  There is only
one, and there is no debate about what it is.  Same with the close
here.  There is only one value, and either it's correct or in error.

Now, this would not even be an issue for me if it were not for the
fact that I have a very nice system that uses a couple of different
ATR look back periods (daily bars) as part of the calculations
determining whether a symbol is a trade candidate for the next day.
As you know, ATR uses Open as part of its calculation.

What I am running into is a situation in which some symbols that show
as setups on my EOD database do not show as setups on my eSignal
database, or vice versa, because of the problem you described with
eSignal below.  This does NOT happen a *lot*.  But it happens, and if
I did not catch it (I do, however), rather than contribute to the
bottom line, it almost surely would subtract over time from a
successful system.

I catch it because I still maintain a larger EOD database, and I run
the exploration from both databases, just as a kind of verification,
and a curiosity to see how eSignal's data compares with other sources
that I receive.

So, what is the answer then?  Must I maintain separate databases
indefinitely?  (Actually, I probably will anyway, because I only
subscribe to 200 symbols at eSignal, but I look at a larger segment
of the market EOD.)

But am I doing anything wrong here on my end?  This seemed to me to
be an eSignal problem at first, because all my data sources OTHER
THAN eSignal agreed on Nomura's Open on Monday.  But when I wrote
first to eSignal about it, they wrote back and said it shows the
value I told them was correct on their server.  I checked it on
eSignal, and it was.  But it was still wrong in AB, and I did not
understand why, so I wrote to you, still not understanding this
issue.

But of course, that eSignal chart was a daily chart, as you said, and
as soon as I looked at the symbol in eSignal with less than a daily
interval, the Open was WRONG, somewhat contrary to the reply I got
from eSignal.

So, I feel eSignal was not being completely candid with their reply.
It seems I will have to continue to trust only my EOD database for
trading system explorations, then.  And any system I might develop
for data based on shorter time intervals would have to exclude using
values in its calculation that eSignal cannot properly report, I
guess, or I would simply be building on sand, yes?

Yuki

Tuesday, October 18, 2005, 6:50:40 PM, you wrote:

TJ> Hello,

TJ> I have explained it to you already.

TJ> You are comparing different things (different data sets).

TJ> Daily charts in eSignal are equivalent to chart in AmiBroker
TJ> WHEN AND ONLY WHEN "Base Time Interval" in File->Database Settings
TJ> is set to "END OF DAY (daily)".

TJ> If your "Base time interval" is set to "1-minute"
TJ> then it is equivalent to 1-minute chart in eSignal.

TJ> When you switch to Daily chart in AmiBroker but "Base time interval" is set to
TJ> 1-minute - the chart is created by compressing 1-minute data.
TJ> eSignal own app does not have ability to compress data - it always
TJ> re-downloads everything from server, meaning that when you switch to daily
TJ> it gets data from "daily" server.

TJ> Opening price at the start of the session using 1-minute data in eSignal are OFTEN different 
TJ> than "official" open. The same applies to close.
TJ> eSignal has separate servers for intraday and EOD quotes and quotes
TJ> stored on both often differ. EOD quotes are "official" (reported by exchange) while intraday 
TJ> quotes are generated from streaming data.

TJ> Go open eSignal and compare 1-minute data opening and closing prices (at session start and end)
TJ> to daily data opening and closing prices. They are different.

TJ> Best regards,
TJ> Tomasz Janeczko
TJ> amibroker.com
TJ> ----- Original Message ----- 
TJ> From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
TJ> To: <amibroker@xxxxxxxxxxxxxxx>
TJ> Cc: "AmiBroker Technical Support" <support@xxxxxxxxxxxxx>
TJ> Sent: Tuesday, October 18, 2005 1:04 AM
TJ> Subject: [amibroker] eSignal plug-in problems


>> Hi Tomasz,
>> 
>> This is still the exception rather than the rule, but it is a
>> worrisome exception:  Data that eSignal is reporting is different
>> than data Amibroker is displaying.
>> 
>> For example, yesterday, Nomura Holdings opened at 1722.  However it
>> shows in Amibroker as having opened at 1721.  I asked eSignal about
>> it, because I have three other data sources that reported an open of
>> 1722.  ESignal says their data shows 1722 also, and indeed it does,
>> via THEIR software.  However, even a force backfill does not correct
>> the AB data, which remains at an open of 1721.  Timestamp for the
>> opening bar is completely correct.
>> 
>> Is there some kind of intermittent problem with the plug-in?  This is
>> not the first instance of this kind, although as I say, it is the
>> exception rather than the rule.




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