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Brian:
Your problem is not a problem. As noted in the
article they do describe how they developed their rating - comparison of close
with the exchange time and sales price. In the real world, the exchange
data is by definition absolute. If there are not other studies (I doubt
that there are), in practical terms one has to live with what is provided.
I have compared (not rigorously) Yahoo (CSI), Barchart, and
StochCharts, and found obvious differences particularly for
thinly traded volatile issues during volatile periods which presumably reflects
different suppliers. The key question is does it make a difference?
Probably not too much in most cases. My own feeling is that absent an
updated study and a reasonable way to objectively establish which supplier
is closer to "absolute" one is best served by sticking with a large supplier and
spending time on improving analysis and trading rather than trying to figure out
which supplier is best. Trader/trading/money management/analysis/etc.
related errors are, I am sure, much greater than those created by
differences between supplied data and exchange time/sales data. As
long as equity increases at an "OK" rate, life is too short to sweat the lesser
stuff.
Bill
----- Original Message -----
Sent: Friday, February 15, 2008 7:04
PM
Subject: [amibroker] Re: AP's RT data feed - for
MarkK
>
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.
>
> 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
>
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> --
> No virus found in this
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> 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.
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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