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> 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,
I put a lot of effort into learning data too.... I tailed off it
after a while.
It's ok to go into detail, in fact I think you have the attributes
that are required for this game: attention to detail, self-motivated,
persistent, going outside the box etc.
Also, IMO, it is OK to forget about the details AFTER you know what
the detail involves and can make a conscious decision to live with
some approximations, and not BEFORE (which some do).
I am heading towards a summer break so I might not be around.
--- In amibroker@xxxxxxxxxxxxxxx, "elegalpublishing"
<mark.a.brand@xxx> wrote:
>
> 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@> 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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