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Hello Mark,
I know a little bit about Weblink data ... I have some here
somewhere ... so I might be able to help.
Data is the traders bane and sometimes there is no definitive answer
no matter how hard we try.
Generally:
The top stocks in the US are the most highly traded stocks in the
world and they are open for after hours trading.
I import 24 hour RT from eSignal and have looked at the 24 hr charts
for quite a few of those stocks and in most cases trading is thin and
IMO insignificant.
Even with well traded stocks the vol drops off quickly after 4 - 4.15
An exceptional example was, say, US financials at the peak of the
recent 'crisis' ... some nights some of them were getting beaten down
with high vol.
Aus has no pre or after market open trading and volumes, overall, are
far less and tehy are concentrated in a smaller number of stocks so
in theory the pre and afters trade has no relevance at all (provided
the file you have has recorded all trades with the correct times.
On that basis leave out them out and just collate from 1000 - 1600
inclusive.
Try adding the tick min vols for market hours and see if they
correspond to the daily vol from a good EOD source (most likely they
won't but it would be interesting to see if you get within cooee).
Also check the min or 5 min bar vols leading up to the open and
immediately after the close ... are they significant compared to the
ave vol, for the same period, during market hours.
While official hours might be 10 - 4 no one can effectively argue
that trading ended if significant vol continued for another 5 mins
(while brokers run out their final orders etc).... it is personal
choice whether to include that vol in your daily vol or not.
If you do include it you might not match the EOD vol of provider XYZ
but who is to decide if they are correct or not?
In practice:
I have used Weblink data and I wasn't 100% sure about exactly what
was what.
I asked Weblink support about it ... I wanted to know how they
compiled their daily data and if they used the tick data to do that
i.e. if they did I could then compare my tick compressed daily bar to
their EOD bar.
I must have been having an off day because I couldn't fully relate to
the answer I received.
The tick data is by the ASX and Weblink don't have control of the
content or errors.
I seem to recall adding the out of hours vol and it came to approx
<2% of daily vol ... is that what you get?
The only explanation for the out of hours trade is:
- error correction, cancelled trades etc (quite a bit of that goes on
I believe)
- dark pool trading OR trading between in-house parties (I don't know
what the regs are OR how much of it goes on here ... in the US the
dark pool trade is official).
I'm curious about what you are doing:
- are you massaging the data into 1 min bars before importing into AB?
- briefly what language are you using and how are you going about it?
If that is what you are doing then it could be a good idea because
the pre-market data contains trade corrections from previous days and
I found I had to delete all of that because it wasn't palatable to
AB's import method.
Have you successfully imported any of the data into AB in the tick
format?
Do you want if just for backtesting?
--- In amibroker@xxxxxxxxxxxxxxx, "elegalpublishing"
<mark.a.brand@xxx> wrote:
>
> 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@> 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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