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On Friday 24 March 2006 05:08 am, Tomasz Janeczko wrote:
> 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.
Sounds like one could get RT feed via backtest and optimization actions as
well. Generally, combining the fetching of data, real-time or not, with the
analysis of data via the scripts, real-time or not, seems confusing at best.
If an action is needed to request data, then there should be a separate
action which only requests data, separate from analyzing it.
One connection between the two does seem to be required, however. Real-time
trading analysis should probably be triggered by the incoming data feed as
each bar is completed.
I expected to find some way to perform just one more analysis step for each
time interval. Assuming all history data is static, when the next bar is
completed, one more analysis step can be performed. It should not be
necessary to re-run the analysis over the entire history of however many bars
are required, as Scan and the other actions do. This can take much more
time than necessary, depending on the analysis. If something in the history
changes, then yes, it would be correct to re-run the analysis, at least from
the change forward.
Another possibility is to re-run the last step of analysis as real-time data
arrives, but before the bar is completed.
> 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)
OK, now I am more likely to move to eSignals in that case. But I think it is
rude that they hide the prices.
> IB is very special because
> a) allows only 1 backfill at a time
> b) backfill is limited
This is also why I am trying to avoid using IB backfills, and thus why I want
to get the real-time data stored separate from analyzing it.
But despite IB limitations, I would expect the same separation for any data
feed. Fetching data should be separated from analyzing it.
> 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 ..."
Sorry.. didn't mean to offend. AmiBroker does the best job I have seen
anywhere of interactively analyzing history data, and I am impressed by all
the adapters to various databases. The AFL scripting language is one of the
best as well.
I believe the RT aspects of AmiBroker are weak, however, on a number of
fronts. And the automated trading API is clearly new, and still in beta
after a year. (Does AB support automated trading for any system other than
IB?) It is wise to be very cautious with automated trading, and I appreciate
your efforts. But the promise of doing automated trading based on real-time
intelligent analysis is why I am here, and I am hoping to help improve it.
I just joined the amibroker-at list, having just learned about it. I will ask
my ask my questions about automated trading in that forum instead.
BTW, the yahoo group interface online sucks - we need another web-based
archive of the lists. I'll help with that too.
dan
> From: "Daniel LaLiberte" <liberte@xxxxxxxxxxxxx>
...
> > * 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.
> >
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