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There are ticks in TS2000 recorded at 1600. In TS 4 these same ticks
were included with those at 1559. There are no ticks at 1600 in TS 4.
There are minute bars in both TS 2000 and TS 4 at 1600.
The multitude of tick data recorded during the time 1559 is used to
build a single 1 minute bar at 1600. Tick data recorded during 1550 to
1554 is used to build a single 5 minute bar at 1555. And so on. Tick
data listed at 1600 in TS 2000 would build a 1 minute bar at 1601, which
does not exist. So what does Omega do with the tick data at 1600? It is
just dropped (omitted) whereas in TS 4 it is included with the tick data
at 1559. I have programmed around this (as I have the fact that 1 volume
tick data is not yet fixed) but why the difference between TS 4 and
Ts2000 in this matter?
Further, I have found an error in TS 2000 in building minute volume
bars. And if I found one error there are more just around the corner.
On 7_06_99 at 9:34 in a 1 minute chart for ABT (Abbott Lab, NYE) TS 2000
reads 28600 shares up and 28500 down in the "Data Window". In TS 4 the
numbers are 3200 up and 53900 down. The later would seem to be correct
by looking at the tick volume data (I did not add them up). All minute
bars in this time frame (9:35 (5 min), 9:40 (10 min), 9:45 (15 min),
etc.) on this date are different in TS 2000 and TS 4. But all tick
volumes (5,25, 250, etc.) are the same (except 1 tick volume in TS 2000,
which Omega chose not to correct)!
Would someone please confirm the above for me. The tick data was
downloaded from Omega’s web site.
Wayne Mathews
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