Hi Herman,
Thanks for the “direct” response.
Those are excellent articles that you have written. I’ve read them
before, but it’s been a long time. I think what I’m seeing is
different than the HFAT data issues that you explained so well. I’m
comparing two tick charts using the exact same IB real-time datafeed captured
at the exact same time on the same computer. Neither chart is using
backfill data (IB doesn’t really have tick level backfill data). The
AB tick bars created all have a timestamps that are a multiple of 5 seconds and
there are significantly less bars created than created by the other charting
software. Since the AB tick bar timestamps don’t look right to me
under my current AB configuration, I’m suspecting the other charting
package has a more correct tick chart display. I’m hoping there are
AB settings that would make the two tick charts more similar.
Regards,
David
From: Herman
[mailto:psytek@xxxxxxxx]
Sent: 12/24/2007 4:19 PM
To: AmiBroker Users Group; Barry
Scarborough; dbw451
Subject: Re: [amibroker] AB tick
bar analysis
It seems that all my emails to Yahoo are
blocked... I try this more direct way.
wrt to IB data you may want to read two
posts on the Users' Knowledge
Base that report on my experience with IB data: High-Frequency
Automated Trading: Part
1 and Part
2 that deal with IB data.
While I work in the 5 Sec timeframe the
problems you experience may well be related. The first thing to consider is
whether you are comparing real-time data with backfilled data. As the posts
illustrate these two types of data are very different. Something not mentioned
in the posts is that it would make sense for IB to calculate/stagger their
snapshots to save bandwidth. This would mean that different traders would see
slightly different data. If a few user got together this could be easily
verified by collecting a data sample for the same time period.
To compare data visually you might want
to create a composite and plot the two (or more) types of data on the same
chart. Easier to see than columns of numbers. See the posts on how to do that.
Best regards,
herman
For tips on developing Real-Time
Auto-Trading systems visit:
http://www.amibroker.org/userkb/
Monday, December 24, 2007, 3:11:38 PM,
you wrote: