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Thanks John, that makes sense. Assuming the realtime feed in
AmiBroker Pro is the same 5 second timestamp scheme for aggregating
realtime tick data as the ASCII tick data import process, then that
explains the 5 second timestamps I'm seeing on my 10t bars. If that
is the case, then I guess AB really cannot handle small timeframe
tick charts used by scalpers. The tick bars created using a minimum
resolution of 5 second aggregated data will create inaccurate small
timeframe tick bars. This explains the tick chart differences I'm
seeing when compared the other charting package.
Also, thanks to David C. for previously posting his tick data
importing explanation.
Regards,
David
--- In amibroker@xxxxxxxxxxxxxxx, "john_dxd_smith"
<john_dxd_smith@xxx> wrote:
>
>
> Let's hope for 1-second resolution.
>
> ------------------------------------------------------------
> http://finance.groups.yahoo.com/group/amibroker/message/97297
>
> From: "David Clayworth" <dclayw@>
> Date: Thu May 25, 2006 8:28 pm
> Subject: RE: [amibroker] Time stamp - ASCII Tick Data Import
>
> I asked this question of AB support some time ago. This is the
> response I got:
>
> "This is due to the fact that AmiBroker uses its own 32-bit
datestamp
> that has resolution of 5 seconds but spans years of 1900-2155.
> Standard C-language 32-bit timestamp that has resolution of 1-
second is
> limited to dates from 1970-2023 and therefore can not be used
> (year range is to narrow).
>
> However this does not really affect anything as all ticks are
imported,
> order of ticks is maintaned and all charts look correct and all
> analysis is accurate."
>
> Note that I only have the standard version of AB so I am unsure if
it
> is different for the professional version.
>
> ------------------------------------------------------------
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dbwyatt_1999" <dbw451@> wrote:
> >
> > Thanks Tomasz. I am not using the ASCII importer. I'm using the
IB
> > plugin to receive data from IB TWS in realtime. For my analysis,
I'm
> > running three programs on the same computer: IB TWS, AmiBroker
Pro,
> > and Investor/RT. AB and IRT receive the same data stream from IB
TWS
> > in real-time at the same time. I took a detailed look at the
price
> > bars created on a 10 tick chart for a 10 minute period in both AB
and
> > IRT. AB created 14 10t bars and IRT created 22 10t bars for the
same
> > 10 minute period using the exact same IB data feed. Total CPU
> > utilization stays under 10% for the entire test period. The
total
> > volumes for the 10 minute period are approximately the same for
both
> > AB and IRT 10t charts. The difference in the number of 10t bars
> > created between the two charting packages is what concerns me. I
> > suspect that I do not have something setup correctly with AB
because
> > all the AB tick bars have a timestamp that are a multiple of 5
> > seconds.
> >
> > Is there some AB setting that is forcing the timestamps to be
> > multiples of 5 seconds for a 10 tick chart created in realtime
from
> > the IB TWS data feed?
> >
> > Thanks,
> >
> > David
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@>
> > wrote:
> > >
> > > Hello,
> > >
> > > If you are using ASCII importer and want to import tick data
> > > you must use special mode, because ticks are special in that
meaning
> > > that ticks may have duplicate timestamps. For that reason you
need
> > > to specify
> > >
> > > $TICKMODE 1
> > >
> > > in the ASCII importer definition.
> > >
> > > See the documentation of ASCII importer - it has very detailed
docs
> > > in the User's Guide.
> > >
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: "dbwyatt_1999" <dbw451@>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Monday, December 24, 2007 10:44 PM
> > > Subject: [amibroker] Re: AB tick bar analysis
> > >
> > >
> > > > Thanks Barry, you do have a point that IB data does not have
a
> > > > timestamp which would make comparing different captures
> > difficult.
> > > > The Scottrade DJI tick data looks like it's 2 second
snapshots.
> > > >
> > > > I'm not so much concerned about having exact timestamps, but
the
> > > > number of tick bars for a time period for the exact same
datafeed
> > > > should be very close regardless of the timestamps. I mean 10
> > ticks
> > > > is 10 trades, whether that took 0.23 seconds or 35 seconds.
The
> > > > number of trades (i.e. number of bars) should be similar
between
> > > > different charting packages. They may not match up depending
on
> > > > where the tick counting starts, but overall the total number
of
> > bars
> > > > should be very similar between all charts with the same tick
> > > > timeframe. If 1000 trades happened in a given time period,
then
> > on a
> > > > 10 tick chart there should be close to 100 bars.
> > > >
> > > > Regards,
> > > >
> > > > David
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Barry Scarborough"
> > <razzbarry@>
> > > > wrote:
> > > >>
> > > >> I think the reason is that IB does not provide a time stamp
with
> > > > the
> > > >> data it sends and AB has to use the computer clock. If that
is
> > the
> > > >> case the data never will be in sync. That is what I have
> > noticed.
> > > > My
> > > >> last bar close on one minute intraday charts is never the
same
> > as
> > > >> Scottrade or the EOD database from Yahoo. IB sends data
before
> > the
> > > >> open and after the close and that can get shifted into the
AB
> > > > charts
> > > >> depending on your computer clock. Try looking at a few bars
> > either
> > > >> way and see if the open and close is the same on them. But
then
> > I
> > > >> guess when you are looking at really short term data even
> > different
> > > >> data feeds may not be in sync.
> > > >>
> > > >> I dumped the last 100 bars of DJI tick data from Scottrade.
If
> > you
> > > >> have access to IB INDU tick data you could compare them. I
can
> > send
> > > >> the file if that would help.
> > > >>
> > > >> Barry
> > > >>
> >
>
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