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On 28 Jul 1999 05:33:13 I posted some data concerning tick volumes. See
below. Please ignore the data for CPQ on 7/21. It is wrong. I think the
other data is correct.
On the same topic of tick volumes which has occupied my attention for
the last few weeks (months), I have found how there can be a discrepancy
between tick data and minute data.
As I understand it, data collected in real time is used to build tick
and minute charts. The files, .omz, downloaded from Omega’s web site
contain only tick and daily (not minute) data. When these files are
imported for a given day they overwrite only tick and daily data. Any
minute data that was constructed from real time data that may have been
collected for that given day is NOT overwritten. For example, the
computer may have been turned off the first hour of the market and you
want to fill in that hour by importing an omz file from Omega. If that
omz file is missing some tick data in, say, the third hour then you will
have a third hour tick hole due to overwriting. But the third hour
minute data is there from the real time collection. If you have an
indicator in both the tick and minute charts, it will not give the same
readings at the third hour.
The GS shows ticks after 1559. I did not understand why some of these
are plotted in tick charts and some not. The answer is simple (once you
know it). In GS/Edit /Edit Symbol/Sessions there is a "close time" which
for me reads 1600. If the Edit Data window show ticks exactly at 1600
they will be plotted but at 16:00:01 and later they will not.
These simple, straight forward but undocumented workings of TS can cost
an user tens of hours, as it has me. This has always be the frustrating
part of TS and Omega. The tech people are willing to try to answer
questions which many should never be have to be ask of them. The answers
are simple enough that they should be online or in a manual.
I hope this saves someone some time.
Wayne Mathews
>
> The inconstancies between how TS2K deals with tick volume and what an
> experienced stock trader expects is rather unbelievable. As I show
> below, I found evidence of where TS2K treats opening down ticks as up
> ticks ( AMD 7/15/99) and up ticks as down ticks (CPQ 7/21/99). This is
> no doubt just the tip of the iceberg.
>
> CPQ on 7/16 has hundreds of opening DOWN volumes. The first 7 opening
> minutes are missing. All ticks volumes, except 1, (5, 25, 100, etc.)
> show CORRECTLY the first 100 or so volumes as DOWN. The 1 minute chart
> (and all minute charts) shows CORRECTLY the opening volume as DOWN
> volume (incorrectly according to your statement).
>
> CPQ on 7/19 has many opening DOWN volumes. The first 5 opening minutes
> are missing. All ticks volumes (except 1) 5, 25, 100, etc., show
> CORRECTLY the first 100 or so volumes as DOWN. The 1 minute chart (and
> all minute charts) shows CORRECTLY the opening volume as DOWN volume
> (incorrectly according to your statement).
>
> CPQ on 7/21 has many opening DOWN volumes. No opening minutes are
> missing. All ticks volumes (except 1) 5, 25, 100, etc., show CORRECTLY
> the first 100 or so volumes as DOWN. The 1 minute chart (and all minute
> charts) shows INCORRECTLY the opening volume as UP volume (correctly
> according to your statement).
>
> CPQ on 7/27 has many opening UP volumes. The first opening minute is
> missing. All ticks volumes (except 1) 5, 25, 100, etc., show CORRECTLY
> the first 100 or so volumes as UP. The 1 minute chart (and all minute
> charts) shows CORRECTLY the opening volume as UP volume (correctly
> according to your statement).
>
> AMD on 7/15 has many opening DOWN volumes. The first 3 opening minute
> are missing. All ticks volumes (except 1) 5, 25, 100, etc., show
> CORRECTLY the first 100 or so volumes as DOWN. The 1 minute chart (and
> all minute charts) shows INCORRECTLY the opening volume as UP volume
> (correctly according to your statement).
>
> Now can someone tell me, what am I to make of this mess?
>
> Wayne Mathews
>
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