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Tomasz
Are you considering using the HL fields to store bid and ask price. I think this would be very useful, usually OHL = C for tick.
if we stored bid on H and ask on low as versus (H = ask and L = bid) then it wont even compromise the integrity of timeframe compression. What do you think?
/Paul.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> Sorry, but others have demanded storing Bid/Ask along with trade data so, contrary to your belief
> tick data is NOT smaller than bar data. Plus it does NOT need 44 bytes to store bar data.
> I don't know were you get this figure from. Single bar is 40 (fourty) bytes.
>
> As for tick data you get
> 64 bit date time (8 bytes), 4 bytes trade price, 4 byte trade volume, 4 byte bid, 4 byte bid size, 4 byte ask, 4 byte ask size.
> That's 32 bytes MINIMUM. There are other things that are comming as exchange code, tick number etc.
>
> So contrary to your belief tick data is not smaller than bar data.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "cpescho" <cpescho@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, August 05, 2009 10:29 AM
> Subject: [amibroker] Re: AmiBroker 5.27.0 ALPHA released
>
>
> > Hello,
> >
> > are there any plans to account for large tick database backtesting? 44 Bytes is great for storing a OHLC bar, but for a single
> > tick its still a lot since you dont have OHL with tick data.
> >
> > Right now my biggest problem backtesting tick data is memory limitation. Wasting disk space is not my concern although i think one
> > can eliminate the disk i/o bottleneck if a more compact format is stored on disk.
> >
> > Regards,
> >
> > Chris
> >
> >
> >
> >
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