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Charles --
There are some minor problems:
First, not all data sources time stamp their data the same. Some
sources, PItrading, WealthLab, and TradeStation, to name a few, stamp
with the Closing time of the bar, whereas some others,
InteractiveBrokers and E-signal stamp with the Opening time of the
bar. This is almost unnoticeable until you examine compressed data
closely (as with 5, 15, 60 min settings). AB has a way to cope with
this (with one annoying problem if you want to use two or more data
basis that do not use the same data stamping philosophy).
So, for PItrading, etc.:
1. In File>Database settings>Intraday settings use "show day
session only"; Trading hours Start: 9:31, End: 16:00 (I'm lucky, my
local time and exchange time are equivalent -- you may want to fool
around with this a bit if you are in a different time zone). Note that
these settings are just for the active data base only.
2. In Tools>Preferences>Intraday use "Align minute bars to
regular market hours"; and "time of Last tick inside bar".
Note that these settings are for all intraday data bases that
you use. That's the annoyance I referred to above.
So, for IB and E-signal, etc.:
Trading hours Start: 9:30, End: 15:59 (set and forget). And "time of First tick
inside bar" (check whenever you change data bases, if you use
more than one type).
Second, if an equity is not traded for one or more minutes, then NO
data appears, rather than just using most recent close and 0 for
volume. This can be misleading if you use time based indicators, or
time-of-day in your trading rules.
BTW, it appears that PItrading prices and volume are adjusted for
dividends.
BTW2, I plan to use two intraday data bases, PItrading and IB. So, in
order to try to overcome the annoyance, I am going to try to change the
time stamping on my entire PItrading data by subtracting one minute
from all times. Since I don't plan to update this data base on a
regular basis, I should only need to do it once, or at most,
infrequently. I will also try to replace the empty spaces with 0
volume bars priced at most recent close (but will not add bars at
beginning or end of day).
-- Keith
On 2/23/2010 13:05, chuck_win wrote:
Keith,
I placed an order to buy those CDs. Do you have any problem to read
data from them into amribroker? Is the quality of data good?
Thanks.
Charles
--- In amibroker@xxxxxxxxxps.com,
Keith McCombs <kmccombs@xx.> wrote:
>
> Mike, gariki, and James --
> I have stock data from PItrading.com. 1100 stocks, most going back
7 years.
> AB uses 40bytes to store one data point, OHLCV. That means for
1min of
> data 15,600 bytes per day, 3,931,200 bytes per year. For 1100
stocks
> that is 4,324,320,000 bytes, 4GB for one year. I'm running XP64
with
> 8GB RAM, which is about my limit without a lot more $ for RAM.
Most of
> the testing I do requires portfolio testing with large number of
stocks
> with few trades per stock.
>
> PITrading has a 'market' disk which contains over 235 actively
traded
> symbols, including ten futures with from 5 to 12 years of data
each.
> Check with them as to how they handle rollover date.
>
> With my particular strategies, I see practically no difference
between
> having running with SetBarsRequired(sbrAll, sbrAll); present
or
> commented out. I ran this simple test with the same strategy on
two
> equities:
> AAXJ, has data going back only to 8/18/08.
> BHI, has data going back to early 1992.
>
> I optimized for a variable which was set to a random number on
each
> iteration. I also included in the strategy Buy = C < .01 AND
(rest of
> strategy); // so no trades are generated
> EOD data was used and the Range was 8/1/2008 to 12/31/2009.
> Optimize: 1000Steps 2000Steps
> AAXJ 3secs 7secs
> BHI 8secs 16secs
>
> The tests were performed multiple times giving each stock a chance
to be
> cached in RAM.
>
> Thank you for your feedback. But I would still like to try
breaking the
> data up into smaller time periods and would appreciate suggestions
on
> how to go about it.
> -- Keith
>
>
> gariki wrote:
> >
> >
> > I have done exactly this recently; but with only about 5years
of
> > intraday 1min data. In the end once the 5year database got
loaded (the
> > initial database creation took a while) i started using that
database
> > instead of the five 1year databases and used walkforward
settings to
> > set the backtest periods to 1year intervals. Backtesting did
not seem
> > to be slow for me on the bigger database so it worked out
well.
> >
> > This saved me a bit of time since i dont need to switch
between
> > databases etc.
> >
> > BTW, you mind revealing where you bought your data from and
how much
> > it costs; i am myself contemplating buying some futures 1min
data from
> > http://disktrading.is99.com/disktrading/#data1.
> > <http://disktrading.is99.com/disktrading/#data1.>
The cost seem pretty
> > reasonable and i will have 7 more years of intraday data than
i
> > currently have.
> >
> > thanks
> > -gariki
> >
> > --- In amibroker@xxxxxxxxxps.com
<mailto:amibroker%40yahoogroups.com>,
> > "Mike" <sfclimbers@> wrote:
> > >
> > > Kieth,
> > >
> > > I will admit that I have not used it. But, wouldn't a
single
> > database using QuickAFL solve the problem for you?
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxps.com
> > <mailto:amibroker%40yahoogroups.com>, Keith
McCombs <kmccombs@> wrote:
> > > >
> > > > I recently purchased 1min historical data, in ASCII
format, for
> > system
> > > > development and backtesting. Some of it goes back
many years and
> > > > therefor the files can be enormous. I have NO
problem with how much
> > > > disk space they take up. However, I do mind how
much time is used in
> > > > back testing.
> > > >
> > > > One of my thoughts is to somehow break the data up
into smaller time
> > > > periods, for example years with some overlap of
November and
> > December.
> > > > So I might have one data base that goes from
11/1/1998 to
> > 12/31/1999 and
> > > > the next from 11/1/1999 to 12/31/2000, etc. This
would
> > allow/require me
> > > > to test one year at a time, which might also help
me keep my "back
> > > > testing" separate from "forward testing" I might
also consider even
> > > > smaller time periods such as quarters or months or
weeks.
> > > >
> > > > Has anyone else thought about, or better yet, done
this?
> > > >
> > > > Is there any efficient (time wise) way to implement
this. I don't
> > care
> > > > about disk space; it's cheap.
> > > >
> > > > Your thoughts and suggestions are appreciated.
> > > > -- Keith
> > > >
> > >
> >
> >
>
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