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Hi Brian:
Sorry for taking so long to respond, thanks for checking this out.
I will also run my routines over the 25/26 Feb also to see if I get
similar results and will email you what i get.
I might be making to big a deal over this but I'm new to trading but a
bit of a fusspot over having correct data. Also the system I am trying
to write is highly dependent on volume,
Cheers
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> 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@> 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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