Re: [amibroker] Import thousands acsii files

[Keith McCombs <kmccombs@xxxxxxxxxxxx>]

Howard --
You make some very good points.

Recently, I purchased a horde of 1 minute data from PITrading.com.  I also have and plan to trade using TradeStation.  I imported 2 years of historical SPY one minute data from both sources into AB, and they appear to match extremely well.  Not perfect, but the differences were minor and did not effect at all the one intraday trading strategy which I ran on both of them.  I do not consider this to be a thorough test by a long shot, but only a small step in the right direction.  Eventually, I would like to automate some sort of way of comparing the data from the two sources.

BTW, I also tried two other 1 minute data sources, I will not name here.  They seemed to match one another closely, though they were quite different from the two named above.  Both had some rather improbable spikes in their data, which were not in the two sources named above.

Regarding your fourth point, my plan, so far, is to use the PITrading data and TradeStation data separately, the former for development, reserving the latter for last final OS testing prior to actual trading.  This has the added advantage that I have some redundancy built in.  My EasyLanguage results should match my AB results using the same TS data.  I am less likely to make the same programming errors in both AFL and EL (and in fact found one profound error in my AFL code, only after writing and testing the same strategy in EL).

As for my approach described immediately above, I feel less than certain about it, and would appreciate any further comments you might have.

Thank you so much,
-- Keith

Howard B wrote:

 

Greetings --

I do not offer a solution, rather a question.  What is in those files, and how will they be used?  Will they be used as components of trading systems that will someday be traded?

If the data in the ASCII files is available from a vendor for which there is already an AmiBroker data plug-in, then using that vendor's data rather than the ASCII gives several advantages:
1.  The research data and the trading data come from the same source.  Consistency is very important in trading system design.  Maybe more important than accuracy.
2.  You let the vendor be in the data management business, while you spend your time developing trading systems.
3.  You bypass the task of importing the ASCII files for the research project.
4.  Think ahead to how the data will be gathered and imported into AmiBroker while trading.  If you import the ASCII files for research, where will the data come from for trading?  Will you be able to gather the data, edit it, import it, and still have a timely signal?

My use of ASCII files is for one-time projects.  If the data turns out to be useful, I look for a data vendor who can provide it in the form I need it and on the time schedule I need it.

Thanks,
Howard

On Thu, Oct 15, 2009 at 10:39 PM, Keith McCombs <kmccombs@xxxxxxxxxcom> wrote:

 

Brad --
I don't have an answer for you, but I do have a couple of questions, because I too have over a thousand ascii files that I would like to import into AB.

Have you completely automated the task, using not only the suggested jscript but also set up a list of all the equities to load, so that you can just let AB take it from there?

Or is much the time your 'hands on' time, for example manually typing in symbols or clicking mouse buttons for every symbol?

Thank you for bring up this issue.  I sure hope others with applicable experience chime in.
-- Keith

bradjeng wrote:

 

I try to import thounds of ascii files to Amibroker by JScript.
(http://www.amibroker.com/docs/ab302.html)
It works but very slow.

Is there any quicker way to batch import ascii files ?
Or can I write data directly to the Amibroker's data file ? (what's the data format ?)

Thanks !!

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