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Mark,
I checked my files.
I have 6 mths tick data ending Feb08.
I looked at two files - 25 and 26/Feb.
They exceed Xcel max rows.
I remember now that I had to work on them in txt format.
I also have the ASX file format doc ... do you have that .. I can
email it?
My best guess is:
- you would get better advice from Weblink or ASX :-)
- but! as long as you delete all errors, and cancellation pairs, then
you can import all the quotes and AB will filter the view for you, as
per your settings.
- you will see some wierd and wonderful prices, in the pre, but that
is normal for 24 hr stock charts and you soon learn to ignore low vol
wierd prices
- in 24 hr view I put a horizontal line on the chart to mark the
formal open and close of market hours
If you want to go into detail:
- the premarket totals around 3% vol in my file
- it contains housekeeping stuff e.g. warrants, executed puts and
calls etc
- the prices in the pre have no relevance to the current day or the
prev day e.g. puts executing for $25 -29 when BHP traded between
22.40-22.90 .... BHP hadn't traded at >$25 in the 20 days prior.
- a lot of the pre quotes are dated for the previous day
- I think the pre market quotes are not important ... you can keep
them, just in case, if you want to ... you will probably never look
at them .. dumping them isn't high risk ... I'm 99% sure they are of
no use (based on my two files anyway).
- errors are limited to (???) quotes with no price or vol ... delete
all of them ... most of the errors at in the pre or afters
- cancellations are not present in large numbers ... they are C
trades matched to the trade above by trade number ... delete the
pairs .. most are in market hours .. a few in the pre
>From the format doc:
A trade cancellation consists of the following CSV record:
C, Symbol, Date, TS Number, Cancelled TS Number, Cancelled Date,
Cancel Reason
Where: Symbol -- Unique security identifier, no more than 6
characters. The first three characters indicate the issuer or
underlying security.
Date -- The date that the trade cancellation occurred.
TS Number -- Trade sequence number. This is a 6 digit identifier for
the trade cancellation, which is unique for the current day.
Cancelled TS Number -- The TS number of the trade being cancelled.
This, coupled with the cancelled date field, can be used to uniquely
identify the trade.
Cancelled Date -- The date on which the trade being cancelled
occurred.
Cancel Reason -- The reason for the cancellation, being one of the
following:
Incorrect Broker Number
Incorrect Volume
Incorrect Price
Incorrect Security Code
Other
Data Entry
Stop Cancellation Request
Example:
XT is a cross trade
Yahoo has wrapped the 2nd line
the C line cancels trade 12334 above
I checked approx 50 and they are all matching pairs on two lines
T BHP 20080226 100544 12334 39.26 30000
20080229 XT
C BHP 20080226 12334 12334 20080226
- none of the C's in my files gave a reason ... the intitial trades
were nearly all crossed trades though
- trading continues beyond 1600hrs for 15 - 30 mins ... you can keep
this in the database if you want ... it is good data ... in fact best
that you do keep it
- the after market quotes include a lot of errors
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> 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@> 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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