----- Original Message -----
Sent: Saturday, December 29, 2007 10:17
PM
Subject: Re: [amibroker] Re: Time
stamping an array
thanks Tomasz,
1) Is it possible to create and import this file automatically at 5 seconds
intervals?
2) Instead of creating the entire file each time would it be possible
to just add a new bar to it at 5 sec interval?
...would this make a nice post for your KB?
seasons greetings,
herman
For tips on developing Real-Time Auto-Trading systems visit:
http://www.amibroker.org/userkb/
Saturday, December 29, 2007, 3:20:46 PM, you wrote:
> Hello,
> You can create perfect reference ticker easily using
ASCII import.
> Just create the text file using format:
> DATE,TIME,O,H,L,C,V
> and import it
> Such text file can be created programmatically very
easily
> Simple example (for simplicity it creates 24 hour
(non-stop) 5-second data bars
> for entire January 2007.
>
> fh = fopen("refticker.txt", "w");
> mo = 1; yr = 2007;
> for( d = 1; d <= 31; d++ )
> for( hr = 0; hr < 24; hr++
)
> for( m = 0; m < 60; m++
)
> for( s = 0; s < 60; s += 5
)
> {
> line =
StrFormat("%04.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f,1,1,1,1,0\n", yr, mo, d,
hr, m, s );
> fputs( line, fh
);
> }
> fclose( fh )
> Generated file has 16 Megabytes and it takes about 3
seconds to run the above formula.
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Dennis Brown" <see3d@xxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Saturday, December 29, 2007 7:01 PM
> Subject: Re: [amibroker] Re: Time stamping an
array
>> Eric,
>> I just need one "Perfect" reference ticker that
covers my whole time
>> span. I am not the only one who needs
this.
>> I am working on day trading futures like ES with
indicators of my own
>> design. I use a 5 second database so that
I can get range bar and
>> volume bar charts in the 2-4 minute average bar
time. A tick
>> database would take too much storage and time to
process. I trade
>> from the resultant charts. In order to
optimize my parameters, I
>> need 30 days of data. However, the
contracts expire every 3 months
>> and must be rolled. Data suppliers usually
provide a continuous
>> contract ticker that switches to the next months
contract and
>> prepends adjusted prices of the older contract
to give a smooth
>> transition to the rollover for
indicators.
>> However, THIS DATA IS FLAWED and my charts are
ruined for 5 weeks
>> each quarter.
>> First, most suppliers only provide 8-10 calendar
days of backfill
>> data for 5 sec data (which is actually
aggregated tick data at the
>> local level). Since back prices are adjusted in
the continuous
>> contract, you can not simply collect 200K bars
with AB and have a
>> complete seamless 30 day database. When
the contract rolls, the old
>> prices in the database will not be adjusted and
create a seam. A
>> forced backfill to fix this will just move the
bad seam 8-10 days back.
>> Second, for about a week or two, the volume gets
split between the
>> old contract and the new contract as traders use
different criteria
>> to roll to the new contract. The supplied
continuous contracts
>> usually roll when the volume of the new contract
is higher than the
>> old contract. They simply switch contracts
in the quotes. This has
>> the effect of having the volume of the
continuous contract look like
>> it drops over a week to half the usual volume,
then rises up again
>> over the next week. However, if you look
at the sum of the volumes
>> for the two contracts, you see that it remains
about the same as
>> usual. This ruins constant volume charts
and other volume based
>> indicators.
>> To solve both of these problems, I am making my
own 30 day continuous
>> contracts in AB. I collect the data from
the individual contracts
>> with no adjustments. Then I fill an OHLC
array with one contract or
>> the other depending on when the rollover
criteria is met and adjust
>> the old data to get rid of the price seam (like
adjusting for
>> dividends or splits). Finally I add the
volumes of both contracts
>> together for the final 5 second ticker and write
it out with ATC.
>> This creates a nice ATC ticker to use in another
chart.
>> I then have another chart (my actual main
trading chart) that reads
>> the ATC ticker and works in the timeframe
desired for running
>> indicators and trading.
>> I should point out that writing out an ATC
ticker every 5 seconds is
>> slow. I actually only write it out when
the main chart timeframe
>> calls for a new bar which is once every 2-4
minutes. In the mean
>> time, I just send the OHLCV of the current bar
to the main chart to
>> keep the realtime signals going.
>> Right now, I have to use a supplied continuous
contract as a
>> template. However, because it is not
seeing all the bars from both
>> contracts, some of the volume has no bar to be
registered in. The
>> after hours loses a lot of bars. It also
make switching to different
>> futures a pain, because I have to switch the ATC
ticker of the main
>> chart, then, select the continuous contract
chart and select the
>> corresponding ticker there, then back to the
main chart. Not the
>> easy "just click on the ticker" to get the next
chart.
>> I just need one "Perfect" reference ticker that
covers my whole time
>> span. Then the continuous contract
generating chart can stay out of
>> sight and out of mind.
>> Best regards,
>> Dennis
>> On Dec 29, 2007, at 10:40 AM, eric tao
wrote:
>>> Could you give a sample of what you were
trying to do?
>>> BR
>>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>>>> Herman,
>>>> Thank you again for you reply. If
what you say is true, then we need
>>>> Tomasz to provide a solution to this
problem. It is such a
>>>> fundamental need for some of us,
and workarounds do not seem
>>>> adequate.
>>>> Best regards,
>>>> Dennis
>>>> On Dec 29, 2007, at 4:55 AM, Herman
wrote:
>>>>> If you find one, please post your
solution. Right now the only
>>>>> solution is to create an array in
Excel and import it each 5
>>>>> sec this is a rather daunting
task in real-time. Tomasz
>>>>> acknowledged the key problem in the
AB Help for the foreign()
>>>>> function:
>>>>> "Please note that if you have data
holes in currently selected
>>>>> symbol then in order to synchronize
bars Foreign function will
>>>>> remove bars that exist in Foreign
symbol but do not exist in
>>>>> currently selected
symbol."
>>>>> This unscientific approach makes the
accuracy of all TA analysis
>>>>> depend on the underlying ticker. It
assumes a perfect database
>>>>> which, in EOD is rare, and in real
time simply does not exist.
>>>>> What is needed is a real-time
reference array that can be made
>>>>> current and contains bars for all
time periods, i.e. creates empty
>>>>> bars in real-time when data doesn't
exist.
>>>>> best regards,
>>>>> herman
>>>>> For tips on developing Real-Time
Auto-Trading systems visit:
>>>>>
http://www.amibroker.org/userkb/
>>>>> Friday, December 28, 2007, 11:59:48
PM, you wrote:
>>>>>> Hello,
>>>>>> Forgive me if it seems like I am
restarting a thread out of my
>>>>>> original, but the previous
thread got badly broken when Yahoo
>>>>> dropped
>>>>>> a number of replies, so I
thought to try again fresh.
>>>>>> I really need a reference ticker
of 200k 5 second 24 x 7 bars. I
>>>>>> need it as a template to make
continuous contract futures data that
>>>>>> RT charts can use.
>>>>>> For a reference ticker, all the
data fields OHLCV OI can be set to
>>>>>> one (1). The only data
that I need to be able to change is the
>>>>>> time
>>>>>> stamp. Once made, every 5
seconds, the reference ticker would be
>>>>>> read, all the bars shifted one
bar, and the last bar time stamp
>>>>>> increased by 5 seconds, then
written back out (ATC). This is a bit
>>>>>> of an over simplification, but
you get the idea.
>>>>>> The only thing I don't know how
to do is rewrite the time stamp
>>>>>> on a
>>>>>> bar.
>>>>>> I would appreciate any specific
ideas as to how I could do this
>>>>>> --or
>>>>>> another way to get my continuous
5 second RT perfect reference
>>>>>> ticker. Perhaps there is a
dll way? Speed of maintaining the RT
>>>>>> ticker is important.
>>>>>> I have tried many different
approaches for a couple of weeks and
>>>>>> end
>>>>>> up with a roadblock with each
way so far. Herman has discussed the
>>>>>> problems in the UKB, but none of
the solutions so far will work
>>>>> for me.
>>>>>> Best regards,
>>>>>> Dennis
>>>>>> 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 NEW RELEASE ANNOUNCEMENTS
and other news always check DEVLOG:
>>>>>>
http://www.amibroker.com/devlog/
>>>>>> For other support material
please check also:
>>>>>>
http://www.amibroker.com/support.html
>>>>>> Yahoo! Groups Links
>>> 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 NEW RELEASE ANNOUNCEMENTS and other news
always check DEVLOG:
>>>
http://www.amibroker.com/devlog/
>>> For other support material please check
also:
>>>
http://www.amibroker.com/support.html
>>> Yahoo! Groups Links
>> 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 NEW RELEASE ANNOUNCEMENTS and other news
always check DEVLOG:
>>
http://www.amibroker.com/devlog/
>> For other support material please check
also:
>>
http://www.amibroker.com/support.html
>> Yahoo! Groups Links
> 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 NEW RELEASE ANNOUNCEMENTS and other news always
check DEVLOG:
>
http://www.amibroker.com/devlog/
> For other support material please check
also:
>
http://www.amibroker.com/support.html
>
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