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Thanks Bill,
The problem I have with that article is that they don't say what
method they used to measure the error rate.
I think that in the financial journals etc there would be reports on
the efforts of academics to deal with the issue but would I
personally have the resources and expertise to do it myself.
Since the data from the exchanges contains errors, and their books
are closed, how could anyone know for sure how accurate the data is?
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <timesarrow@xxx>
wrote:
>
> Here is one study:
http://www.csidata.com/csi/reviews/reprintsep99.html
>
> Bill
>
> ----- Original Message -----
> From: "brian_z111" <brian_z111@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, February 15, 2008 12:35 PM
> Subject: [amibroker] Re: AP's RT data feed - for MarkK
>
>
> > Steve,
> >
> > I would like to know how I can decide if EOD data is clean or if
> > intraday data is up to the demands.
> >
> > It is a subject that I don't see much quality discussion on.
> >
> > For EOD data my best ideas so far are:
> >
> > 1) Data includes raw data - I can compare raw data to other
providers
> > raw data - I can't compare it to an absolute benchmark because
there
> > isn't one.
> >
> > 2) Data inlcudes a record of all split events and the
corresponding
> > split factor I can check the event records independently and
check
> > the math.
> >
> > 3) I can apply the split factor or see the results of it's
> > application so I can check the math.
> >
> > 4) The event calendar should inlcude non-trading days for the
market
> > and stand down trading days for companies.
> >
> > 5) Data can be padded or unpadded (optional).
> >
> > I can't think of any other way to measure data quality.
> >
> > I don't think any data provider meets the criteria - maybe a few.
> >
> >
> > For intraday:
> >
> > What could I possibly do?
> >
> > Buy raw tick data from several providers, compare them for a
> > consensus and filter it myself ?
> >
> > I am at a loss on that one.
> >
> > Of course another option is to trade in such a way that bad ticks
and
> > unclean EOD data don't affect the outcomes very much (that could
be a
> > lot easier than the above).
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "scourt2000" <stevehite@> wrote:
> >>
> >>
> >> Mark,
> >>
> >> No successful intraday real-time trader who does this full-time
> > would
> >> ever drop eSignal for Gary's new real-time service.
> >>
> >> It's a pennywise and pound-foolish decision.
> >>
> >> He's fine for clean end-of-day data. But he's way out of his
> > league
> >> for the demands of intraday real-time trading.
> >>
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "MarkK" <MailYahoo@> wrote:
> >> >
> >> > Brian,
> >> >
> >> >
> >> >
> >> > So far I am very happy with the QP RT beta testing
> >> >
> >> > I believe that when it goes live they will be taking a lot of
> >> customers away
> >> > from the other services
> >> >
> >> >
> >> >
> >> > It is a much better value than other things out there, and so
far
> >> the data
> >> > has been accurate
> >> >
> >> >
> >> >
> >> >
> >> >
> >> > MarkK
> >> >
> >> >
> >> >
> >> > _____
> >> >
> >> > From: amibroker@xxxxxxxxxxxxxxx
> > [mailto:amibroker@xxxxxxxxxxxxxxx]
> >> On Behalf
> >> > Of brian_z111
> >> > Sent: Friday, February 15, 2008 7:47 AM
> >> > To: amibroker@xxxxxxxxxxxxxxx
> >> > Subject: [amibroker] Re: AP's RT data feed - for MarkK
> >> >
> >> >
> >> >
> >> > > I am looking for an RT data provider. I used eSignal for a
> > couple
> >> > >of years, then quit and am ready to resart, but don't likr
their
> >> > >fees.
> >> >
> >> > QuoteTracker and LiveCharts have the $60 and $20 version of
> > eSignal
> >> > if you don't mind less backfill and fewer symbols.
> >> >
> >> > I have read of a few issues with LiveCharts but surely we can
> > make
> >> it
> >> > work (a lot of the problems also came about because people
still
> >> > wanted it free after it changed to pay for play a year ago -
of
> >> > course it doesn't work if ou don't pay).
> >> >
> >> > A couple of users said it was slow - I don't know - I haven't
> > tried
> >> > it yet but I will.
> >> >
> >> > brian_z
> >> >
> >> > --- In amibroker@xxxxxxxxx <mailto:amibroker%
40yahoogroups.com>
> >> ps.com, "Ara
> >> > Kaloustian" <ara1@> wrote:
> >> > >
> >> > > Mark,
> >> > >
> >> > > I am looking for an RT data provider. I used eSignal for a
> > couple
> >> > of years, then quit and am ready to resart, but don't likr
their
> >> fees.
> >> > >
> >> > > Would you elaborate a bit on AP. Never heard of them
> >> > >
> >> > > Tx
> >> > >
> >> > > Ara
> >> > > ----- Original Message -----
> >> > > From: MarkK
> >> > > To: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> >> ps.com
> >> > > Sent: Friday, February 15, 2008 3:36 AM
> >> > > Subject: RE: [amibroker] New EOD data feed other than Quotes
> > Plus
> >> > >
> >> > >
> >> > > Dan,
> >> > >
> >> > >
> >> > >
> >> > > I use QP for EOD data, and am happy with the fundamental
data
> >> > that they provide. Not sure there is another service that
offers
> > as
> >> > much in that area
> >> > >
> >> > > I also use Fast Track for EOD data. Some market internal
data,
> >> > no fundamental data to speak of, however the data has been
> > cleaner
> >> > than QP EOD day data. For Mutual fund data not sure there is a
> >> > better service out there.
> >> > >
> >> > >
> >> > >
> >> > > Have been an e-signal subscriber for RT data now for 4
years. I
> >> > cancelled my subscription since they kept raising their
prices,
> > and
> >> > went to IQ feed. Used them for a month then they raised their
> >> > prices. Luckily I was abe to beta test AP's RT data feed. So
far
> >> > they have been very responsive on the changed needed to make
it
> > an
> >> > excellent RT service, and at a reasonable price.
> >> > >
> >> > >
> >> > >
> >> > > I would suggest you get hold of Gary at QP and let him know
> > about
> >> > your issue. I would think you will become a satisfied customer
> > once
> >> > again
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > > MarkK
> >> > >
> >> > >
> >> > >
> >> > >
> >> > > ----------------------------------------------------------
> >> > ----------
> >> > >
> >> > > From: amibroker@xxxxxxxxx <mailto:amibroker%
40yahoogroups.com>
> >> ps.com
> >> > [mailto:amibroker@xxxxxxxxx <mailto:amibroker%
40yahoogroups.com>
> >> ps.com] On
> >> > Behalf Of Dan Clark
> >> > > Sent: Thursday, February 14, 2008 11:56 PM
> >> > > To: amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> >> ps.com
> >> > > Subject: [amibroker] New EOD data feed other than Quotes Plus
> >> > >
> >> > >
> >> > >
> >> > > I've been using Quotes Plus data for the last 2-1/2 years.
> >> > Overall, I've been very happy with Quotes Plus data and Gary
> >> Lyben's
> >> > (owner/president) responsiveness. That said.
> >> > >
> >> > >
> >> > >
> >> > > In the last few days, I've swapped several e-mails about a
> > minor
> >> > billing issue (credit card renewed with different number) with
a
> >> > woman in his billing department. What should have been a very
> > minor
> >> > clerical issue left me feeling EXTREMELY angry and offended.
> >> > >
> >> > >
> >> > >
> >> > > I vowed to switch my data feed from Quotes Plus to another
data
> >> > feed as soon as possible. This is a major issue for me because
of
> >> > the amount of AFL recoding involved, but I can no longer do
> >> business
> >> > with Quotes Plus.
> >> > >
> >> > >
> >> > >
> >> > > I need some options for other EOD data feeds. What EOD
service
> >> > are you using? What has your experience been? What are the
> >> > alternatives now?
> >> > >
> >> > >
> >> > >
> >> > > Thanks and regards,
> >> > >
> >> > >
> >> > >
> >> > > Dan.
> >> > >
> >> >
> >>
> >
> >
> >
> >
> > 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
> >
> >
> >
> >
> >
> > --
> > No virus found in this incoming message.
> > Checked by AVG Free Edition.
> > Version: 7.5.516 / Virus Database: 269.20.4/1277 - Release Date:
2/13/2008 8:00 PM
> >
> >
>
Please note that this group is for discussion between users only.
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