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Hello,
See eSignal message board for that:
http://forum.esignal.com/showthread.php?s=&postid=67394&highlight=930+OPEN#post67394
http://forum.esignal.com/showthread.php?s=&postid=43787&highlight=930+OPEN#post43787
http://forum.esignal.com/showthread.php?s=&postid=39837&highlight=930+OPEN#post39837
http://forum.esignal.com/showthread.php?s=&postid=63549&highlight=intraday+daily+open+close#post63549
Answer is as follows:
a) open eSignal application.
b) compare session start 1-minute bar open with daily open bar
c) if they are different contact eSignal support
As to my own opinion:
There is no 'perfect' source as bad data occur even on exchanges,
see this http://www.tickdata.com/FilteringWhitePaper.pdf
Anyway if you are designing the system you should account for slippage.
If your system brokes down because minor differences in prices it means that it is weak system.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
To: "Tomasz Janeczko" <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, October 18, 2005 1:33 PM
Subject: Re: [amibroker] eSignal plug-in problems
> 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.
>
>
>
>
>
> 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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