Re: [amibroker] Re: Different tick count between AB and TS: which one is correct?

["Tomasz Janeczko" <groups@xxxxxxxxxxxxx>]

I can't speak about Metaserver because I did not write it and I don't know what it is internally doing.

All I know is that AB 100 tick chart represents 100 data points per bar. Whenever data point is actually

a single TRADE or not depends on data source. If data source is tick-by-tick, then data point represents

trade. If data source is not tick-by-tick (like IB) then data point represents what data source delivers as single

streaming update. In case of IB it is tickVol.

IB feed does not send price and volume updates together. It sends them SEPARATE. It can also send

duplicate updates (when price and volume changes, then IB sends duplicate tick) 

or skip some (when for example price was at some level went up and returned to exactly

the same level within 0.2 seconds). AB accounts for duplicates and skips (by detecting total volume change).

I don't know what Metaserver is doing, but since IB does not provide any docs on their duplicate/skip

methodology, it is up to developer to 'guess' and Metaserver people could interpret undocumented things differently.

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: Carl Vanhaesendonck

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, September 20, 2008 11:25 AM

Subject: [amibroker] Re: Different tick count between AB and TS: which one is correct?

Yes, I totally agree that nor Metaserver or IB plugin in Amibroker can?t create tick that do not exist but then I still have difficulty to understand why the number of 100_tick bars created by 2 applications (IB plugin on AB, and Metaserver) on the same source (IB) is different. It should be the same, right?

Anyway, this is good to know and I just need to adapt my systems and signals and keep that in mind.

 

Thanks,

Carl

 

__._,_.___

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

Your email settings: Individual Email|Traditional
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch to Fully Featured
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe

__,_._,___