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Yes, that is the area I am referring to.
Importing 24 hours data would be the best, but then you need to be
100% certain about the stuff that is in the after hours timeslot,
because that is where the data is non-typical.
I'll get my file out and check ... my file is approx one year old....
might be different to yours.
It's worth it since it has relevance to other Aussie traders.
Better still if we could leave some brief notes, on a method, in the
file section but that isn't a pre-requisite if time presses.
I'll come back to you ... if not today then within a few days.
--- In amibroker@xxxxxxxxxxxxxxx, "elegalpublishing"
<mark.a.brand@xxx> wrote:
>
> Hi Brian:
>
> <snip>
> 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.
> </snip>
>
> Thanks for that, there are two types of transactions in the Weblink
> tick data, "T" normal trade and "C" for cancelled trades. Would you
> expect the situation you refer to above be covered by the
cancellation
> transactions.
>
> Thanks
> Mark
>
> PS. I will send the scripts to your email.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > 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@>
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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