Hi Pete
I am having similar problems when using a 15 second base time via the IB feed.
Like you, I try and enter early in the day so I have everything set up well before open. However I also find that when a refresh is done, the chart changes. It hard to say what is the problem but the chart does not visably appear the same as before. The data appears to be similar but I get different trading signals.
By way of example, I went short the Australian SPI this morning but the market went against me so I got out. Being out, I temporarily switched databases before returning to look at the SPI again. Amibroker did a refresh on opening the database and the characteristics of the chart had changed completed.
There was no way on this chart, I would have exited the position at the time I did. Clearly, the market direction was changing back in my favour based on the indicators used. End result (as I was not sure of data), I stayed out and lost the possibility to pick up a 40 point move down from my original position.
I am wondering whether the Backfill Length may be impacting on this and whether this can be adjusted within Amibroker or is it locked via IB for these timeframes.
Possibly, someone may be able to enlighten us on this problem.
All the best
Ken
--- On Sun, 12/7/09, Pete <dryheat3@xxxxxxx> wrote:
From: Pete <dryheat3@xxxxxxx>
Subject: [amibroker] RT Data(IB): Market Open Changes After Refresh
To: amibroker@xxxxxxxxxxxxxxx
Received: Sunday, 12 July, 2009, 3:53 AM
I am looking for feedback based on personal experience with various RT
Data vendors. I have noticed most often the value initially reported as
the market open changes later after refreshing the backfill data. This
is causing me to miss profit oppurtuniites as well as hitting stop loss
prematurely.
I am presently using IB to feed RT data into Amibroker. Database is
setup as a 1 minute base time interval. My trading technique requires an
accurate report of each day's market open.
Rather then de-tune my setup and loose efficiency in my system I would
like to know if eSignal, IQFeed or some other vendors are able to
provide an accurate market open duiring live data feed. Or do they all
have 'corrections' to the market open which are adjusted by later
backfills?
Here's the present rutine:
1. Start up TWS about 1.5 hours prior to market open
2. Start up Amibroker RT database
3. Backfill essential
symbols
4. Wait for market to open and place my orders within 1-3 minutes after
the market opens.
One thing I havn't tried yet is to wait 1-2 minutes after market open
and force a backfill. I'll try it out next week and if that does the
trick I will have a temporary solution.
Thanks for taking the time to respond.
Pete :-)
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