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Use $TickMode
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--- In amibroker@xxxxxxxxxxxxxxx, "elegalpublishing"
<mark.a.brand@xxx> wrote:
>
> Hi:
>
> I have posted this on the amibroker-at group as well not to mention
> aussiestockforums and somewhere else that I can't remember. The
> question is not directly related to Amibroker though Ami will be
the
> final repository of the info.
>
> So ...
>
> I subscribe to a data service (http://www.weblink.com.au) that
> supplies me with uncleaned daily tick data from the ASX.
>
> I'm writing a routine to transform this tick data into 1 minute
bars.
> and wish to achieve an accurate count of the volume for each
minute of
> the trading day (10:00-16:00). For example the output of the
routine
> should be a csv file similar to this below:
>
> -------------------------
> SYM,TIME,O,H,L,C,VOL
> BHP,1002,O,H,L,C,20000
> BHP,1003,O,H,L,C,50000
> ...
> ...
> ...
> BHP,1559,O,H,L,C,1000
> -------------------------
>
> Now, I can do the tick to minute conversion with no problems
>
> but:
>
> I'm unsure / confused about - on how to treat ticks that have been
> entered before opening (before 10:00) or after closing (after
16:00),
> for example in my tick data, i have transactions that look like
this:
>
> ------------------------------
> SYM,DATE, TIME SEQ PRC VOL .....IGNORE
> T,BHP,20090122,070535,1000001,36.0,47000,20090128, ,,EP,,,O
> T,BHP,20090122,070535,1000002,36.0,1000,20090128,, ,EP,,,O
> T,BHP,20090122,070535,1000003,36.0,22000,20090128, ,,EP,,,O
> T,BHP,20090122,070535,1000004,37.0,13000,20090128, ,,EP,,,O
> T,BHP,20090122,070536,1000005,37.0,5000,20090128,, ,EP,,,O
> T,BHP,20090122,070536,1000006,37.0,11000,20090128, ,,EP,,,O
> T,BHP,20090122,070536,1000007,41.0,1000,20090128,, ,EP,,,O
> -----------------------------
>
> Q1) Do I just incorporate all tick volumes (entered prior to
opening)
> into the volume for the first minute of trading?
>
> Q2) Similarly for tick transactions (entered post closing) - do I
just
> incorporate all tick volumes into the volume for the last minute of
> trading?
>
> Any help gratefully received.
>
> Thanks
> Mark
>
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