Re: [amibroker] Re: Real time indicators using GETRTDATA, AmiBroker Email List Archive

On 8/14/07, Tomasz Janeczko <groups@xxxxxxxxxxxxx> wrote:

Hello,

I am getting sick and tired of people who don't bother to read appropriate vendor documents

and make up different theories without checking facts.

Is it that hard to go to IB web site and check first ????

You are completely mixing different things.

There are THREE different areas:

1. streaming quotes from IB

2. backfill from IB

3. AddToComposite:

1. IB is NOT tick-by-tick data. They send 0.3 second streaming updates. These are not ticks!

Read this:

http://www.interactivebrokers.com/cgi-bin/discus/board-auth.pl?file=/2/37364.html

Ticks are sent ONLY by IQFeed and eSignal and on e-minis there can be even 500 ticks per second (on very active moment)

and AmiBroker HANDLES THEM ALL - if you eSignal sends 500 ticks - the tick chart in AmiBroker will show 500 ticks.

If this happen in the same second - they all will have SAME TIME STAMP.

Tick data are special because they VERY often have same time stamp for multiple ticks. And the granularity

of timestamps has NOTHING to do with application being tick aware or not.

For example IQFeed DTN app was having 1-minute timestamps but still supporting ticks.

2. Backfill from IB

There is NO tick-by-tick backfill from IB. Again only IQFeed and eSignal provide tick backfill.

Backfill from IB is limited to 1-second bar interval only.

To use it in AB you would need to select "Tick" base interval, but still it is limited to what

DATA VENDOR PROVIDES. In case of eSignal or IQFeed you would get TRUE TICK-BY-TICK

backfill. In case of IB you would get 1-second bars. It is IB limitation. Not AB. Understand???

Again, instead of making theories - READ THEIR DOCS!

http://individuals.interactivebrokers.com/php/webhelp/Interoperability/Socket_Client_C++/eclientsocket.htm#reqIntraday

Quote from this page:

void reqHistoricalData (TickerID id, const Contract &contract, String endDateTime, String durationStr, long barSizeSetting String whatToShow, int useRTH, int formatDate)

barSizeSetting - specifies the size of the bars that will be returned (within IB/TWS limits). Valid values include:

Bar Size Parametric Value

1 sec
1

5 secs 2

15 secs 3

30 secs 4

1 min. 5

2 mins

6

5 mins.

7

15 mins

8

30 mins

9

1 hour

10

1 day

11

3. What is limited to 5 seconds bar resolution are USER COMPOSITES PRODUCED BY ADDTOCOMPOSITE.

So you have completely mixed up 3 things. Next time read the docs, and if you can't - ASK THE SUPPORT, before making your own wrong theories.

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: james

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, August 14, 2007 9:33 AM

Subject: Re: [amibroker] Re: Real time indicators using GETRTDATA

Hi,

IB sends out data a lot faster than every 5seconds, more like every 0.3seconds ( http://www.linnsoft.com/qa/a/108.htm ), just look at the time and sales window, seems to be moving a lot faster that every 5 seconds?? I understand that it is snapshot data and not true tick data, I understand their backfill data is not the same resolution. I understand that IB doesnt send the time info, but if you are capturing it in real time the best AB seems to be able to do is every 5 seconds. Why cant you just time stamp the data coming in using local system time every 0.5seconds or something and thus increase the resolution of your local data??

Do you see my point?? Or am I making a fool of myself...??

On 8/14/07, R4 InvestGroup <R4.InvestGroup@xxxxxxxxx> wrote:

James,

Is that correct?? Or am I totally off the mark here...??

>> IB supply 5 second snapshot data. In other words 5 second OHLC bars which is not tick data. Tick data contain date, time, close, volume.

Now you can see the difference...

If you set your database in AB to tick but you have 5 seconds data, AB unable to produce tick resolution.

I can send you true tick to directly to see the difference.

M.

On 8/14/07, R4 InvestGroup < R4.InvestGroup@xxxxxxxxx > wrote:

James,

but it cant really go below 5 seconds can it? I've just switched over to the profession edition so i'm trying to work it out...

>> It is not as difficult as you think! AB is supporting tick data. In other words if you have tick data you will see every tick, trade as a different bar on chart.

IB does *not* support tick data, their finest data resolution is 5 second.

That's all. You can't make shorter perdiods from IB data than 5 seconds. Try to collect true tick data and you will see how it looks like.

M.

On 8/14/07, Graham < kavemanperth@xxxxxxxxx> wrote:

AB just uses what data it is supplied with
If your data supply is 5 second then that is what AB will use.

--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com

On 14/08/07, james <jameswillia@xxxxxxxxx> wrote:
>
>
> Hi,
>
> I'm beginning to think what I want to do is impossible in AB because its not really a tick based real time charting program at all its a 5second real time charting program so you cant really manipulate any data below the 5second resolution anyway because AB just amalgamates it together.... Is this correct??
>
> Cheers, James.
>
>
>
>
>
> On 8/14/07, james < jameswillia@xxxxxxxxx> wrote:
> > Hi Tomasz or anyone,
> >
> > I didn't realize the smallest time period in AB was 5 seconds....
> >
> > The formula didn't seem to work setting the arrays to = 0 , as only the last value ended up in the composite, I assume because of the reset in the addtocomposite defaults, so I set the arrays to equal the composites
> >
> > This seems to work ok except it gets strange values in all fields when there is more than one tick / entry in a five second time period in the original ticker..... any ideas?? eg if I look in quote editor in original ticker and there is only one entry in a 5 second period in matches in the composite, if there is more than one entry per 5 second in original ticker I get crazy values in composite...
> >
> > Is it possible to match the number of fields to the original, eg if there are 3 entries in a five second period in the original ticker to have 3 entries in the composite?? Any that way capture indivual trade sizes as well (up to resolution that IB provides anyway)....
> >
> >
> > tn = Now(4);
> > ltn = StaticVarGet( "LastTimeNum");
> >
> > if( ltn != tn )
> > {
> > StaticVarSet( "LastTimeNum", tn );
> >
> > bidarray = Foreign("~BA_", "L" );
> > bidarray[ BarCount - 1 ] = GetRTData("bid");
> > askarray = Foreign("~BA_", "H" );
> > askarray[ BarCount - 1 ] = GetRTData("ask");
> >
> > sizearray = Foreign("~BA_","V");
> > sizearray[ BarCount -1 ] = GetRTData("tradevolume");
> >
> > lastarray = Foreign("~BA_","C");
> > lastarray[ BarCount -1 ] = GetRTData("last");
> >
> > AddToComposite( lastarray, "~BA_","C", atcFlagDefaults | atcFlagEnableInIndicator );
> > AddToComposite( sizearray, "~BA_","V", atcFlagDefaults | atcFlagEnableInIndicator );
> > AddToComposite( bidarray, "~BA_", "L", atcFlagDefaults | atcFlagEnableInIndicator );
> > AddToComposite( askarray, "~BA_", "H", atcFlagDefaults | atcFlagEnableInIndicator );
> > }
> >
> >
> > Cheers, James.
> >
> >
> > On 8/13/07, Tomasz Janeczko <groups@xxxxxxxxxxxxx> wrote:
> >

> > > Hello,
> > >
> > > You should call GetRTData for bid and ask and store using AddToComposite:
> > >
> > > Appropriate code should look as follows (I DID NOT TEST IT - I am writting off hand)
> > > - it will create 5 second bid/ask "bars".
> > > High will hold ask, Low will hold bid.
> > >
> > > === Code that generates array
> > >
> > > tn = Now(4);
> > > ltn = StaticVarGet( "LastTimeNum"+Name() );
> > >
> > > if( ltn != tn )
> > > {
> > >
> > > StaticVarSet( "LastTimeNum"+Name(), tn );
> > >
> > > bidarray = 0;
> > > bidarray[ BarCount - 1 ] = GetRTData("bid");
> > >
> > > askarray = 0;
> > > askarray[ BarCount - 1 ] = GetRTData("ask");
> > >
> > > AddToComposite( bidarray, "~BA_"+Name(), "X", atcFlagDefaults | atcFlagEnableInIndicator );
> > >
> > > AddToComposite( askdarray, "~BA_"+Name(), "H", atcFlagDefaults | atcFlagEnableInIndicator );
> > > }
> > >
> > > ================
> > > To use them somewhere lese use:
> > >
> > > askarray = Foreign("~BA_"+Name()", "H" );
> > >
> > > bidarray = Foreign("~BA_"+Name()", "L" );
> > >
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > >
> > > ----- Original Message -----
> > > From: james
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Monday, August 13, 2007 3:19 AM
> > > Subject: Re: [amibroker] Re: Real time indicators using GETRTDATA
> > >
> > >
> > > Tomasz,
> > >
> > > could you point me in the right direction in how to code something to do this in real time, or is it impossible at the moment??
> > >
> > > Cheers, James
> > >
> > >
> > > On 8/13/07, treliff < treliff@xxxxxxxxx> wrote:
> > > >