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Have a quick look to make sure you are not double counting vol or
data ... I don't have a file in front of me but from memory they
trades have a ref number or order number .... I'm not certain but I
think a trade for 10000 as a buy might be corrected as a sell the
next day, so both orders should be cancelled for a 5 star database.
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> I guess we are better off to trust the ASX file .... so if we
assume
> their corrections are spot on, and you enter all clean 24 hour data
> by date (sounds like you have done that) then just use AB's built
in
> database settings >> intraday settings to view 24 hours or market
> hours only ... this works fine for me and you can have the best of
> both worlds.
>
>
> > gawk and bash under cygwin, i can send the scripts to you if you
are
> > interested.
>
> Thanks that would be good - might help me with my programming
> education.
>
> brian_z111|asat|yahoo.com
>
> Interesting example in the US, last night, of how the goal posts
are
> shifting .... formerly a daily bar was market hour data only and
> nothing else mattered.
>
> Citigroup (C) traded up from 3.48 to 4.52 in overnight trading ...
> then drifted a bit to open at 4.29 and then traded sideways during
> market hours to finish at 4.17
>
> This only happens in the hot US stocks but it changes the meaning
of
> daily bars.
>
> C is in the top ten US stocks for vol at the moment and this is
where
> the O'nite action seems to happen.
>
> (one the US opens this list will be populated with high vol stocks)
>
> http://finance.yahoo.com/actives?e=us
>
> The open gap on the intraday chart was actually o'nite trade.
>
> http://finance.yahoo.com/q/bc?s=C&t=5d
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "elegalpublishing"
> <mark.a.brand@> wrote:
> >
> > Hi Brian:
> >
> > Thanks a lot for your response, its good because you made me
> actually
> > count the out of hours volume which i had not actually done
prior.
> As
> > you found it is about 2% which I can live with.
> >
> > <snip>
> > I seem to recall adding the out of hours vol and it came to
> approx
> > <2% of daily vol ... is that what you get?
> > </snip>
> >
> > One example i did was 4M on 114M total volume
> >
> > <snip>
> > are you massaging the data into 1 min bars before importing
into
> AB?
> > </snip>
> >
> > yes
> >
> > <snip>
> > - briefly what language are you using and how are you going about
> it?
> > </snip>
> >
> > gawk and bash under cygwin, i can send the scripts to you if you
are
> > interested.
> >
> > <snip>
> > 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.
> > </snip>
> >
> > I clean all this before import into AB.
> >
> > <snip>
> > Have you successfully imported any of the data into AB in the
> tick
> > format?
> > </snip>
> >
> > Yes, no problems with that.
> >
> >
> >
> >
> > This is solved for me - I will just ignore out of hours volume.
> >
> > Thanks again Brian.
> >
> > Best Regards
> > Mark
> >
>
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