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Re: [amibroker] Re: FW: Interactive Broker TWS Feed



PureBytes Links

Trading Reference Links

Hello,

Thank you for your comments.

As for:
> BTW, the yahoo group interface online sucks - we need another web-based 
> archive of the lists.  I'll help with that too.

No, we don't need another - there is one http://www.amibroker.org/boards/
quite unused because majority of AB users prefer getting all messages by e-mail.

As for archives there are lots of them including
http://www.purebytes.com/archives/amibroker/

Search is here:
http://www.purebytes.com/cgi-local/swish/swish-cgi.pl

Recently added new one:
http://dir.gmane.org/gmane.comp.finance.amibroker

There is even mail-to-news gate:

nntp://news.gmane.org/gmane.comp.finance.amibroker



Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "Daniel LaLiberte" <liberte@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, March 25, 2006 7:36 PM
Subject: Re: [amibroker] Re: FW: Interactive Broker TWS Feed


> 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.
>> >
> 
> 
> 
> 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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