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This is probably one for Tomasz.
I imported 3 months of real timestamped ascii tick data, not IB
streamed data, into a tick database using $TICKMODE.
It imported fine and apart from the underlying timestamps being
resolved to 5 second intervals, the price and volume are correct at
each bar and the daily volumes add up right.
I can't however click on every tick on the chart. It only allows me to
click on bars that are a 5 second multiple. Not a big issue.
Here's the weird bit. When I open up the Quote Editor and start
clicking on individual quotes, it changes the volume and price on my
chart before my eyes. Although it doesn't immediately change the
values in the Quote Editor, if I close and open AB again, the changes
have taken effect. The quotes it changes are not necessarily the ones
I click either.
Clicking through many of the quotes in one day altered the daily
volume by hundreds of contracts.
I don't need to use the Quote Editor so that's not a big issue but I
am concerned about my data being altered by other things in AB.
I use tick-reversal and volume profiles so it's important that price
and volume are not changed.
As long as I don't touch Quote Editor, is my data going to remain in
tact? Are there other things (AB functions?) that might alter the data
in a similar way?
Thanks,
Julian.
I'm using V5.20 Standard Edition.
Below is the first ten ticks of data from the original source, after
import and after Quote Editor.
Original Ascii Data
DATE,TIME,PRICE,VOLUME
20060103,095000,4749,10
20060103,095000,4749,1
20060103,095001,4749,1
20060103,095001,4750,2
20060103,095003,4750,1
20060103,095004,4749,5
20060103,095005,4750,3
20060103,095005,4749,15
20060103,095006,4749,3
20060103,095011,4747,1
The following were output using trace and a 10 bar loop in AB.
Key: B=bar P=Close V=Volume T=TimeNum
Before Quote Editor. After Quote Editor
B:0 P:4749 V:10 T:95000 B:0 P:4749 V:10 T:95000
B:1 P:4749 V:1 T:95000 B:1 P:4749 V:1 T:95000
B:2 P:4749 V:1 T:95000 B:2 P:4749 V:1 T:95000
B:3 P:4750 V:2 T:95000 B:3 P:4749 V:5 T:95000
B:4 P:4750 V:1 T:95000 B:4 P:4750 V:1 T:95000
B:5 P:4749 V:5 T:95000 B:5 P:4749 V:5 T:95000
B:6 P:4750 V:3 T:95005 B:6 P:4750 V:3 T:95005
B:7 P:4749 V:15 T:95005 B:7 P:4749 V:15 T:95005
B:8 P:4749 V:3 T:95005 B:8 P:4749 V:15 T:95005
B:9 P:4747 V:1 T:95010 B:9 P:4747 V:1 T:95010
Total Volume: 42 Total Volume: 58
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