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Thanks Paul, I know how to import tickdata with the TICKMODE flag,
what I actually wanted to know is not so much a Ami question but on
how to handle preopen and postclose ASX tick transactions. My
apologies if I did not make that clear.
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paul.tsho@xxx> wrote:
>
> Use $TickMode
> See http://www.amibroker.com/guide/d_ascii.html for details
> --- In amibroker@xxxxxxxxxxxxxxx, "elegalpublishing"
> <mark.a.brand@> 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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