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Hello,
Just one short comment - all real-time data sources work on "ON-DEMAND"
basis, it means that you need to demand (request) data to get them.
This is just how they work (or even force applications using them to work).
It is strictly forbidden by many APIs to run bulk automated downloads of lots
of data as it would bring their servers to knees.
That's why you need to perform some action (chart/scan/explore/backtest/optimization) to actually
"request" the data. And "scan" is not any special, it is just one of many actions that
request data.
Also this "saving to database' is not an issue at all for all "mature" APIs like for example eSignal
that allow
a) multiple backfills running in parallel
b) long backfills (120 days)
as it does not matter if you save the data today or week after. The plugin architecture and behaviour
of RT features in AmiBroker were designed to be used with "mature" APIs.
IB is very special because
a) allows only 1 backfill at a time
b) backfill is limited
and that's why it causes problems because
a) you have to prevent from running multiple backfills and as such you may eventually not be able
to backfill every accessed symbol (just because previous backfill is still running)
b) you can not postpone backfills (because of limited length)
So it is not that "RT functionality is new in AmiBroker". It is rather than Interactive Brokers' TWS API
backfill functionality is "very new, incomplete, limited and ..."
Remember, IB is a broker, not data vendor. They have added "backfill feature" just recently and it is still
far from "mature API".
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Daniel LaLiberte" <liberte@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, March 24, 2006 7:50 AM
Subject: Re: [amibroker] Re: FW: Interactive Broker TWS Feed
> On Thursday 23 March 2006 10:16 pm, ninja500@xxxxxxxxx wrote:
>> The issue of real-time quotes not being saved has come up many times, but
>> has not been made clear to all users. (maybe knowledege base/plugin help
>> page should be updated). Basically, if your RT symbol is not displayed in a
>> chart, you have to do a scan/explore of all symbols for data to be
>> transferred from the plugin to the AB database or else the data will not be
>> saved.
>
> I see that doing a Scan works now. Thanks! This should *definitely* be
> added to the documentation. It is not at all obvious that doing a Scan or
> Explore on the Automatic Analysis window is the way to get RT quote data
> added to your database. I just did a scan through all the docs and could not
> find any mention of this side effect of doing a scan or explore. The nice
> tutorials are all about setting up the database connections, but nothing
> about how to use them for real time quotes.
>
> However, there are a few more issues regarding this way of getting RT data.
>
> * The time range of the scan makes a difference, I would guess. You should
> not select a date range, or if you do, the "to" time of today or later might
> work. If all you want is the RT data updates, it should be sufficient to
> select "n last quotations" for a small number of n (5?). What the formula
> script is doing otherwise is unimportant (I think). Is it even necessary?
>
> * You would probably want to select the option to periodically "Scan every
> (min): ___" for whatever interval of time you want. Does a fractional number
> of minutes work? This periodic scan happens automatically even if you are
> trying to do some other backtesting or optimizing, and you will lose your
> last result display the next time a scan kicks in. The periodic scan happens
> even when you close the AA window.
>
> * Combining the RT fetching and persisting of data via a scan with a formula
> that determines when to buy is not always what you want. Suppose you want
> real-time data for all symbols, but you only want to trade with a smaller
> subset which you can set up by selecting the "use filter" option and clicking
> on the Define... button to select a category. That combination doesn't seem
> to be supported, so you would have to do the filtering in the formula
> instead.
>
> Given the above, I suggest the following changes:
>
> * Separate out the RT fetching and persisting of data from the AA window. No
> analysis is required to do RT fetching. RT fetching of data is more
> logically tied with the Realtime Quote window (I kept looking there for how
> to do this). Provide easy ways to select several symbols at once, e.g. a
> whole folder, for viewing in the Realtime Quote window, and for periodic
> scanning of same.
>
> * I don't understand what value Scan has that is not covered by the RT aspect
> together with some aspects of Explore and Backtest, so maybe remove it from
> the AA window. Otherwise, explain how it is unique.
>
> * Even if you do the above, there is more to do to make automated trading
> clear. Automated trading is related to analysis, but perhaps the button
> should be "Automated Trading" rather than "Scan".
>
> To allow formulas to be used in different contexts, (Indicators, Trading
> Systems, or otherwise) there should be more explanation of how to check how
> the formula is being used. I.e. check Status("action") == 3, meaning that
> the formula is being used in "Scan" mode (maybe renamed to "Trading").
>
> Then one also needs to determine whether the "current" bar in the script is
> for the present time/date - I still don't have a clear understanding of how
> to determine that. It doesn't make sense to make a call to PlaceOrder() at
> any time but the present moment, so this is an essential feature. How is it
> done? Checking Timenum() == LastValue(Timenum()) might work, assuming we are
> actually getting invoked on each RT scan rather than within a date range that
> ends in the past. Please explain.
>
> I suspect the RT aspect of Amibroker is relatively new, and the automated
> trading certainly is new. As such, I am not too surprised if there are
> usability/design/documentation problems. I bought Amibroker hoping to use
> these features, although the graphics and analysis are well worthwhile. Hope
> my ideas will be helpful to you.
>
> dan
>
>
> 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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